Tatiana Egoshina

Our 2024 annual summary of Solvency II-based metrics details last year’s results and gives insight on key themes in reporting.

In February 2024, the Prudential Regulation Authority (PRA) published the first two sets of rules expected to be published during 2024 as part of its ongoing Solvency II review.

This report summarises the annual research performed by Milliman which looks at Solvency II based metrics for a sample of over 20 firms in Europe based on disclosures at year-end 2022.

We illustrate a modeling approach that serves as a useful tool to explore the potential impacts of climate risk on future asset returns.

The simplistic nature of the standard formula for operational risk under Solvency II can lead to excessive capital requirements, so we offer another approach.

This note proposes a reporting approach that links back to the Solvency II balance sheet and makes an allowance for items of value that may not be included within Solvency II calculations and disclosures.