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R³S Solvency II Package

The R³S Solvency II Package is a library of R³S Modeler code for Solvency II calculations. It includes a range of code that you can use in your existing models and some template models that you can build upon to develop your Solvency II models.

The R³S Solvency II Package includes a comprehensive Standard Formula solution for insurers seeking a cost-effective way to comply with Pillar 1 of Solvency II. Designed for speed and quick deployment, this solution includes a template capital model that you can adapt to your own business and a model that aggregates the risks and produces the metrics for the Solvency II quantitative reporting template (QRT) reports.

The Forward-Looking Assessment of Own Risk (FLAOR) model shows how you can use full and partial internal models for projecting solvency capital requirements (SCRs) and to perform the Own Risk and Solvency Assessment (ORSA) calculations. You can use it with the R³S Standard Code Package to implement either a nested stochastic model or a curve-fitting method of your choice.

The FLAOR template model provides a complete cashflow projection with an asset and liability management (ALM) structure that enables you to project your SCR stress values over any given period. We have designed it to reflect a typical organizational hierarchy. This design enables quick implementation and aids compliance with regulations.

Benefits
  • Helps you create models that meet the Solvency II requirements
  • Includes the flexibility to work with existing or third-party actuarial systems
  • Accelerates regulatory compliance as part of a comprehensive Solvency II solution
  • Facilitates future migration to a partial or full internal model by building on top of existing models and processes