Práce analyzuje a hodnotí možnosti implementace Basel 2, porovnává Basel 2 a Solvency II a na základě této komparace sestavuje seznam "Best practices" pro implementaci Solvency II.

The work deals with the current conditions and developments in the field of insurance regulation in the Czech insurance market. Initially, the issue itself needs and merits of regulation. Then analyze the insurance contract and the rights and obligations arising therefrom. Among the most part are the conditions change the conduct of assurance business. Within this section are not only insurance and reinsurance, but also the activities of insurance intermediaries and independent liquidators claims under a separate law on this issue in 2004. Then followed the issue of supervision of insurance companies, and its development activities, carried out supervision body, which was recently amended. Is also included cooperation with the EU, including EU projects show the insurance industry for the near future. Finally, on the basis of the preceding description of an evaluation carried out development of the regulation of the insurance market and future prospects in the coming years, which is going primarily from dominance of European legislation in this area in recent years.

This dissertation deals with current trends in insurance. The aim of this thesis is to find the development trends, which have affected the insurace market the most in the last years. The first chapter is focused on the implementation of regulatory projects in insurace main Solvency II. The second part of disertation familiarizes the trends in the products of life and non-life insurace. At the end of this dissertation, there is the prognosis of the future development in insurance.

The diploma thesis deals with data quality in connection with legal requirements of the Solvency II regulation, which must be met by insurance companies in order to keep their licences. The aim of this thesis is to consider opportunities and impacts of implementing data quality for Solvency II. All data quality requirements of the regulation were specified and supplemented with possibilities how to meet them. Related data quality areas were also described. Sample variants of manual, partially automated and fully automated solutions with regard to expenditure of costs and time were compared based on knowledge and acquired information. The benefit of this thesis is evaluation of possible positive and negative impacts of implementing data quality for Solvency II taking into account the possibility of introducing data quality across the entire company. General solution variants can be used for decision-making on implementing data quality in most companies out of insurance industry.

The objective of this thesis is to compare measurement of assets and liabilities in the financial statements of insurance companies according to Czech legislation and International Financial Reporting Standards. The theoretical element contains an overview of measurement bases for assets and liabilities according to Czech accounting regulation, IAS/IFRS and Solvency II and analysis of impacts of amendments to Czech Accounting Act and Act on insurance relating to this issue. The theoretical findings are then applied to financial statements of a particular insurance company and the impacts of different measurement methods on significant items of financial statements are identified.

Bakgrund: 1 januari 2013 kommer Direktivet (2009/138/EG) för Solvens II att implementeras. Detta kommer ske samtidigt inom Europeiska Unionen (EU) och kommer leda till en harmonisering av försäkringslagstiftning i medlemsstaterna. Tidigare svensk lagstiftning, Försäkringsrörelselagen (2010:2043), kommer med andra ord att anpassas till det nya regelverket. Regeländring kan komma att påverka svenska försäkringsbolags bedrivna kapitalförvaltning. Syfte: Syftet med studien är att undersöka om svenska försäkringsbolag utifrån rådande lagstiftning kan bedriva en, enligt finansiell teori, rationell kapitalförvaltning och om möjligheten till att bedriva en rationell kapitalförvaltning kommer att förändras i och med implementeringen av Solvens II. Genomförande: En genomgång av dagens regelverk, Försäkringsrörelselagen, samt Direktivet (2009/138/EG) för Solvens II kommer att presenteras. Utöver detta har fem stycken intervjuer med svenska försäkringsbolag genomförts. Slutsats: Dagens lagstiftning ger inte möjligheter till att bedriva en rationell kapitalförvaltning fullt ut. Solvens II kommer att förbättra försäkringsbolagens möjligheter att bedriva en rationell kapitalförvaltning. Försäkringsbolagen bedriver idag en förvaltning som till stor del kan anses vara rationell utifrån finansiell teori. Dock finns det vissa områden inom förvaltningen som skiljer sig från teorins bild. / Background: January 1, 2013, Directive (2009/138/EC) of Solvency II will be implemented. This will take place simultaneously in the European Union (EU) and will lead to a harmonization of insurance laws of the member states. Former Swedish legislation, Försäkringsrörelselagen (2010:2043), will therefore be adapted to the new framework. The rule change may affect Swedish insurance companies’ asset management. Purpose: The purpose of the thesis is to examine if Swedish insurance companies can apply rational asset management theory when Solvency II is implemented and if changes will occur in the asset management strategies. Implementation: A review of current regulations, Försäkringsrörelselagen (2010:2043), and Directive (2009/138/EC) of Solvency II will be presented. In addition, five interviews with Swedish insurance companies have been done. Conclusion: The current legislation does not provide opportunities to fully apply rational asset management. Solvency II will improve the insurance companies' ability to pursue a rational asset management. The asset management in Swedish insurance companies currently adopts strategies that to high extent comply with generally accepted financial theories. However, there are certain areas within the asset management that deviate from these financial theories.

Basel III和Solvency II 對法國銀行系統的影響 / Following the 2008 financial crisis and the 2010 European Sovereign crisis, regulators and supervisors were urged to improve and reinforce the regulation of the banking system in order to prevent and assist banks from failing and provoking a system-wide crisis. Similarly some measures have been taken to regulate and reinforce the insurance industry in the EU. Basel III accords have been set up as an emergency measure and response to the financial crisis that hit the world in 2008 following a liquidity crisis that has started in 2007. Basel II framework had never been made to resist a system wide crisis and was not anymore effective in regulating the banking industry following the important deregulations that happened in the 2000s. Similarly to Basel, the primary goal of Solvency II is to prevent (with a 99.5% probability or 1 chance over 200) a company from ceasing payments and/or going bankruptcy. It has therefore introduced a complete framework relying as well on three pillars which have been adapted to the constraints and specificities of the insurance industry. Bank-insurances which are companies offering both insurance and banking services are therefore subject to both regulations. Moreover despite increasing their offerings, bank-insurer have to adapt to a complex maturing environment. The future of their business strongly depends upon their strategic choices regarding growth, profitability and mandatory compliance to regulation. They need to start and/or accelerate their transformation strategy in order to take into account this changing environment. The regulations are becoming more binding and therefore questioning the model of a global bank (as the banks have to increase their level of required capital). Despite these challenges, they still have an important role to play on the French Market.

Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments. To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet. In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work. This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions. The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.

Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments. To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet. In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work. This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions. The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.

Title: Technical reserves of non-life insurance in the internal solvency model Author: Bc. Jiří Thomayer Department: Department of Propability and Mathematical Statistics Supervisor: Mgr. Ing. Jakub Mertl Abstract: In this work we study and describe calculation of solvency capital using the standard formula contained in the Directive of the European Union (Solvency II), which should be put into practice in Europe on 1 January 2013. This calcu- lation is described in quantitative impact study 5. We describe a general approach to risk measurement and we show some particular practical measures used to risk measurement. We explain under what conditions the standard formula or its parts can be replaced by internal model. Next, we show disadvantages of using the stan- dard formula and we propose possible internal model to calculate risk premiums and risk reserves in non-life insurance. Finally we apply the proposed model for calculation risk reverses in non-life insurance in practice. Keywords: Standard formula, Risk measurement, Solvency II, Internal model;