Solvency II

Use MATLAB in Solvency II Frameworks

The European Union Solvency II Directive specifies the amount of capital EU insurance companies must hold to reduce the risk of insolvency. It requires insurers to use quantitative methods for policy and actuarial simulation, risk projection, and economic capital forecasting, and to report results across the organization.

Common tasks associated with a Solvency II platform include:

  • Scenario generation, including use of copula methods
  • Monte Carlo simulation, including nested stochastic simulation
  • Portfolio replication
  • Policy-by-policy simulation
  • Calculation of Solvency Capital Requirements (SCR) and Market Consistent Embedded Value (MCEV)
  • Asset-Liability modeling
  • Parallel and GPU computing for time-efficient simulation and parameter identification
  • Automated reporting

For detail, see MATLAB, which is commonly used as part of, or in some cases, to drive a Solvency II platform.

Software Reference

See also: Financial Toolbox™, Econometrics Toolbox™, Parallel Computing Toolbox™, Database Toolbox™, Optimization Toolbox™