Publication of the AAE Commentary Paper: A Review of the Design of the Solvency II Risk Margin
In this paper the current design of the Solvency II risk margin has been reviewed. The aim of the risk margin is to provide an estimation of the cost a hypothetical third party would expect to charge (in addition to the Solvency II ‘best estimate liability’) to take on a book of insurance liabilities. Suggestions that respect this principle are made. Assumptions that would be most appropriate for the reference undertaking assumed to be taking on the relevant liabilities will be explored as well.