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Solvency II is the project led by the European Commission with the objective of modernising European insurance regulations. The European Commission on 10 July 2007 proposed a revision of EU insurance law designed to improve consumer protection, modernize supervision, deepen market integration and increase the international competitiveness of European insurers.The Loss Given Default (LGD) is one of the three main factors in the Basel criteria. It represents the percentage of the exposure at default, which is the loss expectation if a counterparty is unable to repay its liabilities. The actor in insurance market are invited to provide feedback on the relative impact of the various simplified calculations for technical

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SOLVENCY II AND MEASURING THE LOSS GIVEN

DEFAULT

Cem BERK

provisions and the SCR standard formula laid down in these specifications, as well as the different methods proposed for groups. In addition, participants are also invited to provide quantitative results derived using their own internal model as well as using the standard formula.

Keywords: European insurance regulations, the loss given default (LGD), internal model and the standard formula

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2 _{Berk, N., Berk C., Estimating Loss Given Default(LGD) in Insurance Companies: Evidence}

from Turkish Insurance Market, Helors 2010 9th Special Conference of the Hellenic Operational Research Society,Crete-Greece, May 27-29 2010, s.2.

uygulamadaki sorunlara pratik çözüm getirmektir4

1.1. Solvency I

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Berk, Solvency II’nin...., a.g.e. ,s. 2.

6

Beasley, M. S. , Clune, R., Hermanson, D. R., Enterprise risk management: An empirical analysis of factors associated with the extent of implementation, 2005 s.4.

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7 _{Nektarios, M., Deregulation Insurance Supervision and Guaranty}

Funds, 2010, 460-465.

8 _{Berk, Solvency II’nin.... a.g.e., s. 2.} 9

Berk, Solvency II’nin....a.g.e., s.3.; Bortnick,R., J and P. M. Kennell, American Bar Association Section of Litigation, "Impediments to Coverage for Subprime Litigation," 2008, s.2.

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1.2. Solvency II

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10 _{Nektarios, M., Deregulation, Insurance Supervision and Guaranty}

Funds, 2010, s. 460-465.

11 _{Filippo, M., The beginning of the end or the end of the beginning,}

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13 Solvency II Expert Group, CEIOPS, June 2007, s.1.

14 _{Filippo, M., The beginning... a.g.e., s.5.} 15 _{Berk, Solvency II’nin.... a.g.e., s. 6.}

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22 _{Özgen, B., Solvency Capital Requirement & Quantative Impact Study, Tsrsb Solvency 2}

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26

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27 _{CEA Solvency II Introductory Guide, June 2006, s.5.}

28_{$\UÕQWÕOÕ ELOJL LoLQ %HUN 1 Berk C., Estimating Loss Given Default(LGD) in Insurance}

Companies: Evidence from Turkish Insurance Market, Helors 2010 9th Special Conference of the Hellenic Operational Research Society,Crete-Greece, May 27-29 2010.

: SCRmkt = 1.500.000.000 TL SCRdef = 15.000.000 TL SCRlife= 750.000.000 TL SCRhealth = 60.000.000 TL SCRnl = 600.000.000 TL

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North American Actuarial Journal, 2002, Vol.6, Nr. 2, s.7.

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