EAA Web Session: "SCR Interest under Solvency II"

Einleitung/Dauer

This session aims to explain the evolution of the interest rate capital requirement under the current formula versus the new formula following the SII review, how the deficiencies have been addressed and the remaining issues in an inflationary environment.

Preliminary Programme
Thursday, 5 March 2026
10:00-12:00 Topics

• Underlying calibration of the current formula
• The reasons for change
• The new relative shifted approach
• Impact of low versus inflationary interest rates
• Perceived issues and possible solutions in an inflationary environment

All the above times are given in CET (Central European Time).

Vorgehensweise und Ziele

The purpose of this web session is to explain how the current SCR interest has been calibrated based on Principal Component Analysis and the need for changes in a low interest environment. We will then describe the new relative shifted approach and impact assessments. We will also address the question on the SCR interest up in an inflationary environment and possible solutions.

Teilnehmer

Participants are expected to have some basic knowledge of Solvency II and interest rate risk.

Technical Requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure to join the web session with a stable internet connection.

Dozierende

Daphné de Leval
Daphné has more than 20 years of professional experience. She specializes in life insurance actuarial techniques, pension funds and risk management. She has worked on diverse functions: Solvency II implementation, Actuarial Function, Risk Management Function, financial and prudential audit, IFRS 17 implementation, Sustainability Projects and M&A. She is an active Actuary at European level within the Actuarial Association of Europe (AAE) (Vice-Chair Insurance Committee, Solvency II).

Sprache/Kurztitel

The language of the web session will be English.

CPD Credits
For this web session, the following CPD credits are available under the CPD scheme of the relevant national actuarial association:

• Austria: 2 points
• Belgium:  2 points
• Bulgaria:  3 points
• Croatia: individual accreditation
• Czechia:  2 hours
• Denmark 2 credits
• Estonia:  2 hours
• Finland: 2 points
• France:  12 points
• Germany:  2 hours
• Greece: 3 points
• Hungary:  2 hours
• Iceland: 2 credits
• Ireland: 2 hours
• Italy: individual accreditation
• Latvia: 2 hours
• Lithuania: 2 hours
• Netherlands:  approx. 2 points (individual accreditation)
• Norway: 2 points
• Poland: 2 hours
• Portugal: 2 hours
• Serbia: 2 hours
• Slovakia:  individual accreditation
• Slovenia:  individual accreditation
• Spain: CAC: 2 hours, IAE: 2 hours
• Switzerland:  individual accreditation
• USA: SOA (Section B): up to 2.4 hours

No responsibility is taken for the accuracy of this information.