French Insurance Code
In forceInsurance and reinsurance undertakings may, for internal modelling purposes, refer to a time horizon or use a risk measure other than those provided for in Article R. 352-2, provided that the results produced by their internal model enable them to calculate the Solvency Capital Requirement guaranteeing policyholders, policyholders and beneficiaries of contracts a level of protection equivalent to that provided for in Article R. 352-2.
Where possible, undertakings shall determine their Solvency Capital Requirement directly from the probability distribution forecast generated by their internal model, on the basis of the value-at-risk measure provided for in Article R. 352-2.
Where undertakings are unable to determine their Solvency Capital Requirement directly from the probability distribution forecast generated by their internal model, the Autorité de contrôle prudentiel et de résolution may authorise the use of approximations in the process of calculating the Solvency Capital Requirement, provided that these undertakings are able to demonstrate to the Autorité de contrôle prudentiel et de résolution that policyholders and beneficiaries benefit from a level of protection equivalent to that provided for in Article R. 352-2.
The Autorité de contrôle prudentiel et de résolution may require insurance and reinsurance undertakings to apply their internal model to relevant reference portfolios, using assumptions based on external rather than internal data, in order to check the calibration of the internal model and verify that its specifications correspond to generally accepted market practices.
Detailed rules for the application of this Article are set out in Article 238 of Commission Delegated Regulation (EU) 2015/35 of 10 October 2014.
