Solvency 2 Standard Formula


License
MIT
Install
pip install solvency2sf==0.0.28

Documentation

solvency2sf

Solvency 2 Standard Formula

Pandas/numpy implementation of the standard formula for non-life.

The calculation logic generally mimics the calculations within the standard formula guidance provided by Lloyd's. https://www.lloyds.com/resources-and-services/capital-and-reserving/capital-guidance/standard-formula-scr

The template populated with sample data is saved under /tests

Provides:

  • scr:
    • non-life
      • premium and reserve
      • lapse
      • catastrophy
        • natcat euro
        • man-made
    • default
    • bscr
    • op
    • scr
  • mcr

Structure:

  • Each scr sub-module is within its own package.
  • Any required parameters are typically stored in CSV files in the same package
  • Functions often return tuples. The first item will be a numerical result, the subsequent items data frames containing additional breakdown to debug and support QRT completion.

Known limitations:

  • only gross scr calculated in natcat: approach for reinsurance may be very company specific.
  • not all nat-cat modules included (yet)
  • default quite simple