Difference between revisions of "RBC for Holding Companies"
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| Line 3: | Line 3: | ||
'''Given''': | '''Given''': | ||
| − | + | market(HC) = 600 ''(market value of holding company HC)'' | |
| − | + | ownership % = 80% ''(insurer holds this percentage ownership in the holding company) | |
| − | + | :{| class='wikitable' style='text-align: center;' | |
|- | |- | ||
! type of asset !! book value of asset <br> (fixed income) !! distribution | ! type of asset !! book value of asset <br> (fixed income) !! distribution | ||
| Line 18: | Line 18: | ||
| style='text-align: left;' | other assets || 50 || 10% | | style='text-align: left;' | other assets || 50 || 10% | ||
|} | |} | ||
| + | |||
| + | '''Solution''': | ||
Revision as of 13:34, 8 September 2019
This is an example of how to calculate the R1 and R2 charges when the insurer owns shares in a holding company. Note: The calculation is essentially the same for R1 and R2. The only difference is that you use only fixed income assets for R1 and only equity assets for R2.
Given:
market(HC) = 600 (market value of holding company HC) ownership % = 80% (insurer holds this percentage ownership in the holding company)
type of asset book value of asset
(fixed income)distribution subsidiary 1 100 20% subsidiary 2 300 60% cash 50 10% other assets 50 10%
Solution:
