| Available Capital | Solvency terms | The European Economic Area | CEA Solvency II | Internally defined capital measure based on the companies' valuation of the market-consistent value of assets minus the market-consistent value of obligations. | A |
| Available Capital | Solvency terms | The European Economic Area | Solvency II | Not specifically defined. The term eligible own funds is used as term for the amount of own funds to cover the Solvency Capital Requirement. | A |
| Available Solvency Margin | Solvency terms | The European Economic Area | CEA Solvency II | The difference between the value under regulatory measurement of the eligible capital held by an insurer, and the sum of the values under regulatory measurement of the obligations. | A |
| Available Solvency Margin | Solvency terms | The European Economic Area | Solvency II | Not specifically defined. In Solvency II this is noted as excess own funds and be would be equal to the difference between the eligible own funds and the Solvency Capital Requirement. | A |
| Conditional Tail Expectation or Tail VaR (Tail Value at Risk) | Methods | The European Economic Area | CEA Solvency II | A coherent risk measure. For a given confidence level 1-a it measures the average losses over the defined threshold (typically set as the VaR for a given quantile), i.e. the conditioned mean value, given that the loss exceeds the 1-a percentile. | C |
| Correlation Matrix | Methods | The European Economic Area | Solvency II | Not specifically defined. The correlation coefficients for the aggregation of the risk modules, as well as the calibration of the capital requirements for each risk module, shall result in an overall Solvency Capital Requirement.(Solvency II Directive art. 104.3) | C |
| Credit Risk (Counterparty Risk) | Risk Categories | The European Economic Area | CEA Solvency II | The risk of a change in value due to actual credit losses deviating from expected credit losses due to the failure to meet contractual debt obligations. | C |
| Credit Risk (Counterparty Risk) | Risk Categories | The European Economic Area | PRA Rulebook | The risk of loss, or of adverse change, in the financial situation, resulting from fluctuations in the credit standing of issuers of securities, counterparties and any debtors to risk, or market risk concentrations | C |
| Credit Risk (Counterparty Risk) | Risk Categories | The European Economic Area | Solvency II | The risk of loss or of adverse change in the financial situation, resulting from fluctuations in the credit standing of issuers of securities, counterparties and any debtors to which insurance and reinsurance undertakings are exposed, in the form of counterparty default risk, or spread risk, or market risk concentrations. (Solvency II Directive art. 13(32)) | C |
| Deficit Capital | Solvency terms | The European Economic Area | Solvency II | Solvency deficit (term is mentioned in Solvency II Directive art. 221) | D |
| Diversification | Methods | The European Economic Area | Solvency II | 'Diversification effects' means the reduction in the risk exposure of insurance and reinsurance undertakings and groups related to the diversification of their business, resulting from the fact that the adverse outcome from one risk can be offset by a more favourable outcome from another risk, where those risks are not fully correlated. (Solvency II Directive art. 13(37) | D |
| Double Gearing | Solvency terms | The European Economic Area | CEA Solvency II | Situation in which one entity holds capital for regulatory purposes, which is issued by another entity within the same group and the issuer is also using the same capital for regulatory purposes. In that situation, externally generated capital of the group is 'geared up' twice; first by the parent, and then a second time by the dependent. | D |
| Double Gearing | Solvency terms | The European Economic Area | Solvency II | The double use of own funds eligible for the Solvency Capital Requirement among the different insurance or reinsurance undertakings taken into account in that calculation shall not be allowed. (Solvency II Directive art. 222) | D |
| Economic Capital | Solvency terms | The European Economic Area | Solvency II | Not specifically defined. The Solvency Capital Requirement should be determined as the economic capital to be held by insurance and reinsurance undertakings in order to ensure that ruin occurs no more often than once in every 200 cases or, alternatively, that those undertakings will still be in a position, with a probability of at least 99,5 %, to meet their obligations to policy holders and beneficiaries over the following 12 months. That economic capital should be calculated on the basis of the true risk profile of those undertakings, taking account of the impact of possible risk-mitigation techniques, as well as diversification effects. (Solvency II Directive (64)) | E |
| Enterprise Risk Management | General | The European Economic Area | Solvency II | Not specifically defined. Insurance and reinsurance undertakings shall have in place an effective risk-management system comprising strategies, processes and reporting procedures necessary to identify, measure, monitor, manage and report, on a continuous basis the risks, at an individual and at an aggregated level, to which they are or could be exposed, and their interdependencies. (Solvency II Directive art. 45) | E |
| Fungibility | Solvency terms | The European Economic Area | CEA Solvency II | Fungible Capital - That part of the capital of a group which can be transferred between different legal entities of the group. | F |
| Fungible Capital (see Fungibility) | Solvency terms | The European Economic Area | CEA Solvency II | That part of the capital of a group which can be transferred between different legal entities of the group. | F |
| Insurance Risk (see Underwriting Risk) | Risk Categories | The European Economic Area | Solvency II | See Underwriting Risk | I |
| Liquidity Risk | Risk Categories | The European Economic Area | CEA Solvency II | The risk stemming from the lack of marketability of an investment that cannot be bought or sold quickly enough to prevent or minimize a loss. | L |
| Liquidity Risk | Risk Categories | The European Economic Area | Solvency II | The risk that insurance and reinsurance undertakings are unable to realise investments and other assets in order to settle their financial obligations when they fall due. (Solvency II Directive art. 13(34)) | L |
| Market Risk | Risk Categories | The European Economic Area | CEA Solvency II | The risk of changes in values caused by market prices or volatilities of market prices differing from their expected values. | M |
| Market Risk | Risk Categories | The European Economic Area | PRA Rulebook | means the risk of loss or of adverse change in the financial situation resulting, directly or indirectly, from fluctuations in the level and in the volatility of market prices of assets, liabilities and financial instruments. | M |
| Market Risk | Risk Categories | The European Economic Area | Solvency II | The risk of loss or of adverse change in the financial situation resulting, directly or indirectly, from fluctuations in the level and in the volatility of market prices of assets, liabilities and financial instruments. (Solvency II Directive art. 13(31)) | M |
| Minimum Capital Requirement | Solvency terms | The European Economic Area | CEA Solvency II | The capital level representing the final threshold that triggers ultimate supervisory measures in the event that it is breached. | M |
| Minimum Capital Requirement | Solvency terms | The European Economic Area | Solvency II | A minimum level of security below which the amount of financial resources should not fall (Solvency II Directive (60)). | M |
| Operational Risk | Risk Categories | The European Economic Area | CEA Solvency II | Risk of a change in value caused by the fact that actual losses, incurred for inadequate or failed internal processes, people and systems, or from external events (including legal risk), differ from the expected losses. | O |
| Operational Risk | Risk Categories | The European Economic Area | PRA Rulebook | means the risk of loss arising from inadequate or failed internal processes, personnel or systems, or from external events, including legal risks which, for the purposes of Solvency Capital Requirement - General Provisions 3.3(1), includes legal risks but excludes risks arising from strategic decisions and reputational risks | O |
| Operational Risk | Risk Categories | The European Economic Area | Solvency II | The risk of loss arising from inadequate or failed internal processes, personnel or systems, or from external events. (Solvency II Directive art. 13(33)) | O |
| Own Risk and Solvency Assessment (ORSA) | General | The European Economic Area | Solvency II | That assessment shall include at least the following:(a) the overall solvency needs taking into account the specific risk profile, approved risk tolerance limits and the business strategy of the undertaking, (b) the compliance, on a continuous basis, with the capital requirements, (c) the significance with which the risk profile of the undertaking concerned deviates from the assumptions underlying the Solvency Capital Requirement, calculated with the standard formula or with its partial or full internal model. (Solvency II Directive art. 45.1, text adjusted) | O |
| Probability of Ruin | Methods | The European Economic Area | CEA Solvency II | Risk measure. The likelihood that total net cash outflows exceed at any time the available resources starting with a given amount of resources, within a specified time horizon. | P |
| Probability of Ruin | Methods | The European Economic Area | Solvency II | 'Risk measure' means a mathematical function which assigns a monetary amount to a given probability distribution forecast and increases monotonically with the level of risk exposure underlying that probability distribution forecast.(Solvency II Directive art. 13(39)) | P |
| Reputational Risk | Risk Categories | The European Economic Area | CEA Solvency II | Type of business risk. The risk that adverse publicity regarding an insurer's business practices and associations, whether accurate or not, will cause a loss of confidence in the integrity of the institution. | R |
| Reverse Stress Testing | Methods | The European Economic Area | Solvency II | The term is mentioned in the Guidelines on the ORSA, but has not been defined explicitly. | R |
| Risk Capital | Solvency terms | The European Economic Area | Solvency II | The term is mentioned once in de Directive (Solvency II Directive (50)), but has not been defined. | R |
| Risk Exposure | General | The European Economic Area | Solvency II | The term is mentioned in de Directive, but has not been defined explicitly. | R |
| Risk Profile | General | The European Economic Area | Solvency II | The term is used a lot in de Directive, but has not been defined explicitly. | R |
| Risk Tolerance | General | The European Economic Area | Solvency II | The term risk tolerance limit is used in de Directive itself and Guidelines on the ORSA, but has not been defined explicitly. (Solvency II Directive art. 45 on ORSA) | R |
| Scenario Analysis | Methods | The European Economic Area | CEA Solvency II | Simulation of an alternative set of parameters within a model in order to establish the impact on the outcome. | S |
| Scenario Analysis | Methods | The European Economic Area | Solvency II | The term is mentioned in the Guidelines on the ORSA, but has not been defined explicitly. | S |
| Solvency Capital Requirement | Solvency terms | The European Economic Area | CEA Solvency II | The amount of capital to be held by an insurer to meet the Pillar I requirements under the Solvency II regime. | S |
| Solvency Capital Requirement | Solvency terms | The European Economic Area | Solvency II | The supervisory regime should provide for a risk-sensitive requirement, which is based on a prospective calculation to ensure accurate and timely intervention by supervisory authorities. (Solvency II Directive (60) | S |
| Strategic Risk | Risk Categories | The European Economic Area | CEA Solvency II | Type of business risk. The risk of a change in value due to the inability to implement appropriate business plans and strategies, make decisions, allocate resources, or adapt to changes in the business environment. | S |
| Stress Test | Methods | The European Economic Area | CEA Solvency II | A type of scenario analysis in which the change in parameters are considered significant, or even extreme. | S |
| Stress Test | Methods | The European Economic Area | Solvency II | The term is mentioned in the Guidelines on the ORSA, but has not been defined explicitly. | S |
| Time Horizon | Methods | The European Economic Area | CEA Solvency II | The period over which any amount of required capital is held in order to cover losses, within a given risk tolerance level. | T |
| Underwriting Risk | Risk Categories | The European Economic Area | PRA Rulebook | The risk of loss or of adverse change in the value of insurance liabilities, due to inadequate pricing and provisioning assumptions. | U |
| Underwriting Risk | Risk Categories | The European Economic Area | Solvency II | The risk of loss or of adverse change in the value of insurance liabilities, due to inadequate pricing and provisioning assumptions. (Solvency II Directive art. 13(30) | U |
| Value-at-Risk (see also TailVaR) | Methods | The European Economic Area | CEA Solvency II | Value-at-risk is a quantile of a distribution and used as a (non-coherent) risk measure. | V |
| Value-at-Risk (see also TailVaR) | Methods | The European Economic Area | Solvency II | The term is mentioned in the Directive, but has not been defined explicitly. Article 104.4 says: Each of the risk modules referred to in paragraph 1 shall be calibrated using a Value-at-Risk measure, with a 99,5 % confidence level, over a one-year period. | V |