In this article, we apply the magnifying glass to how the standard formulae for selected SCR sub-modules were calibrated. We explore how the equity risk calibration would differ with more data, the empirical confidence level of recent big industry events, and the effect and suitability of the cap on the equity symmetric adjustment.
In this Instalment of Solvency Capital Requirement (SCR) Part V, we focus on Equity Risk. PART I, we covered Mortality Risk, PART II considers Retrenchment Risk, Part III focused on Expense Risk and Part IV delved into Property Risk.
Look out for the rest of the articles in this series covering the other sub-modules.