Igloo Standard Formula
Simplify the Solvency II SCR calculation
Towers Watson Igloo Standard Formula
The calculation of the Standard Formula SCR
remains a core task in the Solvency II process for
all insurance businesses within the regime.
The application of the Standard Formula
for Solvency II would appear to be relatively
unchallenging compared to the rigours of putting
an internal model in place. Those businesses that
went through the QIS process will, however, be
fully aware of the challenges of completing the
calculation which, despite its deterministic nature,
is relatively complex.
While the challenges of developing and managing
the parameters and calculations for the standard
formula are an unavoidable consequence
of Solvency II, Towers Watson Igloo Standard
Formula edition has been developed to directly
address those difficulties. It retains the
out-of-the-box readiness of the EIOPA QIS5
spreadsheet approach but effectively and
efficiently addresses the key governance and
complexity issues.
Model governance
Governance of the data submitted to the model
and accountability for any changes made are key
requirements of the Solvency II framework.
Igloo Standard Formula includes the Data Control
Component (DCC) developed for the wider Igloo
suite to provide highly effective control and
governance of all inputs and outputs including
sign off and comparison of data and results.
It also supports direct connection to corporate
data systems, ensuring a clear provenance for all
parameters and results.
Igloo users can
quickly see how
decisions might
impact the risk and
performance of
their business, and
use model outputs
to promote a wider
understanding of risk
within the business.
Figure 01. The web based interface of the Data Control Component
Igloo Standard Formula 3
Key features
Complete implementation
Igloo Standard Formula fully realises the scope of the standard
formula specification, re-implemented into a robust and
flexible platform.
The comprehensive scope of Igloo Standard
Formula includes:
Figure 02. Helper tabs are integrated into the calculation flow
•• All risks and sub risks as set out in the
technical specification.
•• All ‘helper tab’ calculations.
•• Aggregation of group structures, enabling the
user to select an arbitrary combination of
insurance entities for combination.
•• Support for calibration of undertaking
specific parameters.
•• Population of relevant QRT output.
Ease of use
Reduced complexity
Igloo Standard Formula is designed to reduce the
complexity of the calculation process, providing
facilities to remove or hide functionality, inputs and
outputs that are not required; for example where
life and health functionality is not relevant then
this can be hidden within the interface.
Simplified processes
The software removes the requirement for
iterative calculations that existed when using
certain of the helper tabs in the QIS5 spreadsheet.
This significantly simplifies the flow of calculation,
making the results easier to understand and
reducing the need for multiple runs.
Drill down
It also offers market leading facilities to drill
down into the calculation, highlighting important
intermediate results and providing significant
insights into the drivers of the SCR.
Integrated documentation
Furthermore, by hovering over specific inputs or
results users can reference context sensitive
elements of the technical specification documents
for the SCR, MCR and Own Funds calculations.
Streamlined user interface
Combining data input, calculation and reporting
all into the powerful Igloo platform allows quick
‘what if?’ and sensitivity analysis without an
onerous governance burden or the need to switch
between applications.
4 towerswatson.com
Figure 03. User friendly reports drill into detailed results
Maintenance
Igloo Standard Formula users also benefit from:
Towers Watson updates
Igloo Standard Formula is a fully supported and
maintained product. This means that Towers Watson
will provide timely updates to accommodate any
changes made by EIOPA either to the standard
formula parameters or to the calculation logic.
Product updates will be made available through our
web update facility giving clients instant access.
Igloo Standard Formula helpline
A user helpline provides fast and expert advice in
the use and deployment of the software.
Consulting advice
Should consulting advice be required around
the application or interpretation of the standard
formula, Towers Watson offers market-leading
expertise and advice that is tailored to your own
specific requirements.
Internal maintenance
Users of Igloo Standard Formula that also license
Igloo Extreme can perform their own maintenance on
the product, allowing the business to understand the
impact of suggested changes to the standard formula
prior to scheduled updates becoming available.
Changes in standard parameters
Igloo Standard Formula allows all users with
appropriate permissions to adjust the model
underlying assumptions and parameters. This
allows the business to test the impact upon the
standard formula SCR of changes proposed by
EIOPA or alternatively, to stress test based upon
benchmarks or internal viewpoints.
Seamless upgrade path
The standard formula calculations can easily be
integrated with other Igloo models.
Figure 04. Context sensitive technical documentation
Igloo Standard Formula 5
Part of the Igloo family
Igloo is the leading capital modelling platform in
the market; the Standard Formula edition allows
users to benefit from many of the advantages
of the Igloo platform in a conveniently packaged
format with an easy upgrade path should that
be required.
The modular building block approach at the core
of Igloo allows users high levels of flexibility to
introduce more sophisticated components in
those keys areas not represented appropriately
by the Standard Formula to take advantage of
the provision for partial internal models with the
Solvency II framework.
Figure 05. Modular calculation structure
6 towerswatson.com
Igloo provides an efficient and robust approach to
Solvency II standard formula compliance and is a
valuable tool, whether as a standalone system for
the calculation of regulatory capital for those with
an internal model, a useful sense check if using
more sophisticated models, or as the basis for the
development of a partial model.
Igloo Standard Formula is intended to
significantly reduce the complexity of
the calculation process with a flexible
and robust environment.
Igloo Standard Formula 7
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Copyright © 2012 Towers Watson. All rights reserved.
TW-EU-2012-28655. October 2012.
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Igloo
MoSes
RiskAgility EC
ResQ
RiskAgility
Replica
Standard Formula
These additions to our established capital modelling
solutions aim to simplify the challenges of calculating
the Solvency II Standard Formula SCR for life, P&C and
composite insurers.
Towers Watson
RiskAgility SF
Towers Watson
Igloo SF
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