The brief. You are handed the standalone capitals of a reinsurer. Build the target capital, compute the SST ratio, and say which supervisory band it lands in.
All figures in CHF million.
| Company A | Company B | Company C | |
|---|---|---|---|
| Non-life insurance risk | 420 | 310 | 640 |
| Market risk | 260 | 180 | 520 |
| Credit risk | 55 | 40 | 95 |
| Diversification effect | −180 | −130 | −300 |
| Risk-bearing capital | 890 | 380 | 290 |
| (market value margin) | 90 | 70 | 150 |
Your tasks
- Compute target capital for each company.
- Compute the SST ratio for each.
- Name the band (🟢 green / 🟡 yellow / 🔴 red) for each.
- One of the three rows above is a distractor that must not enter any of your calculations. Which, and why?
A check on your work
The three ratios should be visibly different in kind, not just in size — one comfortable, one that a supervisor will want a plan for, and one where the licence is in question.