Peer Review on Stochastic Valuation Supervision under Solvency II

This document is a peer review report conducted by EIOPA on the supervision of stochastic valuation for insurance and reinsurance undertakings under Solvency II. The review aims to enhance supervisory practices across Europe by collaborating with National Competent Authorities (NCAs). It addresses the complexities of stochastic valuation, particularly for products with options and guarantees, emphasizing the need for high-quality supervision. The report outlines the methodology, findings, and recommended actions based on the assessment of the current regulatory framework and the identification and valuation of options and guarantees. It highlights the gradual approach taken by EIOPA to improve supervision, focusing on areas requiring significant enhancements. The report also identifies best practices and emphasizes the importance of cooperation among various stakeholders, including undertakings and actuarial associations. Additionally, it discusses the role of Economic Scenario Generators in capturing the time value of options and guarantees, and it provides guidance for NCAs to ensure effective supervision.