Solvency II: Internal models – modelling of the volatility adjustment

Published on 17 October 2018


This supervisory statement (SS) sets out the Prudential Regulation Authority’s expectations of firms regarding the application of the Solvency II volatility adjustment (VA) within the calculation of the solvency capital requirement (SCR).

This SS is relevant to UK Solvency II firms and to the Society of Lloyd’s and its managing agents. It is most relevant to firms with or seeking VA approval and which use a full or partial internal model to determine the SCR, together with UK Solvency II firms who may develop a full or partial internal model in future.

PDFSupervisory Statement 9/18