As of January 2016, the Solvency II Directive demands that all insurance companies in the EU perform a Solvency Capital Requirement (SCR) calculation. We propose an earthquake catastrophe model that calculates the SCR using an innovative hazard module. We test our model in the Attica region, which hosts 41.6% of the insured buildings in Greece. The results show a risk premium of 1.63% up to 3.16% for residential buildings, depending on exposure and deductible policy. A comparison between the EIOPA’s Standard Formula (SF) and our model shows that the SF overestimates the SCR by 19.3% in the Attica region. The addition of the 2% deductible to the exposure policies results in a 56.8% lower SCR than when using the SF. The overestimation varies from 2.7% to 133.57% in seven out of 10 catastrophe risk evaluation and standardising target accumulations zones, and by 16.28–32.97% in the three remaining zones.
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Deligiannakis, G., Zimbidis, A. & Papanikolaou, I. Earthquake loss and Solvency Capital Requirement calculation using a fault-specific catastrophe model. Geneva Pap Risk Insur Issues Pract 48, 821–846 (2023). https://doi.org/10.1057/s41288-021-00259-x