Synopsis and Analysis of Research on Surplus Requirements for Property and Casualty Insurance Companies: A

The continuing solvency of property and casualty insurance companies, as well as of other financial institutions, has become an issue of great importance and major concern during the past decade. While solvency has always been a major consideration for actuaries, the experience of multiple failures of financial institutions in the past several years has caused the profession to focus more attention on the problem. The emerging role of the valuation actuary, as well as the renewed interest of legislators in the solvency issue, have added a sense of urgency to the profession's need to better evaluate solvency. This report has been commissioned by the Committee on Financial Analysis of the Casualty Actuarial Society to lay the groundwork for future research on surplus requirements for property and casualty insurers in a North American context. The largest part of this report is an annotated bibliography of relevant research papers. These are found in the bibliography. The bibliography provides a foundation for future research. For convenience, all papers cited have been grouped according to general subject area. The subject classification, which contains a list of the major approaches to the solvency problem itself, is described in the first section of this report. Papers are listed alphabetically by author and are also grouped according to subject classification. The most promising approaches for further study and development are evaluated and discussed in the second section.