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Solvency 2 Standard Formula

Project description


Solvency 2 Standard Formula

Pandas/numpy implementation of the standard formula for non-life.

The calculation logic generally mimics the calculations within the standard formula guidance provided by Lloyd's.

The template populated with sample data is saved under /tests


  • scr:
    • non-life
      • premium and reserve
      • lapse
      • catastrophy
        • natcat euro
        • man-made
    • default
    • bscr
    • op
    • scr
  • mcr


  • Each scr sub-module is within its own package.
  • Any required parameters are typically stored in CSV files in the same package
  • Functions often return tuples. The first item will be a numerical result, the subsequent items data frames containing additional breakdown to debug and support QRT completion.

Known limitations:

  • only gross scr calculated in natcat: approach for reinsurance may be very company specific.
  • not all nat-cat modules included (yet)
  • default quite simple

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