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Regulatory

Reference scenarios for capital, reserves, and fiscal rules.

Simplified capital, reserve, deductibility, and withholding scenarios, each with its source and scope declared. Before using them, check them against current rules and the method approved inside the institution.

Read the decision, cash flows, assumptions, method, interpretation, and limits as one continuous case.

Actuarial case explained

How much available capital covers an aggregate risk requirement?

Purpose

Decision informed

Interpret coverage and diversification without presenting a heuristic as a current CNSF calculation.

Benefits and cash flows

  1. 1Life, P&C, and investment modules.
  2. 2Aggregation with pedagogical correlations.
  3. 3Available capital compared with total RCS.

Assumptions

AssumptionValue / unitSource and status
RCS factorsFixed percentages and stepped bandsIllustrative
Pedagogical heuristics, not CNSF
CorrelationsFixed matrixIllustrative
Laboratory assumption
CoverageCapital / RCSConvention
Canonical package definition

Method

Quadratic aggregation

The matrix recognizes dependence across modules; coverage is calculated after aggregation.

RCS = √(rᵀ · ρ · r)

Results and interpretation

A ratio above 1 covers this scenario's requirement; it does not certify regulatory solvency.

Applied example

Capital and solvency

The Solvency Capital Requirement (RCS) is the capital the CNSF requires an insurer to hold for an adverse year. This example examines aggregation across life, P&C, and investment modules through a simplified scenario whose scope is documented as an educational reference.

Adjust the parameters to observe how the result changes.

Aggregate RCS

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Coverage ratio

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Actuarial interpretation

Solvency is assessed by comparing available capital against the requirement. Aggregation with correlations recognizes that life, P&C, and investment risks do not materialize simultaneously, so the total RCS is lower than the sum of the modules.

Validation and limits

What is checked

  • —The capital/RCS ratio is tested by scale, by boundary, and by insufficiency.
  • —Identity: under the matrix used, the aggregate never exceeds the sum of the modules.

What it does not prove

  • —Factors do not implement the complete CNSF stochastic model.
  • —SAT paths carry rates and citations that are still unverified, which is why they are shown as indeterminate.