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The implementation of the Own Risk and Solvency Assessment is a criticalissue raised by Pillar II of Solvency II framework. In particular the OverallSolvency Needs calculation left the Insurance companies to define an optimalentity-specific solvency constraint on a multi-year time horizon. In a lifeinsurance society framework, the intuitive approaches to answer this problemcan sometimes lead to new implementation issues linked to the highly stochasticnature of the methodologies used to project a company Net Asset Value overseveral years. One alternative approach can be the use of polynomial proxies toreplicate the outcomes of this variable throughout the time horizon. Polynomialfunctions are already considered as efficient replication methodologies for theNet Asset Value over 1 year. The Curve Fitting and Least Squares Monte-Carloprocedures are the best-known examples of such procedures. In this article weintroduce a possibility of adaptation for these methodologies to be used on amulti-year time horizon, in order to assess the Overall Solvency Needs.

Solvency assessment within the ORSA framework: issues and quantitative methodologies