The Financial Supervisory Authority of Norway published an inspection report on Gjensidige Forsikring ASA covering enterprise-wide risk management and governance and control of the firm’s Solvency II internal model. The supervisor concluded that the board’s decision to keep the lower bound of the solvency capital coverage target zone at 140% after approval of the storm model implies higher risk appetite, and it asked the board to reassess whether 140% is an appropriate minimum. The report also raised concerns about the firm’s use of both an approved regulatory model and a separate, non-approved internal model version for key decision-making. Key findings include expectations that second-line function instructions should be adopted by the board, and that the board should be regularly trained on the internal model’s uses, limitations and planned developments. The supervisor highlighted model risk and validation issues, including that the internal model did not capture the 2021–2022 inflation spike in Denmark and Sweden within a one-year horizon, and it requested the claims inflation validation report once available. It also asked for further documentation and testing evidence on the interest rate model (including parameter choices and sensitivity tests), queried which internal credit rating system is embedded in the model and its impact on the capital requirement, and stressed that data and expert judgements should be kept current where portfolio composition and risk exposures have changed. Operational resilience concerns were noted after several weeks of unavailability of the market-risk modelling tool, with an expectation for robust contingency arrangements. Finanstilsynet requested a copy of the minutes from the board meeting where the report is discussed and asked the firm to share the letter with its auditor. Follow-up materials requested in the report include validation outputs and technical documentation as they become available, and the internal ratings issue will be pursued in a separate process.
Norwegian Finanstilsynet 2025-11-27
Financial Supervisory Authority of Norway asks Gjensidige to revisit 140% solvency coverage floor and address internal model governance gaps
Norway's Financial Supervisory Authority released an inspection report on Gjensidige Forsikring ASA, highlighting concerns over its Solvency II internal model and risk management. The report questions the board's decision to maintain a 140% solvency capital coverage target, citing a higher risk appetite, and raises issues with model validation, particularly regarding inflation and interest rate assumptions. The authority also noted operational resilience issues and requested further documentation and board meeting minutes for review.