loss payments expected to occur for this many years
3
percentile
VaR
95.0%
950
99.0%
995
99.5%
997
IFRS assets
2000
risk-free rate
2%
iliquidity premium
1%
cost-of-capital above risk-free rate (R - i)
6%
* Capital is held until the end of the year.
* Loss payments are made mid-year. (not relevant here because you don't have to calculate best. est. liabs.)
* Assume SCR payments are constant for all future years.
SCR
Choose 99.5th percentile for SCR (may not be the same across all years, but it is in this problem)