Diversification plays a pivotal role under the risk-based capital regime of Solvency II. The new rules reward large and well-diversified insurance companies with relatively low capital requirements compared to those of small and specialised nature. To enhance diversification, insurance companies can adjust their strategy by engaging in mergers and acquisitions or new market entries. Alternatively, insurers can accept higher Solvency II capital requirements, displaying a competitive disadvantage and impeding future growth. This research proposes a Solvency II portfolio swap as a new diversification solution that allows small and specialised insurance companies to improve their diversification, and thus, mitigate their diversification disadvantage. The effect of such swaps is demonstrated through the use of two hypothetical insurance companies by swapping 20% of their portfolio over four different scenarios. The swap allowed for a 6% reduction in the Solvency Capital Requirement (SCR) and a maximum increase of the SCR coverage ratio of 17%. With Solvency II posited to stimulate further mergers and acquisitions within the European insurance market, this paper offers an alternative method for insurers to diversify their portfolio. Furthermore, it is suggested that the proposed alternative risk transfer method may improve insurance market competition within the EU by facilitating small and specialised insurers’ competitiveness.

在 Solvency II 的基于风险的资本制度下，多元化发挥着举足轻重的作用。与小型和专业性质的保险公司相比，新规则奖励资本要求相对较低的大型和多元化保险公司。为了加强多元化，保险公司可以通过并购或新的市场进入来调整战略。或者，保险公司可以接受更高的偿付能力 II 资本要求，从而显示出竞争劣势并阻碍未来的增长。本研究提出 Solvency II 投资组合互换作为一种新的多元化解决方案，允许小型和专业保险公司改善其多元化，从而减轻其多元化劣势。这种互换的效果通过使用两家假设的保险公司在四种不同情况下互换其投资组合的 20% 来证明。该互换允许偿付能力资本要求 (SCR) 降低 6%，并将 SCR 覆盖率最高提高 17%。鉴于偿付能力 II 将刺激欧洲保险市场内的进一步并购，本文为保险公司提供了一种多样化其投资组合的替代方法。此外，建议提出的替代风险转移方法可以通过促进小型和专业保险公司的竞争力来改善欧盟内部的保险市场竞争。该互换允许偿付能力资本要求 (SCR) 降低 6%，并将 SCR 覆盖率最高提高 17%。鉴于偿付能力 II 将刺激欧洲保险市场内的进一步并购，本文为保险公司提供了一种多样化其投资组合的替代方法。此外，建议提出的替代风险转移方法可以通过促进小型和专业保险公司的竞争力来改善欧盟内部的保险市场竞争。该互换允许偿付能力资本要求 (SCR) 降低 6%，并将 SCR 覆盖率最高提高 17%。鉴于偿付能力 II 将刺激欧洲保险市场内的进一步并购，本文为保险公司提供了一种多样化其投资组合的替代方法。此外，建议提出的替代风险转移方法可以通过促进小型和专业保险公司的竞争力来改善欧盟内部的保险市场竞争。