Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on poststress solvency ratios. Our contribution is threefold. First, we build the first stylized model
for re-estimated solvency ratio in insurance. Second, this leads us to solve a new theoretical
problem in statistics: what is the asymptotic impact of a record on the re-estimation of tail
quantiles and tail probabilities for classical extreme value estimators? Third, we quantify the
impact of the re-estimation of tail quantiles and of loss absorbing capacities on real-world
solvency ratios thanks to regulator data from EIOPA. Our analysis sheds a first light on the
role of the loss absorbing capacity and its paramount importance in the Solvency II capital
charge computations. We conclude with a number of policy recommendations for insurance
regulators.