Value-at-Risk (VaR) is an extremely popular risk measure and many financial companies have successfully used it to manage their risks. Recent developments towards a general single European financial regulation, lead to a great increase in the use of VaR. At least, for European Bank and Insurance industry, VaR is no longer an optional risk management tool, but it became mandatory. In this chapter we focus on the Insurance business and discuss the use of VaR as it has been proposed in the context of the Solvency II (undergoing) negotiations. Our goals are, on the one hand, to present the underlying assumptions of the models that have been proposed in the Quantitative Impact Studies (QIS) and, on the other hand, to suggest alternative VaR implementations, based upon estimation methods and firm specific characteristics. Our suggestions may be used to develop internal models as suggested in Solvency II context. Finally, we analyze the case a of Portuguese insurer operating in the motor branch and compare QIS and internal model VaR implementations. In our concrete application, (one year horizon) capital requirements are similar under the two alternatives, allowing us to conclude for the robustness of the models proposed in QIS.