Goldman Sachs Financials Conference Surviving in a low interest rate environment
|
|
- Ralph Montgomery
- 8 years ago
- Views:
Transcription
1 Goldman Sachs Financials Conference Surviving in a low interest rate environment Prof. Dr. Michael Koller, CRO and Group Chief Acturay Rome, 18 June 2003
2 Management Summary Understanding Economic Principles? No Yes Economically Bancrupt? No Yes Are you gambling? No Yes Are able to take risk? Yes No 2
3 Contents Understanding economic principles Fair values et al Risk Taking Pricing New Business Summary 3
4 Current Problems Underestimated risk in asset allocations of life insurers lead to huge losses Low interest environment leads to the question whether statutory reserves are sufficient IASC and FASB want to introduce the concept of Fair Value which needs to be detailed Embedded Value as a tool for the valuation of life insurance companies seems to be insufficient Changed business strategies require an adequate pricing based on economic principles The traditional methods for valuation of life contracts are insufficient Aim of the Fair Value / Valuation Portfolio Method is to give a consistent framework for answering / solving these issues 4
5 Is your company run by accounting or economically? Interest rate rise Statutory IAS Economic Equity Securities Liabilities (long-term) Equity Securities Liabilities (long-term) Equity Securities Liabilities (long-term) Real estate Real estate Real estate Fixed maturities (mid-term) Statutory Fixed maturities (mid-term) IAS Equity Fixed maturities (mid-term) Economic Equity Equity No impact Equity decreases Equity increases 5
6 Are your actuaries understanding economic valuation? Yie ld Curve Base Year 2003 Calc Forward Rates Stat Interest 3.50% Scenario % 1.02% 1.25% 1.62% 1.89% 2.03% 2.18% 2.35% 2.53% 2.62% 2.71% -25BP 0.70% 0.77% 1.00% 1.37% 1.64% 1.78% 1.93% 2.10% 2.28% 2.37% 2.46% -50BP 0.45% 0.52% 0.75% 1.12% 1.39% 1.53% 1.68% 1.85% 2.03% 2.12% 2.21% 01. Jan % 1.48% 1.66% 1.76% 1.87% 2.04% 2.04% 2.20% 2.34% 2.36% 2.50% 25B P 1.46% 1.23% 1.41% 1.51% 1.62% 1.79% 1.79% 1.95% 2.09% 2.11% 2.25% Results Sum of Annuities 38'964'389 [E 1996/2000] Difference M a the m a ticasl tatutorial 573'117'616 Re se rve M arket Value 556'879'280-16'238'336-25BP 571'956'500-1'161'116-50BP 587'755'665 14'638' Januar '684'111-22'433'505 25B P 565'553'755-7'563' % 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% BP -50BP 01. Jan 98 25BP Effe ctive Group Life : Annuitie s in Pa ym e nt 600'000' '000' '000' '000' '000' '000' '000' '000'000 Statutorial Market V alue -25BP -50BP 1. Januar BP 6
7 Overview of the actuarial process Actuarial competence is a major strength of Swiss Life Pricing policies Profitability oriented Margin protection Profit testing Computer aided pricing Underwriting policies Strict result control No compromise for volume No antiselection Maintain and build up further financial strength Prudent reserving Regular update of tables used Anticipation of future trends Prudent choice of interest rates Reinsurance policies Add-on Treaties with top quality reinsurer Result control Controlling Profit analysis ALM Embedded value 7
8 Contents Understanding economic principles Fair values et al Risk Taking Pricing New Business Summary 8
9 Why Fair Values (FV) Traditional valuation methods focus on value creation and do not take into account the corresponding risks This effects become apparent in particular for Interest guarantees Implicit policyholder options (e.g. taking capital or annuity) Surrender values Different strategic asset allocations FV serve as a benchmark for additional reserves for liabilities FV is in line with AFP and therefore consistent with capital markets The application of FV in insurance leads to a competitive advantage 9
10 Mark to market B/S: Available capital CF- Pattern Yield curve (ZCB) Expected Cash Flows for a contract 200' ' '000 Cash Flow -200' ' ' ' '000 Premium (BoY) Expense (BoY) Surrender (EoY) Claims (EoY) -700' Age of Policyholder CF_t i_t MV_Lia = MV(ins) - MV(outs) Free_Capital = MV_Assets - MV_Lia (Available Capital) 10
11 Liabilities 11
12 Contents Understanding economic principles Fair values et al Risk Taking Pricing New Business Summary 12
13 Required Capital: How to determine The following steps are required for the definition of the required risk capital Definition of the risk map Model for the different risks Calculation of the probability distribution and the required risk capital In order to measure market risk capital Swiss Life uses a standard methodology adjusted for insurance liabilities Market Risk: Risk Metrics (TM) For insurance liabilities some adjustments were required 13
14 Risk management landscape Market Risks Interest Rate Equity FX Real Estate Alternative Investments Diversification Financial Risk Liquidity Risks Trading Credit Risk Default Rating Migration Activites Counterparty / Issuer ALM Mismatch Risk Structural CF Mismatch / Liquidity Risk Funding Withdrawals Swiss Life Risk Landscape Underwriting Risk Longevity Disability Death Adverse Selection Catastrophe Frequency and Severity Failure Risk People Process and Control Technology Operational Risk External Risk Business External Disruption Regulatory / tax 14
15 Duration mismatch properly understood Most life insurers have a duration mismatch Example Duration Assets 6 yrs, liabilities 10 yrs Falling interest rates are a real danger (Japanese situation) 0 Effects will be seen in the future if interest rates do not move upward Losses will be seen in the future even if today the insurer is not economically bankrupt! ALM and Duration management is needed in order to survive such conditions Income Credit P/L 15
16 ALM Investment Management Historical focus: total return Responsible: CIO ALM Management Focus: Economic Contribution Responsible: all CFO CIO EC/FV (1) CRO CMO Product Economics Historical focus: Economic Margin Responsible: CRO Commercial Aspects Historical focus: Volume Responsible: CMO FV: Fair value (1) EC: Economic Risk Capital 16
17 Contents Understanding economic principles Fair values et al Risk Taking Pricing New Business Summary 17
18 Pricing policies ensure long term profitability and adequate reserving Tariff/premium rate allow Setting up sufficient technical reserves Increase of equity Financing of solvency No cross subsidies between different branches, product lines or product generations In general, the same technical base used for pricing and for reserving (exceptions for annuities) For coverage with no tariff guarantee (e.g. health) review of the level of tariff rate at each renewal date: no compromises if customer does not accept proposed tariff increase Highly professional tariff rating Focus on profitability Integrated controlling cycles No dumping Regular monitoring of experience For new tariffs/products profit testing methods are applied. Old portfolio monitored on regular basis 18
19 Mixed Endowment (Pricing) Interest 2.75% Interest 2% Interest 3.5% Yield
20 Product Management: Reporting Example 20
21 Contents Understanding economic principles Fair values et al Risk Taking Pricing New Business Summary 21
22 Scylla and Charybdis 1) Valuation needs to seek a way between Scylla and Charybdis! 2) In order to do this one needs to properly understand the Methods 3) There is not only one method which can answer each question 4) A lot of pragmatism is required 22
23 Learning's from Arbitrage Free Pricing The consequent application of AFP and RoRAC within an insurance entity enhances the insights into the business considerably This is in particular useful for identifying the cost of guarantees (interest, surrender, etc) All newly priced products need to analysed as well with this measure The implementation of AFP and RoRAC needs well defined processes and adequate models and a lot of knowhow! Application of AFP and RoRAC leads to a competitive advantage Traditional Business-model needs to be changed Risk Management and actuarial competence become key topics 23
24 Discussion 24
PNB Life Insurance Inc. Risk Management Framework
1. Capital Management and Management of Insurance and Financial Risks Although life insurance companies are in the business of taking risks, the Company limits its risk exposure only to measurable and
More informationEnterprise Risk Management in a Highly Uncertain World. A Presentation to the Government-University- Industry Research Roundtable June 20, 2012
Enterprise Risk Management in a Highly Uncertain World A Presentation to the Government-University- Industry Research Roundtable June 20, 2012 CRO Council Introduction Mission The North American CRO Council
More informationActuarial Risk Management
ARA syllabus Actuarial Risk Management Aim: To provide the technical skills to apply the principles and methodologies studied under actuarial technical subjects for the identification, quantification and
More informationLIFE INSURANCE RATING METHODOLOGY CREDIT RATING AGENCY OF
LIFE INSURANCE RATING METHODOLOGY CREDIT RATING AGENCY OF BANGLADESH LIMITED 1 CRAB S RATING PROCESS An independent and professional approach of the CRAB is designed to ensure reliable, consistent and
More informationAsset/liability Management for Universal Life. Grant Paulsen Rimcon Inc. November 15, 2001
Asset/liability Management for Universal Life Grant Paulsen Rimcon Inc. November 15, 2001 Step 1: Split the product in two Premiums Reinsurance Premiums Benefits Policyholder fund Risk charges Expense
More informationGLOSSARY. A contract that provides for periodic payments to an annuitant for a specified period of time, often until the annuitant s death.
The glossary contains explanations of certain terms and definitions used in this prospectus in connection with us and our business. The terms and their meanings may not correspond to standard industry
More informationRating Methodology for Domestic Life Insurance Companies
Rating Methodology for Domestic Life Insurance Companies Introduction ICRA Lanka s Claim Paying Ability Ratings (CPRs) are opinions on the ability of life insurance companies to pay claims and policyholder
More informationValuation Interest Rates
Statutory Valuation and Nonforfeiture Rates A. Life Insurance (s) Valuation Rates Nonforfeiture Rate 10 or less 82 6.75 8.50 83-86 7.25 9.00 87 6.50 8.25 88-93 6.00 7.50 94-98 5.50 7.00 99-02 5.00 6.25
More informationCEIOPS Preparatory Field Study for Life Insurance Firms. Summary Report
CEIOPS-FS-08/05 S CEIOPS Preparatory Field Study for Life Insurance Firms Summary Report 1 GENERAL OBSERVATIONS AND CONCLUSIONS 1.1 Introduction CEIOPS has been asked to prepare advice for the European
More informationSolvency Management in Life Insurance The company s perspective
Group Risk IAA Seminar 19 April 2007, Mexico City Uncertainty Exposure Solvency Management in Life Insurance The company s perspective Agenda 1. Key elements of Allianz Risk Management framework 2. Drawbacks
More informationGuidance for the Development of a Models-Based Solvency Framework for Canadian Life Insurance Companies
Guidance for the Development of a Models-Based Solvency Framework for Canadian Life Insurance Companies January 2010 Background The MCCSR Advisory Committee was established to develop proposals for a new
More informationLife Insurance risk management in the Insurance company : CSOB case studies
Life Insurance risk management in the Insurance company : CSOB case studies Content Topics : case study Life Insurance risk management, 1. Life Insurance 2. Case study what is life insurance product and
More informationAXA s approach to Asset Liability Management. HELVEA Insurance Capital Adequacy and Solvency Day April 28th, 2005
AXA s approach to Asset Liability Management HELVEA Insurance Capital Adequacy and Solvency Day April 28th, 2005 ALM in AXA has always been based on a long-term view Even though Solvency II framework is
More informationFifth Quantitative Impact Study of Solvency II (QIS5)
Fifth Quantitative Impact Study of Solvency II (QIS5) Guidance on the treatment of German accident insurance with guaranteed premium repayment in the solvency balance sheet of QIS5 Introduction The UBR
More informationAutumn Investor Seminar. Workshops. Managing Variable Annuity Risk
Autumn Investor Seminar Workshops Managing Variable Annuity Risk Jean-Christophe Menioux Kevin Byrne Denis Duverne Group CRO CIO AXA Equitable Chief Financial Officer Paris November 25, 2008 Cautionary
More informationActuarial Report. On the Proposed Transfer of the Life Insurance Business from. Asteron Life Limited. Suncorp Life & Superannuation Limited
Actuarial Report On the Proposed Transfer of the Life Insurance Business from Asteron Life Limited to Suncorp Life & Superannuation Limited Actuarial Report Page 1 of 47 1. Executive Summary 1.1 Background
More informationNEDGROUP LIFE FINANCIAL MANAGEMENT PRINCIPLES AND PRACTICES OF ASSURANCE COMPANY LIMITED. A member of the Nedbank group
NEDGROUP LIFE ASSURANCE COMPANY LIMITED PRINCIPLES AND PRACTICES OF FINANCIAL MANAGEMENT A member of the Nedbank group We subscribe to the Code of Banking Practice of The Banking Association South Africa
More informationInstitute of Actuaries of India
Institute of Actuaries of India GUIDANCE NOTE (GN) 6: Management of participating life insurance business with reference to distribution of surplus Classification: Recommended Practice Compliance: Members
More informationDisclosure of European Embedded Value as of March 31, 2015
UNOFFICIAL TRANSLATION Although the Company pays close attention to provide English translation of the information disclosed in Japanese, the Japanese original prevails over its English translation in
More informationSolvency II and Predictive Analytics in LTC and Beyond HOW U.S. COMPANIES CAN IMPROVE ERM BY USING ADVANCED
Solvency II and Predictive Analytics in LTC and Beyond HOW U.S. COMPANIES CAN IMPROVE ERM BY USING ADVANCED TECHNIQUES DEVELOPED FOR SOLVENCY II AND EMERGING PREDICTIVE ANALYTICS METHODS H o w a r d Z
More informationDisclosure of Market Consistent Embedded Value as of March 31, 2014
May 26, 2014 Sony Life Insurance Co., Ltd. Disclosure of Market Consistent Embedded Value as of March 31, 2014 Tokyo, May 26, 2014 Sony Life Insurance Co., Ltd. ( Sony Life ), a wholly owned subsidiary
More informationEmbedded Value Report
Embedded Value Report 2012 ACHMEA EMBEDDED VALUE REPORT 2012 Contents Management summary 3 Introduction 4 Embedded Value Results 5 Value Added by New Business 6 Analysis of Change 7 Sensitivities 9 Impact
More informationSURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES
QUESTIONNAIRE SURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES MARCH 2001 2001 Canadian Institute of Actuaries Document 20113 Ce questionnaire est disponible en français
More informationSAVINGS PRODUCTS AND THE LIFE INSURANCE INDUSTRY IN CANADA
SAVINGS PRODUCTS AND THE LIFE INSURANCE INDUSTRY IN CANADA Carl Hiralal 25 November 2004 1 Topics OSFI s Role Canadian Industry Insurance Products in Canada Insurance versus Savings Segregated Funds Universal
More informationINTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS
Standard No. 13 INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS STANDARD ON ASSET-LIABILITY MANAGEMENT OCTOBER 2006 This document was prepared by the Solvency and Actuarial Issues Subcommittee in consultation
More information2 Developments of Insurance IFRS and solvency standards
A STUDY OF RISK MANAGEMENT OF JAPANESE NON-LIFE INSURANCE COMPANIES Kunimasa Horigome Mitsui Sumitomo Insurance Company Limited, Japan Abstract. In general, Japanese non-life insurance companies carry
More informationMain Business Indicators
Supplementary Financial Data Main Business Indicators (1) Policies in Force and New Policies 1) Policies in Force (Number of policies, millions of yen, %) As of March 31 2015 2014 Individual insurance
More informationSTATUTORY CALENDAR YEAR INTEREST RATES BASED ON THE 1980 AMENDMENTS TO THE NAIC STANDARD VALUATION AND NONFORFEITURE LAWS. Valuation Interest Rate
BASED ON THE 1980 AMENDMENTS TO THE NAIC STANDARD VALUATION AND NONFORFEITURE LAWS A. Life Insurance Valuation and Nonforfeiture Rates: (years) Valuation Rate Nonforfeiture Rate1 2006 2006 10 or less 4.50
More informationLife Insurance Corporation (Singapore)Pte Ltd UEN 201210695E MANAGEMENT REPORT 31/12/2014
Life Insurance Corporation (Singapore)Pte Ltd UEN 201210695E MANAGEMENT REPORT 31/12/2014 LIFE INSURANCE CORPORATION (SINGAPORE) PTE. LTD. For the financial year from 1 January 2014 to 31 December 2014
More informationGN8: Additional Guidance on valuation of long-term insurance business
GN8: Additional Guidance on valuation of long-term insurance business Classification Practice Standard MEMBERS ARE REMINDED THAT THEY MUST ALWAYS COMPLY WITH THE PROFESSIONAL CONDUCT STANDARDS (PCS) AND
More informationBULLETIN NO. 06-21 MAXIMUM RESERVE VALUATION AND NONFORFEITURE RATES
BULLETIN NO. 06-21 TO: FROM: SUBJECT: ALL DOMESTIC LIFE INSURANCE COMPANIES AND CHARITABLE ANNUITIES STEVEN M. GOLDMAN, COMMISSIONER MAXIMUM RESERVE VALUATION AND NONFORFEITURE RATES In accordance with
More informationLIFE INSURANCE CAPITAL FRAMEWORK STANDARD APPROACH
LIFE INSURANCE CAPITAL FRAMEWORK STANDARD APPROACH Table of Contents Introduction... 2 Process... 2 and Methodology... 3 Core Concepts... 3 Total Asset Requirement... 3 Solvency Buffer... 4 Framework Details...
More informationHow To Become A Life Insurance Agent
Traditional, investment, and risk management actuaries in the life insurance industry Presentation at California Actuarial Student Conference University of California, Santa Barbara April 4, 2015 Frank
More informationInternational Financial Reporting for Insurers: IFRS and U.S. GAAP September 2009 Session 25: Solvency II vs. IFRS
International Financial Reporting for Insurers: IFRS and U.S. GAAP September 2009 Session 25: Solvency II vs. IFRS Simon Walpole Solvency II Simon Walpole Solvency II Agenda Introduction to Solvency II
More informationInsurance (Valuation of Long Term Liabilities) Regulations 2007 Consultative Document
Insurance (Valuation of Long Term Liabilities) Regulations 2007 Consultative Document 1. Introduction The Insurance and Pensions Authority has released a consultative draft of the Insurance (Valuation
More informationFINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS. V Rajagopalan R Kannan K S Gopalakrishnan
FINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS V Rajagopalan R Kannan K S Gopalakrishnan 6th Global Conference of Actuaries; February 2004 PRESENTATION LAYOUT Fair value reporting Recent developments
More informationDisclosure of Market Consistent Embedded Value as at March 31, 2015
May 20, 2015 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. Disclosure of Market Consistent Embedded Value as at March 31, 2015 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. ( Himawari Life,
More informationTHE INSURANCE BUSINESS (SOLVENCY) RULES 2015
THE INSURANCE BUSINESS (SOLVENCY) RULES 2015 Table of Contents Part 1 Introduction... 2 Part 2 Capital Adequacy... 4 Part 3 MCR... 7 Part 4 PCR... 10 Part 5 - Internal Model... 23 Part 6 Valuation... 34
More informationActuary s Guide to Reporting on Insurers of Persons Policy Liabilities. Senior Direction, Supervision of Insurers and Control of Right to Practice
Actuary s Guide to Reporting on Insurers of Persons Policy Liabilities Senior Direction, Supervision of Insurers and Control of Right to Practice September 2015 Legal deposit - Bibliothèque et Archives
More informationMANAGING RISK IN LIFE INSURANCE: A STUDY OF CHAGING RISK FACTORS OVER THE LAST 10 YEARS IN TAIWAN AND DRAWING LESSONS FOR ALL
MANAGING RISK IN LIFE INSURANCE: A STUDY OF CHAGING RISK FACTORS OVER THE LAST 10 YEARS IN TAIWAN AND DRAWING LESSONS FOR ALL Simon Walpole & Ophelia Au Young Deloitte Actuarial & Insurance Solutions,
More informationOlav Jones, Head of Insurance Risk
Getting you there. What is Risk Management of an Insurance Company, a view of a Head of Insurance Risk? Olav Jones, Head of Insurance Risk Olav Jones 29-11-2006 1 Agenda I. Risk Management in Insurance
More informationMERCHANT NAVY OFFICERS PENSION FUND STATEMENT OF INVESTMENT PRINCIPLES
MERCHANT NAVY OFFICERS PENSION FUND STATEMENT OF INVESTMENT PRINCIPLES Introduction The main purpose of the MNOPF is the provision of pensions for Officers in the British Merchant Navy on retirement at
More informationLife Settlements Investments
Title: Life Settlements Investments Authors: Craig Ansley Director, Capital Markets Research Julian Darby Consultant Date: February 2010 Synopsis: Life settlements is becoming an increasingly popular asset
More informationGE Financial Assurance Holdings, Inc. (Exact name of registrant as specified in its charter)
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 8-K/A1 CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of report (Date of earliest event reported)
More informationTABLE OF CONTENTS. Executive Summary 3. Introduction 5. Purposes of the Joint Research Project 6
TABLE OF CONTENTS Executive Summary 3 Introduction 5 Purposes of the Joint Research Project 6 Background 7 1. Contract and timeframe illustrated 7 2. Liability measurement bases 9 3. Earnings 10 Consideration
More informationGLOSSARY. A contract that provides for periodic payments to an annuitant for a specified period of time, often until the annuitant s death.
The glossary contains explanations of certain terms and definitions used in this prospectus in connection with the Group and its business. The terms and their meanings may not correspond to standard industry
More informationMML Bay State Life Insurance Company Management s Discussion and Analysis Of the 2005 Financial Condition and Results of Operations
MML Bay State Life Insurance Company Management s Discussion and Analysis Of the 2005 Financial Condition and Results of Operations General Management s Discussion and Analysis of Financial Condition and
More informationSession 9b L&H Insurance in a Low Interest Rate Environment. Christian Liechti
Session 9b L&H Insurance in a Low Interest Rate Environment Christian Liechti L&H Insurance in a Low Interest Rate Environment SOA Annual Symposium 24-25 June 2013 Macau, China Christian Liechti Swiss
More informationNotes to the consolidated financial statements Part E Information on risks and relative hedging policies
SECTION 2 RISKS OF INSURANCE COMPANIES 2.1 INSURANCE RISKS Life branch The typical risks of the life insurance portfolio (managed by EurizonVita, EurizonLife, SudPoloVita and CentroVita) may be divided
More informationSCOR inform - April 2012. Life (re)insurance under Solvency II
SCOR inform - April 2012 Life (re)insurance under Solvency II Life (re)insurance under Solvency II Author Thorsten Keil SCOR Global Life Cologne Editor Bérangère Mainguy Tel: +33 (0)1 58 44 70 00 Fax:
More informationDisclosure of European Embedded Value (summary) as of March 31, 2012
May 25, 2012 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of 2012 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life Insurance
More informationAsset Liability Management for Insurance Companies
e-learning and reference solutions for the global finance professional Asset Liability Management A comprehensive e-learning product covering Global Best Practices, Strategic, Operational and Analytical
More informationIFRS 4 Fáze II aneb dočkáme se konce nekonečného příběhu? Hana Havlíčková 4. října 2013, SAV, Praha
IFRS 4 Fáze II aneb dočkáme se konce nekonečného příběhu? Hana Havlíčková 4. října 2013, SAV, Praha IFRS 4 Phase II Agenda Introduction Definitions & Scope Measurement IFRS 4 ED Open Issues Appendix: Solvency
More informationCapital in Life Insurance Companies. Patrick Edwards, Head of Capital Management 21 May 2002
Capital in Life Insurance Companies Patrick Edwards, Head of Capital Management 21 May 2002 Disclaimer The material that follows is a presentation of general background information about the Bank s activities
More informationEconomic Capital for Life Insurers. Arnold Dicke Southeastern Actuaries Conference Spring Meeting Ritz Carlton, Amelia Island June 20, 2003
Economic Capital for Life Insurers Arnold Dicke Southeastern Actuaries Conference Spring Meeting Ritz Carlton, Amelia Island June 20, 2003 2 RAROC Economic Capital How is it defined? What are its components?
More informationRating Methodology by Sector. Life Insurance
Last Updated: July 1, 2013 Rating Methodology by Sector Life Insurance The following mainly applies to life insurance companies in Japan. The credit ratings of a life insurance company is assessed by focusing
More informationAssessing Sources of Funding for Insurance Risk Based Capital
Assessing Sources of Funding for Insurance Risk Based Capital Louis Lee Session Number: (ex. MBR4) AGENDA for Today 1. Motivations of Capital Needs 2. Practical Risk Based Capital Funding Options 3. Types
More informationContents. List of Figures. List of Tables. Acknowledgments PART I INTRODUCTION 1
List of Figures List of Tables Acknowledgments Preface xv xix xxi xxiii PART I INTRODUCTION 1 1 The Evolution of Financial Analysis 3 1.1 Bookkeeping 3 1.2 Modern finance 8 1.3 Departments, silos and analysis
More informationRating Methodology by Sector. Life Insurance
Last Updated: March 26, 2012 Rating Methodology by Sector Life Insurance *This rating methodology is a modification of the rating methodology made public on July 13, 2011, and modifications are made to
More informationCHAPTER 57 - LIFE AND HEALTH REINSURANCE AGREEMENTS
TITLE 210 - NEBRASKA DEPARTMENT OF INSURANCE CHAPTER 57 - LIFE AND HEALTH REINSURANCE AGREEMENTS 001. Authority. This regulation is adopted and promulgated by the Director of Insurance of the State of
More informationSociety of Actuaries in Ireland
Society of Actuaries in Ireland Information and Assistance Note LA-1: Actuaries involved in the Own Risk & Solvency Assessment (ORSA) under Solvency II Life Assurance and Life Reinsurance Business Issued
More informationA chapter on Valuation basis covering the following minimum criteria should also be displayed on the web-site of the Insurers.
L-42 42- Valuation Basis (Life Insurance) A chapter on Valuation basis covering the following minimum criteria should also be displayed on the web-site of the Insurers. Data The company maintains the Policy
More informationINSTITUTE AND FACULTY OF ACTUARIES EXAMINATION
INSTITUTE AND FACULTY OF ACTUARIES EXAMINATION 30 April 2015 (am) Subject SA2 Life Insurance Specialist Applications Time allowed: Three hours INSTRUCTIONS TO THE CANDIDATE 1. Enter all the candidate and
More informationLife Insurance Corporation (Singapore)Pte Ltd UEN 201210695E MANAGEMENT REPORT 31/12/2013
Life Insurance Corporation (Singapore)Pte Ltd UEN 201210695E MANAGEMENT REPORT 31/12/2013 LIFE INSURANCE CORPORATION (SINGAPORE) PTE. LTD. For the financial period from 1 January 2013 to 31 December 2013
More informationCRISIL Methodology for rating Life Insurance Companies. Tarun Bhatia Head Financial Sector Ratings
CRISIL Methodology for rating Life Insurance Companies Tarun Bhatia Head Financial Sector Ratings August 3, 2007 2. CRISIL Background First Rating Agency in India Largest Rating Agency outside of USA (fourth
More informationEmbedded Value 2014 Report
Embedded Value 2014 Report Manulife Financial Corporation Page 1 of 13 Background: Consistent with our objective of providing useful information to investors about our Company, and as noted in our 2014
More informationPortfolio Replication Variable Annuity Case Study. Curt Burmeister Senior Director Algorithmics
Portfolio Replication Variable Annuity Case Study Curt Burmeister Senior Director Algorithmics What is Portfolio Replication? To find a portfolio of assets whose value is equal to the value of a liability
More informationStochastic Analysis of Long-Term Multiple-Decrement Contracts
Stochastic Analysis of Long-Term Multiple-Decrement Contracts Matthew Clark, FSA, MAAA, and Chad Runchey, FSA, MAAA Ernst & Young LLP Published in the July 2008 issue of the Actuarial Practice Forum Copyright
More informationOutline. NAIC Risk Based Capital Model. Goals Formula Risk Categories RBC Level of Action C-3 Phase II
Capital Management Outline NAIC Risk Based Capital Model Goals Formula Risk Categories RBC Level of Action C-3 Phase II Outline S&P Capital Model Description Formula S&P Rating Level Risk Categories Conclusion
More informationINSURANCE RATING METHODOLOGY
INSURANCE RATING METHODOLOGY The primary function of PACRA is to evaluate the capacity and willingness of an entity / issuer to honor its financial obligations. Our ratings reflect an independent, professional
More informationApplication of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma
Institute of Actuaries of India Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma 21 st IFS Seminar Indian Actuarial Profession Serving the
More informationING Insurance Economic Capital Framework
ING Insurance Economic Capital Framework Thomas C. Wilson Chief Insurance Risk Officer Kent University, September 5, 2007 www.ing.com Objectives of this session ING has been using economic capital internally
More informationAlternative Settlement Methods for Hypothetical Wind-Up and Solvency Valuations
Educational Note Alternative Settlement Methods for Hypothetical Wind-Up and Solvency Valuations Committee on Pension Plan Financial Reporting September 2013 Document 213082 Ce document est disponible
More informationAegon / Transamerica: The Implications of Living to 100 and Beyond
Aegon / Transamerica: The Implications of Living to 100 and Beyond Boca Raton, FL March 3, 2014 David Hopewell CFO Individual Savings & Retirement Transamerica Significant opportunities in the variable
More informationAntigonish Farmers Mutual Insurance Company. Consolidated financial statements. December 31, 2014
Consolidated financial statements Contents Page Management s statement of responsibility for financial reporting 1 Independent auditor s report 2 Consolidated statement of financial position 3 Consolidated
More informationInter-Segment Notes for Life Insurance Companies. Sound Business and Financial Practices
Guideline Subject: Category: for Life Insurance Companies Sound Business and Financial Practices No: E-12 Date: June 2000 Revised: July 2010 Introduction This guideline establishes OSFI s expectations
More informationMorgan Stanley 10th Annual European Financials Conference. Mark Wilson Chief Executive Officer. March 2014
Morgan Stanley 10th Annual European Financials Conference Mark Wilson Chief Executive Officer March 2014 1 Disclaimer Cautionary statements: This should be read in conjunction with the documents filed
More informationFeatured article: Evaluating the Cost of Longevity in Variable Annuity Living Benefits
Featured article: Evaluating the Cost of Longevity in Variable Annuity Living Benefits By Stuart Silverman and Dan Theodore This is a follow-up to a previous article Considering the Cost of Longevity Volatility
More informationBERMUDA MONETARY AUTHORITY DETERMINATION OF DISCOUNT RATES FOR ECONOMIC BALANCE SHEET FRAMEWORK July 2015
BERMUDA MONETARY AUTHORITY DETERMINATION OF DISCOUNT RATES FOR ECONOMIC BALANC CE SHEET FRAMEWORK July 2015 Contents I. BACKGROUND... 3 II. DETERMINATION OF DISCOUNT RATES... 4 III. STANDARD APPROACH...
More informationEXAMINATION. 22 April 2010 (pm) Subject ST2 Life Insurance Specialist Technical. Time allowed: Three hours INSTRUCTIONS TO THE CANDIDATE
Faculty of Actuaries Institute of Actuaries EXAMINATION 22 April 2010 (pm) Subject ST2 Life Insurance Specialist Technical Time allowed: Three hours INSTRUCTIONS TO THE CANDIDATE 1. Enter all the candidate
More informationClaims Paying Ability Ratings for General Insurance Companies
Claims Paying Ability Ratings for General Insurance Companies ICRA's Claims Paying Ability Ratings (CPRs) for general insurance companies are opinions on their ability to honour policy-holder claims and
More informationAPS2 The Prudential Supervision of Long-Term Insurance Business. Definitions. Legislation or Authority. Application. General
APS2 The Prudential Supervision of Long-Term Insurance Business Classification Mandatory Definitions Insurer Liabilities to policyholders Long-term insurance business The insurance company or other organisation
More informationST ANDREW'S LIFE ASSURANCE PLC
Annual FSA Insurance Returns for the year ended 31 December 2008 Appendices 9.1, 9.3, 9.4, 9.6 Contents Appendix 9.1 Form 2 Statement of solvency - long-term insurance business 1 Form 3 Components of
More informationSample Irrevocable Life Insurance Trust Investment Policy Statement
Sample Irrevocable Insurance Trust Investment Policy Statement Sample Investment Policy Statement This sample has been prepared to show how credible TOLI-specific policy evaluation criteria can be established
More informationInstitute of Actuaries of India Subject ST1 Health and Care Insurance
Institute of Actuaries of India Subject ST1 Health and Care Insurance For 2015 Examinations Aim The aim of the Health and Care Specialist Technical subject is to instil in successful candidates the ability
More informationWhat is Risk Management
Chapter 1 What is Risk Management 1.1 Introduction 1.1.1 Raison D être of Risk Management In order to understand the need for risk management it is necessary to look at the different building blocks of
More informationVariable Annuities and Policyholder Behaviour
Variable Annuities and Policyholder Behaviour Prof Dr Michael Koller, ETH Zürich Risk Day, 1192015 Aim To understand what a Variable Annuity is, To understand the different product features and how they
More informationiii. Risk Report Management's Assessment on Risk Profile
Management Discussion and Analysis, Risk Report and Financial Control Reconciliations, Risk Report 149 Risk Report and Financial Control iii. Risk Report the allianz risk management approach is designed
More informationArticle Insurance. (a) (1) In this section the following words have the meanings indicated.
Article Insurance [Previous][Next] 5 306. (a) (1) In this section the following words have the meanings indicated. (2) Change in fund basis means a valuation basis under which the interest rate used to
More information500.4107 Separate account annual statement and other information to be submitted to commissioner.
THE INSURANCE CODE OF 1956 (EXCERPT) Act 218 of 1956 CHAPTER 41 MODIFIED GUARANTEED ANNUITIES 500.4101 Definitions. Sec. 4101. As used in this chapter: (a) Interest credits means all interest that is credited
More informationSOA Annual Symposium Shanghai. November 5-6, 2012. Shanghai, China. Session 2a: Capital Market Drives Investment Strategy.
SOA Annual Symposium Shanghai November 5-6, 2012 Shanghai, China Session 2a: Capital Market Drives Investment Strategy Genghui Wu Capital Market Drives Investment Strategy Genghui Wu FSA, CFA, FRM, MAAA
More informationPricing exercise based on a collection of actuarial assumptions Assumptions generally divided into two sets
Whole Life Pricing Pricing exercise based on a collection of actuarial assumptions Assumptions generally divided into two sets Company specific: Mortality, Lapsation, Expenses, Dividends, etc. Prescription
More informationR&I Rating Methodology by Sector
R&I Rating Methodology by Sector Life Insurance October 31, 2013 R&I applies its rating methodology for life insurance to life insurance companies that provide death benefits centered on mortality insurance
More information[Source: Added at 17 Ok Reg 1659, eff 7-14-00]
TITLE 365. INSURANCE DEPARTMENT CHAPTER 10. LIFE, ACCIDENT AND HEALTH SUBCHAPTER 17. VALUATION OF LIFE INSURANCE POLICIES REGULATION INCLUDING THE INTRODUCTION AND USE OF NEW SELECT MORTALITY FACTORS)
More informationInsurance Guidance Note No. 14 System of Governance - Insurance Transition to Governance Requirements established under the Solvency II Directive
Insurance Guidance Note No. 14 Transition to Governance Requirements established under the Solvency II Directive Date of Paper : 31 December 2013 Version Number : V1.00 Table of Contents General governance
More informationSURRENDER VALUE AND PAID-UP VALUE STANDARD FOR LIFE INSURANCE
Actuarial Society of Malaysia (ASM) SURRENDER VALUE AND PAID-UP VALUE STANDARD FOR LIFE INSURANCE Prepared by: Life Insurance Sub-Committee of Actuarial Society of Malaysia TABLE OF CONTENTS CONTENTS PAGE
More informationFact sheet on unit-linked life insurance
Federal Department of Finance FDF Federal Office of Private Insurance FOPI Fact sheet on unit-linked life insurance Updated: 1 May 2008 1. Background With the introduction of the new supervision law 1
More informationMarket Consistent Embedded Value in Non-Life Insurance: How to measure it and why
Market Consistent Embedded Value in Non-Life Insurance: How to measure it and why Dorothea Diers, Provinzial NordWest Holding AG, Münster Martin Eling, University of Ulm Christian Kraus, University of
More informationGN45: Determining the With-Profits Insurance Capital Component
GN45: Determining the With-Profits Insurance Capital Component Classification Practice Standard Purpose The FSA Handbook of Rules and Guidance requires insurance companies and friendly societies with with-profits
More informationCanadian Life Insurance Company Asset/Liability Management Summary Report as at: 31-Jan-08 interest rates as of: 29-Feb-08 Run: 2-Apr-08 20:07 Book
Canadian Life Insurance Company Asset/Liability Management Summary Report as at: 31Jan08 interest rates as of: 29Feb08 Run: 2Apr08 20:07 Book Book Present Modified Effective Projected change in net present
More information