SOLVENCY II UNDERWRITING CREDIT RISK MODELS
|
|
- Amberly Atkins
- 8 years ago
- Views:
Transcription
1 SOLVENCY II UNDERWRITING CREDIT RISK MODELS By Juan Casanovas Arbo Dpto: Economía, Estadística y Economía Española Universitat de Barcelona
2 Contents and introduction
3 Solvency II Background Documents Directive of Solvency II (25/11/2009), Directive 2009/138/CE. Draf Implementing measures Level 2 (2010), Working Document EIOPC/SEG/IM13/2010. ROSP (1998) BOE 282/ /11/1998 QIS5 Thecnical Specifications Sumamary (201) EIOPA 2011 QIS5 Report. EIOPA Report on the fifth Quantitative Impact Study (QIS5) for Solvency II. EIOPA-TFQIS5-11/001 de 14 de Marzo de 2011, UNESPA QIS5 Informe. UNESPA: Resultados QIS5 Mercado Español. Madrid 23/3/2011, julio/2012 DGSyFP Presentación Resultados QIS5 23/03/2011. Disponible en : julio/2012
4 Bibliography Bermúdez y Morata, L. (2010) Métodos Estocásticos para el Cálculo de la Provisión Técnica de Prestaciones Pendientes en Solvencia II. Grupo de Investigación RFA-IREA, Universidad de Barcelona. julio/2012. Carrillo, S. (2005). Basilea II: Una Mirada Crítica, Mediterraneo Económico nº 8, ISBN DL AL Editado por: Instituto de Estudios Económicos de Cajamar. Casanovas, J. (2012). La medición de la Solvencia del Riesgo de Suscripción en el ramo de Crédito. Master de Investigación en Empresas, Finanzas y Seguros. Universidad de Barcelona. Diers, D. (2011). Management Strategies in Multi-year Enterprise Risk Management. Risk Management, Provinzial NordWest Holding and University of Ulm, Provinzial Alice 1, Muenster 48131, Germany. The Geneva Papers 2011, 36, ( ). The International Association for the Study of Insurance Economics /11. England, P. y Verrall, R. (1999). Analytic and Bootstrap estimates of prediction errors in claims reserving. Insurance: Mathematics and Economics 25(1999) England, P. y Verrall, R. (2002). Stochastic Claims Reserving in General Insurances. Presentación al Instituto de Actuarios 28 Enero 2002, B.A.J. 8,III, (2002). Galicia, M. (2003). Nuevos enfoques del Riesgo de Crédito. Instituto de Riesgo Financiero. México Gesmann, M. (2009). Claims Reserving in R The Chain-ladder package. Conference paper: One-Day Workshop 24 July, Stample Inn London. Rodríguez, E. ( 2007). Un modelo de reservas bancarias con correcciones macroeconómicas y financieras. Edición electrónica Diciembre 2007, ISBN Saavedra, M.L. y Saavedra, M.J. (2010). Modelos para medir el riesgo de crédito de la banca. Cuadernos de Administración vol. 23 num / 2010, , Universidad Pontificia Javeriana Colombia. Sandström, A. (2006). Solvency, Models, Assessment and Regulation. Chapman & Hall/CRC ( Taylor and Francis Group ) 2006, ISBN The Solvency II Handbook (2009), Developing ERM Frameworks in Insurance and Reinsurance Companies. List of 33 authors. Edited by Marcelo Cruz. Risk Books, a división of Incisive Finantial Publishing Ltd.
5 Environment Solvency II Manager Other Managers Advisors Solvency II Regulators/College of Regulators Internal teams
6 Environment The managers have a lack of knowledge of Internal Models The advisors want to sell their own Solvency II product/model/software/time The internal teams and the regulators are also more comfortable with as much capital as possible The other managers have too many problems to help you
7 Scenario: Standard Formula vs Internal Model
8 Scenario: Standard Formula vs Internal Model What do we need to use, SF or IM? Is it possible to apply more than one type of Internal Model? What about the SCR for each IM? At what cost?
9 Scenario: To answer this question we need to know How many Models it is possible to use? The consecuences and Advantages of using each one.
10 How many Models is it possible to use? 1.- Standard Formula 2.- IM imported from the Bank Sector 3.- IM according to the Insurance Technical P&L 4.- IM related to the BE of the Technical Provisions
11 How many Models is it possible to use First approach: The methodologies and the data are extremely different It is possible to use these different methodologies?
12 Is possible to use these different methodologies? The Solvency II Directive and the QIS5 Technical Specifications : Premium and Reserve Credit and Suretyship Standard Formula => Non life insurance standard formula But, the most important Credit Insurance players are using the Bank credit methodology defined in Basel II
13 The consequences of using each one When we apply these different models to one specific portfolio, the resulting Underwriting SCR resulting from each different model, shows a wide range
14 The consequences of using each one What wide range means ( only Underwriting Credit Risk) Source: Percentatges come from Own source
15 QIS5 Spanish line of business results Premium and Reserve SCR / Premium source: DGSyFP Presentacion Resultados QIS 23/03/2011, and UNESPA Informe Resultados QIS5 Mercado Español
16 QIS5 Spanish line of business results Catastrophic SCR / Premium Source: DGSyFP Presentacion Resultados QIS% 23/03/2011, and UNESPA Informe Resultados QIS5 Mercado Español
17 The target
18 The target To improve the knowledge of the different models in evaluating the Solvency II Underwriting Credit Risk Capital Required, and to analyse the reasons for the wide range of results And taking into consideration for each selected model The treatment of Catastrophic Risk The 12 month time horizon defined in Solvency II
19 The Risks Underwriting Risk includes Premium and Reserve Risk Lapse Risk Catastrophic Risk
20 (1) Carrillo 2005 Basilea II Una mirada Crítica The Standard Formula
21 The Standard Formula any case :it is the BASELINE REFERENCE for all Internal Models. In companies need to evaluate the standard formula LIMITATIONS: Use the VaR methodology over Premiums and Reserves. => That means assuming the Normal Distribution. In the Credit Insurance business, we know, the variables are Financial and show leptocurtosis + Asymmetric distribution. Also they lose subaditivity and diversification effects. Complex to work with, and easy to make mistakes (1) Carrillo 2005 Basilea II Una mirada Crítica
22 The Standard Formula Lapse Risk: Catastrophic Risk: The SF-> 2 scenarios: 3 Big Claims + Recession Risk. Double Accounting? Is it possible to separate the catastrophic information? (1) Carrillo 2005 Basilea II Una mirada Crítica
23 The adapted Bank Credit Model
24 The adapted Bank Credit Model The Bank Credit Model needs to be calibrated in order to adapt it to the insurance activity The Insurance Short term risk vs the Bank large term risk A significant portion of risk is ceded to the reinsurers Different reasons for losses and different levels of loss amounts It is possible to re-underwrite or cancel the risk at any moment The client takes part of their own risk Additional conditions: e.g. Prudent credit management requirement
25 The adapted Credit Bank Model The Model: We generate and important number of interactions with a Monte-Carlo methodology, mixing Internal Information of buyers and credit exposures plus the enviroment factors through the scenario calculation which give the maximum expected loss at 99.5% ADVANTATGES and LIMITATIONS Well adapted to day by day operation Complex and Expensive Models Complex to coordinate with the BE of Technical Provisions With high SCR Volatility Models without empirical testing in their adaptation to the Insurance product Difficult to change the 12 month time horizon The Catastrophic Risk is implicit in the data for the General Model and it is not easy to segregate and evaluate separately
26 IM based on the Technical P&L
27 IM based on the Technical P&L The Model: We generate from the distribution functions from each element of the technical P&L with it s correlations and important number of interactions with a Monte-Carlo methodology which give the maximum expected loss at 99.5% ADVANTATGES and LIMITATIONS: Models relatively easy to assimilate Easy to assume a different time horizon The Model implies the BE sub-model in order to evaluate the technical Provisions The Model is defined by internal parameters, normally means lower SCR Volatility Catastrophic Risk is implicit in the data for the General Model and it is not easy to segregate and evaluate separately
28 IM according to the BE of the Technical Provisions?
29 IM according to the BE of the Technical Provisions The Model: We are evaluating the BE of the Technical Provisions at 50% of default probability and we include it in our Balance Sheet in IFR s. It is easy to select the value (Claims Provisions SCR)at 99.5% This Model only answers the Cleims Provisions with any extreme scenario, including the catastrohic escenario. We know the methodology and the results wery well. It is easy to adapt and include a simple procedure to add the Premium SCR and the Lapse Risk. ADVANTATGES and LIMITATIONS Models in work and easy to adapt. Contrasted Models Defined by Internal Parameters. Lower SCR Volatility Specific Time Horizon: Only referred to a claims occurred before date Catastrophic Risk: Not easy to evaluate separetely with normal claims in the triangles
30 The time horizon Solvency II establish a 12 months Time Horizon: Consequently by the treatment of the catastrophic events, the Reinsurance contracts, or the Business strategies (the ORSA report) the Capital Models and the Enterprise Risk Management need to be coherent and all together point at longer time horizon ( 3 or 5 years depending on the author) (1). The present crisis is closing our access to the Financial Markets. A 12 months time horizon means if we have problems we need to close the business because even in the best case we don t have/found enough capital to cover the SCR (1) Diers D. (2011), Management Strategies in Milti-year Enterprise isk Management
31 Catastrophic Risk Basically two options - Included in the Model ( all internal models) As well as accepting the past explain the future If not, how can we include the effects of unknow events? - Evaluating separatly ( standard formula) In our practice, it was absolutely impossible to segregate the catastrophic events from our data.
32 Conclusions after analysis The Standard Formula is not a Baseline Reference There are enough evidence to give as the idea we can reduce the SCR wide range The Time Horizon need to be adapted according to the companies policies and the capital market and to be coherent with ORSA The treatment of the Catastrophic risk need to be defined with realistic scenarios take care with Double accounting and -- please not to use as a capital add-on
33 Next steps Next steps toward Underwriting Credit Insurance Risk 1.- Evaluate All Models one by one 2.- Suggest the changes to introduce in each model in order to reduce the wide range of SCR 3- To propose a new time horizon according to the Internal Models, the companies policies and the ORSA 4.- To propose a complementary definition of Catastrophic Risk acording the Internal models
34 SOLVENCY II UNDERWRITING CREDIT RISK MODELS By Juan Casanovas Arbo Thankyou for coming and for your time Dpto: Economía, Estadística y Economía Española Universitat de Barcelona
Antoni Ferri Vidal. Curriculum Vitae. Skills. Relevant Work Experience. Computer skills. Technical skills. Soft skills. Specific Tasks: Basic
Antoni Ferri Vidal Curriculum Vitae Skills Basic Project orientation Integration Pragmatism Computer skills Visual Basic Application, User programing level Microsoft Office, L A TEX, R-project, ERMs, IBNRs
More informationSOLVENCY II UNDERWRITING CREDIT RISK MODELS
SOLVENCY II UNDERWRITING CREDIT RISK MODELS By Juan Casanovas Arbó Dpto. Econometría, Estadística y Economía Española (juan.casanovas@ub.edu): Universitat de Barcelona. Avd. Diagonal. 690, 08034 Barcelona.
More informationPreparing for ORSA - Some practical issues Speaker:
2013 Seminar for the Appointed Actuary Colloque pour l actuaire désigné 2013 Session 13: Preparing for ORSA - Some practical issues Speaker: André Racine, Principal Eckler Ltd. Context of ORSA Agenda Place
More informationSolvency II and catastrophe
Solvency II and catastrophe risks: Measurement approaches for propertycasualty insurers Country-specific requirements or standard formula? Authors: Dr. Kathleen Ehrlich Dr. Norbert Kuschel Contact solvency-solutions@munichre.com
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 informationJOSE EDUARDO GOMEZ-GONZALEZ
JOSE EDUARDO GOMEZ-GONZALEZ Work Address: Carrera 7 14-78 Piso 11, Bogota, Colombia Telephone: (571) 3430359 E-Mail Address: jgomezgo@banrep.gov.co Fields of Specialization: Financial Economics; Macroeconomics;
More information820324 - GEEN - Energy Management
Coordinating unit: 820 - EUETIB - Barcelona College of Industrial Engineering Teaching unit: 709 - EE - Department of Electrical Engineering Academic year: Degree: 2015 BACHELOR'S DEGREE IN ENERGY ENGINEERING
More informationTHE MULTI-YEAR NON-LIFE INSURANCE RISK
THE MULTI-YEAR NON-LIFE INSURANCE RISK MARTIN ELING DOROTHEA DIERS MARC LINDE CHRISTIAN KRAUS WORKING PAPERS ON RISK MANAGEMENT AND INSURANCE NO. 96 EDITED BY HATO SCHMEISER CHAIR FOR RISK MANAGEMENT AND
More information240EI025 - Business Administration
Coordinating unit: Teaching unit: Academic year: Degree: ECTS credits: 2015 240 - ETSEIB - Barcelona School of Industrial Engineering 732 - OE - Department of Management MASTER'S DEGREE IN MATERIALS SCIENCE
More informationALFREDO MARTIN-OLIVER CV October 2014
ALFREDO MARTIN-OLIVER CV October 2014 NAME Alfredo Martín Oliver BIRTH May, 30 th,1979. Balearic Islands (Spain) NATIONALITY Spanish WORK ADDRESS Business Department, Universidad de las Islas Baleares
More informationCapital requirements for health insurance under Solvency II
Capital requirements for health insurance under Solvency II Medical Expense Insurance: Actuarial Aspects and Solvency Afternoon Seminar at the AG Insurance Chair in Health Insurance, KU Leuven 25 April
More informationERM from a Small Insurance Company Perspective
ERM from a Small Insurance Company Perspective NABRICO Sept 30, 2011 Agenda Section 1 Section 2 Section 3 Section 4 ERM Introduction Key Risks Streamlined Quantitative Process Other Influences 1 1 Section
More informationEuropean Union - Regional Economics Applications Laboratory
European Union - Regional Economics Applications Laboratory EU-REAL is a research net in Regional Science integrated by European people tied to the Regional Economics Applications Laboratory (REAL) in
More information1.- NAME OF THE SUBJECT 2.- KEY OF MATTER. None 3.- PREREQUISITES. None 4.- SERIALIZATION. Particular compulsory 5.- TRAINING AREA.
UNIVERSIDAD DE GUADALAJARA CENTRO UNIVERSITARIO DE CIENCIAS ECONÓMICO ADMINISTRATIVAS MAESTRÍA EN ADMINISTRACIÓN DE NEGOCIOS 1.- NAME OF THE SUBJECT Selected Topics in Management 2.- KEY OF MATTER D0863
More informationHow To Calculate Multi-Year Horizon Risk Capital For Non-Life Insurance Risk
The Multi-Year Non-Life Insurance Risk Dorothea Diers, Martin Eling, Christian Kraus und Marc Linde Preprint Series: 2011-11 Fakultät für Mathematik und Wirtschaftswissenschaften UNIVERSITÄT ULM The Multi-Year
More informationJaume Belles Sampera. Curriculum Vitae October 2014
Jaume Belles Sampera Curriculum Vitae October 2014 Address Av. Diagonal 690 Tel: +34 93 403 70 43 Tower 4, Office n. 208b E-mail: belles.sampera@ub.edu Barcelona, 08034 Webpage: www.ub.edu/riskcenter/jbs.html
More informationUNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION
UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION List of Subjects by Department 14-15 DEPARTAMENTO DE ECONOMÍA - DEPARTAMENT OF ECONOMICS Análisis de la Coyuntura Analysis
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 informationCURRICULUM VITAE JUAN-ANGEL JIMENEZ-MARTIN. Complutense University of Madrid Pozuelo de Alarcon Madrid Spain
CURRICULUM VITAE JUAN-ANGEL JIMENEZ-MARTIN Present Address Quantitative Economics Complutense University of Madrid Pozuelo de Alarcon Madrid Spain Postal Address Campus Somosaguas Pozuelo de Alarcon Madrid
More informationRole of Actuaries in Solvency II Tamsin Abbey
Role of Actuaries in Solvency II Tamsin Abbey Objective To consider the broad ranging roles that actuaries are expected to play under Solvency II To set out suggested next steps prior to Go-Live Broad
More informationCurriculum Vitae Emili Tortosa-Ausina
Curriculum Vitae Emili Tortosa-Ausina Business Address: Departament d Economia Facultat de Ciències Econòmiques i Jurídiques Campus del Riu Sec 12071 Castellón Spain Tel.: +34 964728606 Fax: +34 964728591
More informationCINTIA MONICA MARTINEZ
CINTIA MONICA MARTINEZ Age: 46. Citizenship: Argentine and Italian. Address: Rojas 1539 8 B. C1416CPK - Buenos Aires, Argentina. Telephone:+54 11 4586 1577 (Cell.) +54 11 15 6132 2091 E-mail: cintiam34@yahoo.com
More informationSolvency II for Beginners 16.05.2013
Solvency II for Beginners 16.05.2013 Agenda Why has Solvency II been created? Structure of Solvency II The Solvency II Balance Sheet Pillar II & III Aspects Where are we now? Solvency II & Actuaries Why
More informationHow To Run A Successful Insurance Company
RISKS ANALYSIS FOR INSURANCE COMPANIES - AREA XXI - INDEX INTRODUCTION 1. ACTIVITIES 2. BUSINESS VALUES 3. COMPANY STRUCTURE 4.RESUMES INTERNATIONAL EXPERTISE CHARITY COLLABORATION 1 AREA XXI - Introduction
More informationLatin America. Developing Solvency Regulations. Brazil
Latin America Developing Solvency Regulations By Alda Fassbender, Carlos Gonzalez, Diego Guaita and Karina Yabra Many Latin American countries are currently transforming their solvency regulations and
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 informationAn update on QIS5. Agenda 4/27/2010. Context, scope and timelines The draft Technical Specification Getting into gear Questions
A Closer Look at Solvency II Eleanor Beamond-Pepler, FSA An update on QIS5 2010 The Actuarial Profession www.actuaries.org.uk Agenda Context, scope and timelines The draft Technical Specification Getting
More informationNORMALIZED CV REGISTRATION NUM.: 01772
- 1 NORMALIZED CV REGISTRATION NUM.: 01772 SURNAMES: MARTÍNEZ IBÁÑEZ NAME: OSCAR GENDER: Man ID number: 14608011 DATE OF BIRTH: 01/06/1973 Number of employee: Personal address: Cabanes nº 28 Principal
More informationUNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION
UNIVERSIDAD PONTIFICIA COMILLAS FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION List of Subjects by Department 15-16 DEPARTAMENTO DE ECONOMÍA - DEPARTMENT OF ECONOMICS Análisis de la Coyuntura Analysis
More information240EO031 - Supply Chain Design
Coordinating unit: 240 - ETSEIB - Barcelona School of Industrial Engineering Teaching unit: 732 - OE - Department of Management Academic year: Degree: 2015 MASTER'S DEGREE IN MANAGEMENT ENGINEERING (Syllabus
More informationSOLVENCY II HEALTH INSURANCE
2014 Solvency II Health SOLVENCY II HEALTH INSURANCE 1 Overview 1.1 Background and scope The current UK regulatory reporting regime is based on the EU Solvency I Directives. Although the latest of those
More informationHealth insurance pricing in Spain: Consequences and alternatives
Health insurance pricing in Spain: Consequences and alternatives Anna Castañer, M. Mercè Claramunt and Carmen Ribas Dept. Matemàtica Econòmica, Financera i Actuarial Universitat de Barcelona Abstract For
More informationRoberto Burguet Curriculum vitae March 2015
Roberto Burguet Curriculum vitae March 2015 Phone: 34-93-580-6612 (work) Fax: 34-93-580-1452 e-mail: roberto.burguet@iae.csic.es Education B.A. in Economics, Universidad de Oviedo,1981 M.A. in Economics,
More informationTreatment of technical provisions under Solvency II
Treatment of technical provisions under Solvency II Quantitative methods, qualitative requirements and disclosure obligations Authors Martin Brosemer Dr. Susanne Lepschi Dr. Katja Lord Contact solvency-solutions@munichre.com
More informationORSA for Dummies. Institute of Risk Management Solvency II Group April 17th 2012. Peter Taylor
ORSA for Dummies Institute of Risk Management Solvency II Group April 17th 2012 Peter Taylor ORSA for - the Dummies heart of Solvency II Institute of Risk Management Solvency II Group April 17th 2012 Peter
More informationSolvency II Introduction to Pillar 3. Friday 20 th May 2016
Solvency II Introduction to Pillar 3 Friday 20 th May 2016 Disclaimer The views expressed in this presentation are those of the presenter(s) and not necessarily of the Society of Actuaries in Ireland Introduction
More informationCase Study Modeling Longevity Risk for Solvency II
Case Study Modeling Longevity Risk for Solvency II September 8, 2012 Longevity 8 Conference Waterloo, Ontario Presented by Stuart Silverman Principal & Consulting Actuary Background SOLVENCY II New Minimum
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 informationERM in Mexico: Insurance Companies and Banks. Insurance ERM
ERM in Mexico: Insurance Companies and Banks Insurance ERM Irma Medina Technical Chief Actuary Rurik Magos Risk Management Director April 2008 Agenda ERM in Mexico: Insurance Companies Insurance Market
More informationAISAM-ACME study on non-life long tail liabilities
AISAM-ACME study on non-life long tail liabilities Reserve risk and risk margin assessment under Solvency II 17 October 2007 Page 3 of 48 AISAM-ACME study on non-life long tail liabilities Reserve risk
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 informationIKUHO KOCHI. March 2013
CONTACT INFORMATION IKUHO KOCHI March 2013 E-mail: ikuho.kochi@uacj.mx EDUCATION Ph.D. Doctor of Philosophy in Economics, May 2007. Georgia State University, Atlanta, Georgia. M.E.M Master of Environmental
More informationCOURSE SYLLABUS. (English teaching)
1. COURSE DESCRIPTION Degree: Administración y Dirección de Empresas (English teaching) Double Degree: Derecho y Administración y Dirección de Empresas (English teaching) Course: FINANCIAL MATHEMATICS
More informationTexts passed by the European Council and Parliament Adapted by Member States
Introduction A few words about European Directives Texts passed by the European Council and Parliament Adapted by Member States Insurance law: What is going on? A draft directive under discussion = SOLVENCY
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 informationPh.D. Economics, University of Maryland at College Park, 2004. Master in Economics, University of Maryland at College Park, 2002.
PERSONAL INFORMATION EDUCATION Name: Diego Saravia Tamayo. Email: dsaravia@bcentral.cl Phone: (56) (2) 2 388-2298 (work) Home: (56) (2) 2 813-3257 (home). Ph.D. Economics, University of Maryland at College
More informationSolvency II New Framework for Risk Management Organisation. Dr. Maciej Sterzynski (Triglav Insurance, Ltd.) Matija Bitenc (Triglav Insurance, Ltd.
Solvency II New Framework for Risk Management Organisation Dr. Maciej Sterzynski (Triglav Insurance, Ltd.) Matija Bitenc (Triglav Insurance, Ltd.) 1 AGENDA ð Understanding Solvency II ð Setting up Integrated
More informationFSA UK Country Report
Financial Services Authority FSA UK Country Report The fifth Quantitative Impact Study (QIS5) for Solvency II March 2011 Contents 1 Introduction 3 2 Participation 6 3 Quality 8 4 Preparedness and resourcing
More informationRESUME SUMMARY EXECUTIVES - COLOMBIAN SECURITIES EXCHANGE (BVC)
RESUME SUMMARY EXECUTIVES - COLOMBIAN SECURITIES EXCHANGE (BVC) JUAN PABLO CÓRDOBA GARCÉS: CEO Joined the BVC on March 14, 2005 Director at the Fondo de Garantías de Instituciones Financieras (Financial
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 informationCURRICULUM VITAE Julio Florentino del Corral Cuervo 26 th September, 2008
CURRICULUM VITAE Julio Florentino del Corral Cuervo 26 th September, 2008 Personal Data Birth Date: 23/11/1980 Personal Adress: Proffesional Adress: Homepage: E-mail adress: C/ Electra 17, 1º Izquierda,
More informationAnalysis of the Operating Efficiency of Mobile Operators During the 2002 to 2008 Period
6th International Conference on Industrial Engineering and Industrial Management. XVI Congreso de Ingeniería de Organización. Vigo, July 18-20, 2012 Analysis of the Operating Efficiency of Mobile Operators
More informationCURRÍCULUM VITAE. Current Position:
CURRÍCULUM VITAE Name: Luis M. Miller Institute for Advanced Social Studies of Andalusia Spanish Council for Scientific Research C/ Campo Santo de los Mártires 7, Córdoba 14004 (Spain) T. 34-957760247
More informationThe ROLE of the ACTUARY in the LIFE, PENSION and SOCIAL SECURITY SECTORS
The ROLE of the ACTUARY in the LIFE, PENSION and SOCIAL SECURITY SECTORS First CIS Actuaries Conference Fifth RAMI International Conference Moscow, 27-28 November 2008 Chris Daykin Chief Executive, IAA
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 informationStress testing in a time of models. Peter Sondhelm, Steve Clark & James Orr
Stress testing in a time of models Peter Sondhelm, Steve Clark & James Orr Agenda Why Stress Test? Users of Stress Tests Imagination vs. Expectation Robust Stress Testing Infrastructure Good / Bad Practice
More information1. INTRODUCTION AND PURPOSE
Solvency Assessment and Management: Pillar 1 - Sub Committee Capital Requirements Task Group Discussion Document 73 (v 2) Treatment of new business in SCR EXECUTIVE SUMMARY As for the Solvency II Framework
More informationGuidelines on look-through approach
EIOPA-BoS-14/171 EN Guidelines on look-through approach EIOPA Westhafen Tower, Westhafenplatz 1-60327 Frankfurt Germany - Tel. + 49 69-951119-20; Fax. + 49 69-951119-19; email: info@eiopa.europa.eu site:
More informationANNEX ON GENERAL RULES APPLICABLE TO (LIFE AND NON-LIFE) INSURERS OPERATING IN SPAIN UNDER FREEDOM TO PROVIDE SERVICES OR RIGHT OF ESTABLISHMENT
SECRETARÍA DE ESTADO, ANNEX ON GENERAL RULES APPLICABLE TO (LIFE AND NON-LIFE) INSURERS OPERATING IN SPAIN UNDER FREEDOM TO PROVIDE SERVICES OR RIGHT OF ESTABLISHMENT The list set out below is not exhaustive,
More informationORSA and Economic Modeling Choices. Bert Kramer, André van Vliet, Wendy Montulet
ORSA and Economic Modeling Choices Bert Kramer, André van Vliet, Wendy Montulet OFRC Applied Paper No. 2011-04 May 2011 OFRC WORKING PAPER SERIES ORSA and Economic Modeling Choices Bert Kramer, André van
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 informationCURRICULUM VITAE. Julio Pindado
CURRICULUM VITAE Julio Pindado 22 April 2013 TABLE OF CONTENTS Biographical Summary Page 3 Personal Details Page 4 Research Papers Page 5 Research Grants Page 7 Activities for Encouraging Research Page
More informationModelling Corporate Bonds
Modelling Corporate Bonds Current Issues In Life Assurance London 28 April 2004 / Edinburgh 20 May 2004 Andrew Smith email AndrewDSmith8@deloitte.co.uk Presentation Outline Why model corporate bonds? Corporate
More informationIGNACIO FERRERO MUÑOZ
IGNACIO FERRERO MUÑOZ PERSONAL INFORMATION First name/surnames: Ignacio Ferrero Muñoz Date of birth: Málaga, 24.11.1968 Nationality: Spanish Address: Facultad de Económicas. Universidad de Navarra 31009
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 informationUsing Rough Sets to predict insolvency of Spanish non-life insurance companies
Using Rough Sets to predict insolvency of Spanish non-life insurance companies M.J. Segovia-Vargas a, J.A. Gil-Fana a, A. Heras-Martínez a, J.L. Vilar-Zanón a, A. Sanchis-Arellano b a Departamento de Economía
More informationGuidelines on ring-fenced funds
EIOPA-BoS-14/169 EN Guidelines on ring-fenced funds EIOPA Westhafen Tower, Westhafenplatz 1-60327 Frankfurt Germany - Tel. + 49 69-951119-20; Fax. + 49 69-951119-19; email: info@eiopa.europa.eu site: https://eiopa.europa.eu/
More informationPablo Fleiss. Proficiency in Eviews, Latex, Microsoft Office, and Stata
Pablo Fleiss Contact Information International Labour Organization, Department of Statistics 4 route des Morillons, CH-1211 Geneve 22, Switzerland +(41) 22 799 7226 fleiss@ilo.org Personal Information
More informationModelling operational risk in the insurance industry
April 2011 N 14 Modelling operational risk in the insurance industry Par Julie Gamonet Centre d études actuarielles Winner of the French «Young Actuaries Prize» 2010 Texts appearing in SCOR Papers are
More informationCURRICULUM VITAE. José M. Carretero-Gómez
CURRICULUM VITAE José M. Carretero-Gómez Personal information Home mailing address Apartado de Correos 116 07.400 Alcudia - Spain Cell phone: (34) 690 084 468 E-mail: josem.carretero@uib.es Work address
More informationPreparing for ORSA - Some practical issues
2013 Seminar for the Appointed Actuary Colloque pour l actuaire désigné 2013 Session 13 (P&C): Preparing for ORSA - Some practical issues Speaker: Jean-Marc Léveillé Vice-president Corporate Actuarial,
More informationAPPLICATION OF SOLVENCY II FROM E.U. DIRECTIVE FOR SPANISH LIFE INSURANCE INDUSTRY
Anales del Instituto de Actuarios Españoles, 3ª época, 20, 2014/1-16 APPLICATION OF SOLVENCY II FROM E.U. DIRECTIVE FOR SPANISH LIFE INSURANCE INDUSTRY Montserrat Hernández-Solís. montserrath@cee.uned.es
More informationMicro Simulation Study of Life Insurance Business
Micro Simulation Study of Life Insurance Business Lauri Saraste, LocalTapiola Group, Finland Timo Salminen, Model IT, Finland Lasse Koskinen, Aalto University & Model IT, Finland Agenda Big Data is here!
More informationSUPERINTENDENCIA DE VALORES DE COLOMBIA THE REFORM IN THE COLLECTIVE INVESTMENT INDUSTRY IN COLOMBIA
SUPERINTENDENCIA DE VALORES DE COLOMBIA THE REFORM IN THE COLLECTIVE INVESTMENT INDUSTRY IN COLOMBIA March 2.003 AGENDA Background of the collective investment industry in Colombia Structural problems
More informationPablo Fleiss. 2005: Suficiencia Investigadora - Diploma de Estudios Avanzados. Universitat Pompeu Fabra, Barcelona, Spain.
Pablo Fleiss Contact Information Inter-American Development Bank - Office of the Executive Director for Uruguay, Paraguay and Bolivia. 1300 New York Avenue NW, Washington DC, 20577, USA. +(1) 202-623-1438.
More informationBiljana Petrevska 1, PhD SOLVENCY II SUPERVISION OF THE INSURANCE UNDERTAKINGS RISK MANAGEMENT SYSTEMS. Abstract
Biljana Petrevska 1, PhD SOLVENCY II SUPERVISION OF THE INSURANCE UNDERTAKINGS RISK MANAGEMENT SYSTEMS Abstract The main purpose of this paper is to analyze Solvency II which is a new supranational insurance
More informationAdaptación de MoProSoft para la producción de software en instituciones académicas
Adaptación de MoProSoft para la producción de software en instituciones académicas Adaptation of MoProSoft for software production in academic institutions Gabriela Alejandra Martínez Cárdenas Instituto
More informationANNEX III: FINANCIAL SERVICES NON-CONFORMING MEASURE. Schedule of Peru. Introductory Note
ANNEX III: FINANCIAL SERVICES NON-CONFORMING MEASURE Schedule of Peru Introductory Note 1. The Schedule of Peru to this Annex sets out: (a) (b) headnotes that limit or clarify the commitments of Peru with
More informationSolvency II Pillar III Quantitative Reporting Templates (QRTs) Sinead Clarke, Eoin King 11 th December 2012
Solvency II Pillar III Quantitative Reporting Templates (QRTs) Sinead Clarke, Eoin King 11 th December 2012 Agenda Introduction and Background Summary of QRTs Reporting Timelines and Next Steps Questions
More informationERM Exam Core Readings Fall 2015. Table of Contents
i ERM Exam Core Readings Fall 2015 Table of Contents Section A: Risk Categories and Identification The candidate will understand the types of risks faced by an entity and be able to identify and analyze
More informationwww.uv.es/diremp www.uv.es/economia
LICENCIATURA /DIPLOMATURA EN: Tourism PROGRAM OF THE SUBJECT Tourist Business Starting-Up ACADEMIC YEAR 2009-10 SUBJECT: YEAR: OPTIONAL THIRD 1.- INITIAL DATA OF IDENTIFICATION Subject Character Degree
More informationTHE REINSURANCE PRINCIPLES
THE REINSURANCE PRINCIPLES Contents 1. Concepts of Insurance and Reinsurance 2. Functions of Reinsurance 3. Types & structures of Reinsurance 4. Introduction to Pricing 5. Introduction to Portfolio Strategy
More informationMéthode de provisionnement en assurance non-vie Solvency II & IFRS
Méthode de provisionnement en assurance non-vie Solvency II & IFRS A Revolution of the Insurance Business Model Journées d économétrie et d économie de l'assurance 22 octobre 2009 1 Yannick APPERT-RAULLIN
More informationTeaching guide ECONOMETRICS
Teaching guide ECONOMETRICS INDEX CARD Subject Data Código Titulación Nombre Carácter Ciclo 1313.- Grado en Administración y Dirección de Empresas, Mención Creación y Dirección de Empresas, Itinerario
More informationNatural Gas market in Spain before market liberalization. Jesús Muñoz San Miguel. Yolanda Hinojosa Bergillos
ABSTRACT: Natural Gas market in Spain before market liberalization Jesús Muñoz San Miguel Yolanda Hinojosa Bergillos Universidad de Sevilla. Spain In this paper we analyze the natural gas market in Spain
More informationUNIVERSIDAD DE GUADALAJARA
UNIVERSIDAD DE GUADALAJARA CENTRO UNIVERSITARIO DE CIENCIAS ECONÓMICO ADMINISTRATIVAS MASTER BUSINESS ADMINISTRATION COURSE PROGRAM 1. - SUBJECT Economic Environment 2. - SUBJECT CODE NRC D0812 3. - PREREQUISITES
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 informationSolvency II Technical Provisions under solvency II Detailed Guidance. March 2011 update
Solvency II Technical Provisions under solvency II Detailed Guidance March 2011 update CONTACT DETAILS For technical queries: Henry Johnson, Market Reserving & Capital 020 7327 5235 henry.johnson@lloyds.com
More informationTitulación 1313.- Grado en Administración y Dirección de Empresas, Mención Creación y Dirección de Empresas, Itinerario Emprendedores.
Guía Docente Foundations of Market Research FICHA IDENTIFICATIVA Datos de la Asignatura Código 36267 Titulación 1313.- Grado en Administración y Dirección de Empresas, Mención Creación y Dirección de Empresas,
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 informationQuantitative Impact Study 1 (QIS1) Summary Report for Belgium. 21 March 2006
Quantitative Impact Study 1 (QIS1) Summary Report for Belgium 21 March 2006 1 Quantitative Impact Study 1 (QIS1) Summary Report for Belgium INTRODUCTORY REMARKS...4 1. GENERAL OBSERVATIONS...4 1.1. Market
More informationCentral Bank of Ireland Guidelines on Preparing for Solvency II Pre-application for Internal Models
2013 Central Bank of Ireland Guidelines on Preparing for Solvency II Pre-application for Internal Models 1 Contents 1 Context... 1 2 General... 2 3 Guidelines on Pre-application for Internal Models...
More informationMATHEMATICS KNOWLEDGE FOR TEACHING WITHIN A FUNCTIONAL PERSPECTIVE OF PRESERVICE TEACHER TRAINING
MATHEMATICS KNOWLEDGE FOR TEACHING WITHIN A FUNCTIONAL PERSPECTIVE OF PRESERVICE TEACHER TRAINING Pedro Gómez Universidad de Granada C/. Alisios 17, Albolote 18820, Spain Phone/Fax: (34)958537304 pgomez@valnet.es
More informationNEW REGULATION IN THE MEXICAN INSURANCE MARKET
NEW REGULATION IN THE MEXICAN INSURANCE MARKET Alejandra Quintos Lima Advisor: Prof. Lourdes Casanova CienciAmerica/Mexico research program August, 2014 Introduction Introduction In recent months, Mexican
More informationINVESTMENT FUNDS: Funds investments. KPMG Business DialogueS November 4 th 2011
INVESTMENT FUNDS: Impact of Solvency II Directive on Funds investments KPMG Business DialogueS November 4 th 2011 Map of the presentation Introduction The first consequences for asset managers and investors
More informationThe Investment Implications of Solvency II
The Investment Implications of Solvency II André van Vliet, Ortec Finance, Insurance Risk Management Anthony Brown, FSA Outline Introduction - Solvency II - Strategic Decision Making Impact of investment
More informationImplementation of Solvency II
undertaking-specific parameters Are there alternatives to an internal model? Authors Dr. Kathleen Ehrlich Dr. Manijeh Schwindt Dr. Norbert Kuschel Contact solvency-solutions@munichre.com June 2012 The
More informationERM-2: Introduction to Economic Capital Modeling
ERM-2: Introduction to Economic Capital Modeling 2011 Casualty Loss Reserve Seminar, Las Vegas, NV A presentation by François Morin September 15, 2011 2011 Towers Watson. All rights reserved. INTRODUCTION
More informationDeriving Value from ORSA. Board Perspective
Deriving Value from ORSA Board Perspective April 2015 1 This paper has been produced by the Joint Own Risk Solvency Assessment (ORSA) Subcommittee of the Insurance Regulation Committee and the Enterprise
More informationTHESIS REGULATORY FACTORS AND PUBLIC POLICY IN THE SUCCESS OF THE SOCIAL ENTERPRISE
THESIS Do social economy societies have competitive advantages from other legal forms in competitive tendering for public contracts, to justify the inclusion of social clauses? (Case study in Valencia)
More information