International Financial Reporting for Insurers: IFRS and U.S. GAAP September 2009 Session 25: Solvency II vs. IFRS

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "International Financial Reporting for Insurers: IFRS and U.S. GAAP September 2009 Session 25: Solvency II vs. IFRS"

Transcription

1 International Financial Reporting for Insurers: IFRS and U.S. GAAP September 2009 Session 25: Solvency II vs. IFRS Simon Walpole

2 Solvency II Simon Walpole Solvency II Agenda Introduction to Solvency II Background Overview of Solvency II Quantitative Requirements Pillar 2 Qualitative Requirements & Supervisory Review Pillar 3 Disclosures Position in Europe now: QIS4

3 Background Solvency I Before Solvency II, there was Solvency I Solvency I: All insurers must hold capital above local statutory reserves Local statutory reserves differed considerably between member states Solvency capital based on same principles across Europe, but with differences between countries according to local conditions Broad principles: Life insurers: % of reserves + % of sum at risk Non-life insurers: maximum of % of premiums and % of claims Adjustments for reinsurance Problems: Not risk-based Differences between countries Not integrated with other financial services industries 4%/0.3% 16%/18% Overview of Solvency II 3 Pillars Quantitative Technical provisions Capital Minimum Capital Requirement (MCR) Solvency Capital Requirement (SCR) Investment Tier 1, 2, 3 capital Pillar 2 Qualitative Internal control & risk management framework Add-on to Supervisory Review Process (SRP) Pillar 3 Disclosures Reporting & disclosures Life Non-Life Health Reinsurance

4 Overview of Solvency II Timetable Quantitative Impact Studies QIS3: April 2007 QIS4: April 2008 Results released November 2008 QIS5: unlikely (?) Directives Framework Directive Proposal: July 2007 Framework Directive: March 2009 (?) National Adoption Dry-run: 2010 (?) Full adoption: 2012 (?) Quantitative Requirements SOLVENCY II Embedding Solvency II in your business Insurance risk Quantitative requirements Pillar 2 Supervisory Review Market Discipline Market risk Credit risk Liquidity risk Operational risk Reserving Regulations on minimum capital requirements Investment Qualitative requirements Regulations on financial services supervision (Capabilities and powers of regulators, areas of activity) Transparency Disclosure requirements Competition related elements Implementation Control Disclosure

5 Main Concepts Asset side Valued across Europe on a standardised basis In line with IFRS (ie governed by IASB) Some quantitative limits to address liquidity & concentration risk Liability side Technical provisions Capital set aside by an insurer to fulfill its obligations to policyholders and beneficiaries Best estimate liability plus explicit margin for risk (market-based) MCR Absolute minimum floor in required capital SCR Capital that should be able to absorb unforeseen losses up to a ruin probability of 0.5% over one year Eligible capital Tiered classification of shareholder capital allowed to cover capital requirements Balance Sheet A L Assets at MV Free Surplus SCR MCR Free surplus > SCR Sufficiently capitalised Free surplus < SCR and Free surplus > MCR Early indicator that action needs to be taken Technical Provisions Free surplus < MCR Company is technically insolvent

6 Technical Provisions Fair value calculation with risk margins Cost of non-market Risk? Own credit Technical Provisions Best Estimate Liability (market consistent) Cost of Market Risk PV Cash Flow Risk Free Possible Future IFRS Fair value liability Best estimate liability Best estimate liability is part of technical provision Technical provision is key building block for Solvency II Used as foundation for SCR calculation Calculation of best estimate liability is highly complex Complex actuarial models required Explicit company-specific best estimate assumptions needed NOT prescribed under Solvency II Time consuming to perform, significant computing power needed Difficult to supervise Partly why Pillar 2 & 3 exist

7 Best estimate liability calculation steps: par Best estimate liability Risk free discount rate Projected cashflows Each scenario must be discounted with a probabilityadjusted rate, eg a state price deflator Cashflow model Expenses Projection assumptions Claim rates Policy data Dividends Approach: 1. Project future investment scenarios 2. For each period in each scenario, decide on a relevant dividend strategy Risk Margin Technical provision = best estimate liability + risk margin Risk margin Equal to discounted value of cost of capital of supporting the insurance obligations Capital to support insurance obligations defined to be SCR but only in respect of: Operational risk Underwriting risk (existing business only) Counter-party default risk in respect of reinsurance ceded Cost of capital prescribed to be 6% per annum Projection of relevant parts of SCR needed Certain approximations are allowed and put forward in QIS4

8 SCR Solvency Capital Requirement Equal to capital that should be able to absorb unforeseen losses up to a ruin probability of 0.5% over one year ie protected in 99.5% of cases over one year ie 1 in 200 year event Effectively a VaR ( Value at Risk ) approach using stress tests SCR: Calculation Approach (example 1) Step 1: Calculate base free surplus: {free surplus} base = {asset value} base {technical provision} base 10 = Step 2: Example: assume that 1 in 200 year event in respect of equity values is a stock market crash of 50% Apply this shock to the asset value and the technical provision This gives a new (lower) free surplus: {free surplus} equity = {asset value} equity {technical provision} equity 7 = Step 3: SCR equity = {free surplus} base {free surplus} equity = 10 7 = 3 Step 4: Repeat for each stress test, add up (but some diversification allowed)

9 SCR: Calculation Approach (example 2) Base scenario Interest rates down 1% Assets Net Free Assets Surp Liability Asset duration = short Current MV = 100 Stressed MV = 105 Liab duration = long Current MV = 90 Stressed MV = 99 Asset increase = 5 Liab increase = 9 Free surplus decrease by 4 SCR (interest rate fall) =4 SCR: QIS4 Risk Factors

10 SCR: QIS4 Example Risk Factors Market Value after Stress 100% Base case 80%Property stress test 68% global equity 55% hedge fund SCR: QIS4 Example Correlation Factors Mkt interest Mkt equity Mkt property Mkt spread Mkt fx Mkt interest Mkt equityt Mkt propertyt Mkt spread Mkt fx Example capital calculation for two risks: Mkt interest = 5 Mkt property = 3 SCR Mkt 2 = = 49 So SCR Mkt = 7 Diversification benefit = 1

11 MCR Minimum Capital Requirement Minimum floor in required capital Falling below this capital limit would trigger regulatory intervention MCR = Linear MCR subject to floor of 20% of SCR and cap of 50% of SCR Absolute minimum: Life business = Euro 2m Non-life business = Euro 1m Linear MCR: Life Similar to non-life, but for fewer lines of business 2 main factors: technical provision & sum at risk separately for guaranteed and discretionary benefits for par expenses element for certain unit linked contracts Similar to Solvency I

12 Position in Europe Now QIS4 & Group Supervision QIS4 QIS4 Participants

13 QIS4 Time Needed QIS4 Solvency II Ratio / Solvency I Ratio

14 QIS4 Firms not meeting SCR or MCR QIS4 Composition of Basic SCR: Life

Solvency II. Integrating the financial and non-financial aspects. March 26, Presented by Andrew Kay

Solvency II. Integrating the financial and non-financial aspects. March 26, Presented by Andrew Kay Solvency II Integrating the financial and non-financial aspects Presented by Andrew Kay March 26, 2010 Agenda Pillar 1 What are the financials i telling you? Pillar 2 Governance and organisation Management

More information

KBC Group Solvency II External Communication. KBC Group - Investor Relations Office

KBC Group Solvency II External Communication. KBC Group - Investor Relations Office KBC Group Solvency II External Communication More infomation: www.kbc.com KBC Group - Investor Relations Office Email: investor.relations@kbc.com 1 Contents 1 Solvency II : From SI to SII at KBC 2 Key

More information

INVESTMENT FUNDS: Funds investments. KPMG Business DialogueS November 4 th 2011

INVESTMENT 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 information

An update on QIS5. Agenda 4/27/2010. Context, scope and timelines The draft Technical Specification Getting into gear Questions

An 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 information

Solvency II for Beginners 16.05.2013

Solvency 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 information

Solvency II Towards a risk based system

Solvency II Towards a risk based system Solvency II Towards a risk based system Gabriel Bernardino EIOPA Chairman Webinar P/C Risk-Based Capital: State and International Solvency Regulation May 31, 2011 Towards a single rulebook Crucial step

More information

Introduction to Economic Reserves and Capital

Introduction to Economic Reserves and Capital Introduction to Economic Reserves and Capital Valuation Actuary Symposium Noel Harewood September 17, 2007 2007 Towers Perrin Background Focus on economic reserves Economic capital covered in earlier presentations

More information

Solvency II: Implications for Loss Reserving

Solvency II: Implications for Loss Reserving Solvency II: Implications for Loss Reserving John Charles Doug Collins CLRS: 12 September 2006 Agenda Solvency II Introduction Pre-emptive adopters Solvency II concepts Quantitative Impact Studies Internal

More information

Texts passed by the European Council and Parliament Adapted by Member States

Texts 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 information

SOLVENCY II HEALTH INSURANCE

SOLVENCY 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 information

Solvency II Standard Model for Health Insurance Business

Solvency II Standard Model for Health Insurance Business Solvency II Standard Model for Health Insurance Business Hanno Reich KPMG AG, Germany kpmg Agenda 1. Solvency II Project 2. Future regulatory framework (Solvency II) 3. Calculation of Solvency Capital

More information

Fourth study of the Solvency II standard approach

Fourth study of the Solvency II standard approach Solvency Consulting Knowledge Series Your contacts Kathleen Ehrlich Tel.: +49 (89) 38 91-27 77 E-mail: kehrlich@munichre.com Dr. Rolf Stölting Tel.: +49 (89) 38 91-52 28 E-mail: rstoelting@munichre.com

More information

SOLVENCY II LIFE INSURANCE

SOLVENCY II LIFE INSURANCE SOLVENCY II LIFE 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 Directives was implemented

More information

Consequences. Modelling. Starting Points. Timetable. Solvency II. Solvency I vs Solvency II. Solvency I

Consequences. Modelling. Starting Points. Timetable. Solvency II. Solvency I vs Solvency II. Solvency I Consequences Modelling Starting Points Timetable Pillar I Minimum Capital Requirements Pillar II Supervisory Review Pillar III Market Discipline Solvency II Solvency I vs Solvency II Solvency I Solvency

More information

Solvency II overview

Solvency II overview David Payne, FIA Casualty Loss Reserve Seminar 15 September 2011 INTNL-2: Solvency II Update Antitrust Notice The Casualty Actuarial Society is committed to adhering strictly to the letter and spirit of

More information

Solvency 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 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 information

SOLVENCY II HEALTH INSURANCE

SOLVENCY II HEALTH INSURANCE 2016 Solvency II Health SOLVENCY II HEALTH INSURANCE 1 Overview 1.1 Background and scope The key objectives of Solvency II were to increase the level of harmonisation of solvency regulation across Europe,

More information

Embedded Value 2014 Report

Embedded 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 information

Guidance 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 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 information

Insurance Roadshow London, October 2008. Solvency 2 Update

Insurance Roadshow London, October 2008. Solvency 2 Update Insurance Roadshow London, October 2008 Solvency 2 Update Agenda Progress to date Overview of key component of Solvency 2 Further issues for discussion Impact on ratings Solvency 2 - What s new? Progress

More information

QIS4 on Solvency II. Country Report. for BELGIUM

QIS4 on Solvency II. Country Report. for BELGIUM QIS4 on Solvency II Country Report for BELGIUM 0. INTRODUCTION The QIS4 exercise, as compared to QIS3, was in many respects an exercise in fine-tuning. The architecture that was tested

More information

INSPRU overview. Paul Edmondson T: +44 20 7367 2877 E: paul.edmondson@cms-cmck.com. November 2013

INSPRU overview. Paul Edmondson T: +44 20 7367 2877 E: paul.edmondson@cms-cmck.com. November 2013 INSPRU overview Paul Edmondson T: +44 20 7367 2877 E: paul.edmondson@cms-cmck.com November 2013 Three rules Insurers must maintain assets to meet liabilities maintain capital only carry on insurance business

More information

SOLVENCY II LIFE INSURANCE

SOLVENCY II LIFE INSURANCE 2016 Solvency II Life SOLVENCY II LIFE INSURANCE 1 Overview 1.1 Background and scope The key objectives of Solvency II were to increase the level of harmonisation of solvency regulation across Europe,

More information

Actuarial Risk Management

Actuarial 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 information

Guidelines on ring-fenced funds

Guidelines 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 information

Project to replace IFRS 4 Insurance contracts

Project to replace IFRS 4 Insurance contracts International Financial Reporting Standards Project to replace IFRS 4 Insurance contracts (IFRS x) Executive IFRS workshop for Regulators Diplomatic Academy of Vienna Darrel Scott, IASB member Andrea Pryde,

More information

FRAMEWORK FOR CONSULTATION OF CEIOPS AND OTHER STAKEHOLDERS ON SOLVENCY II

FRAMEWORK FOR CONSULTATION OF CEIOPS AND OTHER STAKEHOLDERS ON SOLVENCY II Annex 1 to MARKT/2506/04-EN FRAMEWORK FOR CONSULTATION OF CEIOPS AND OTHER STAKEHOLDERS ON SOLVENCY II Purpose of this document The purpose of this paper is to consult the Insurance Committee on a framework

More information

Hans Wagner AXA Group Life Chief Risk Officer. Ferdia Byrne Partner, KPMG. June, 2010. Congrès Annuel des Actuaires

Hans Wagner AXA Group Life Chief Risk Officer. Ferdia Byrne Partner, KPMG. June, 2010. Congrès Annuel des Actuaires Hans Wagner AXA Group Life Chief Risk Officer Ferdia Byrne Partner, KPMG June, 2010 Congrès Annuel des Actuaires Contents Perspectives from an insurer Brief reminder of Solvency II Lessons from the Financial

More information

Regulations in General Insurance. Solvency II

Regulations in General Insurance. Solvency II Regulations in General Insurance Solvency II Solvency II What is it? Solvency II is a new risk-based regulatory requirement for insurance, reinsurance and bancassurance (insurance) organisations that operate

More information

Public Report. November 2007

Public Report. November 2007 CEIOPS-DOC-19/07 CEIOPS Report on its third Quantitative Impact Study (QIS3) for Solvency II Public Report November 2007 CEIOPS e.v. - Westhafenplatz 1 60327 Frankfurt am Main Germany Tel. + 49 69-951119-20

More information

Solvency II QIS 3 and Beyond

Solvency II QIS 3 and Beyond Solvency II QIS 3 and Beyond 34 th Annual GIRO Convention R A Shaw Guy Carpenter 25 October 2007 Celtic Manor, Newport, Wales Topics QIS 2 and QIS 3 Headlines QIS 3 Overview Market Value Margins QIS 3

More information

Impacts of the Solvency II Standard Formula on health insurance business in Germany

Impacts of the Solvency II Standard Formula on health insurance business in Germany Impacts of the Solvency II Standard Formula on health insurance business in Germany Sascha Raithel Association of German private healthcare insurers Agenda 1. Private health insurance business in Germany

More information

Solvency II Advanced Workshop

Solvency II Advanced Workshop Solvency II Advanced Workshop Tim Edwards James Orr 25 th September 2008 Introduction This presentation provides an update on progress towards Solvency II: Timeline Results of the QIS4 exercise Publication

More information

Introduction to Solvency II

Introduction to Solvency II Introduction to Solvency II Tim Edwards Gavin Dunkerley 24 th September 2008 Introduction The primary purpose of this presentation is to explain what Solvency II is and why it is important We also hope

More information

International Financial Reporting for Insurers. August 19-21, 2013. Hong Kong. Session 8: IFRS 4 Phase 2 Insurance Contract Model.

International Financial Reporting for Insurers. August 19-21, 2013. Hong Kong. Session 8: IFRS 4 Phase 2 Insurance Contract Model. International Financial Reporting for Insurers August 19-21, 2013 Hong Kong Session 8: IFRS 4 Phase 2 Insurance Contract Model Darryl Wagner Session 8 IFRS 4 Phase 2 Insurance Contract t Model Darryl Wagner,

More information

AXA 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 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 information

Effective Financial Planning for Life Insurance Companies

Effective Financial Planning for Life Insurance Companies 6 th Global Conference of Actuaries Effective Financial Planning for Life Insurance Companies Presentation by Kim Hoong CHIN Senior Manager and Consultant Asia Financial Services Topics Recent worldwide

More information

1 Introduction. 1.1 Three pillar approach

1 Introduction. 1.1 Three pillar approach 1 Introduction 1.1 Three pillar approach The recent years have shown that (financial) companies need to have a good management, a good business strategy, a good financial strength and a sound risk management

More information

THE INSURANCE BUSINESS (SOLVENCY) RULES 2015

THE 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 information

LIFE INSURANCE RATING METHODOLOGY CREDIT RATING AGENCY OF

LIFE 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 information

Investment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd

Investment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd Investment Risk Management Under New Regulatory Framework Steven Yang Yu Muqiu Liu Redington Ltd 06 May 2015 Premiums written in billion RMB Dramatic growth of insurance market 2,500 Direct premium written

More information

Solvency II. Solvency II implemented on 1 January 2016. Why replace Solvency I? To which insurance companies does the new framework apply?

Solvency II. Solvency II implemented on 1 January 2016. Why replace Solvency I? To which insurance companies does the new framework apply? Solvency II A new framework for prudential supervision of insurance companies 1 Solvency II implemented on 1 January 2016. 1 January 2016 marks the introduction of Solvency II, a new framework for the

More information

1. INTRODUCTION AND PURPOSE

1. 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 information

Reinsurance in the economic balance sheet

Reinsurance in the economic balance sheet Solvency Consulting Knowledge Series Authors Dr. Manijeh Mc Hugh Lars Moormann Contact solvency-solutions@munichre.com January 2014 Background Over the last few years, we have seen supervisory systems

More information

Preparing for ORSA - Some practical issues Speaker:

Preparing 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 information

Reinsurance in capital management Effect of reinsurance and tiering of own funds at insurers with little surplus capital

Reinsurance in capital management Effect of reinsurance and tiering of own funds at insurers with little surplus capital Effect of reinsurance and tiering of own funds at insurers with little surplus capital Authors Dr. Katja Lord Contact solvency-solutions@munichre.com January 2014 Introduction The solvency ratio the ratio

More information

Capital Adequacy Disclosure 2013

Capital Adequacy Disclosure 2013 Capital Adequacy Disclosure 2013 Julius Baer Group Ltd. according to FINMA Circular 2008/22 Capital Adequacy Disclosure Banks Contents Capital Adequacy disclosure 2013 Julius Baer Group Ltd. 2 Introduction

More information

Micro Simulation Study of Life Insurance Business

Micro 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 information

Solvency II Introduction to Pillar 3. Friday 20 th May 2016

Solvency 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 information

ANNEX I: LIST OF POLICY ISSUES AND OPTIONS FOR THE LEVEL 2 IMPACT ASSESSMENT OF SOLVENCY II (VERSION 1.0)

ANNEX I: LIST OF POLICY ISSUES AND OPTIONS FOR THE LEVEL 2 IMPACT ASSESSMENT OF SOLVENCY II (VERSION 1.0) ANNEX I: LIST OF POLICY ISSUES AND OPTIONS FOR THE LEVEL 2 IMPACT ASSESSMENT OF SOLVENCY II (VERSION 1.0) DISCLAIMER This document has been written exclusively for the purpose of this Call for Advice.

More information

Regulatory Solvency Assessment of Property/Casualty Insurance Companies in the United States

Regulatory Solvency Assessment of Property/Casualty Insurance Companies in the United States Regulatory Solvency Assessment of Property/Casualty Insurance Companies in the United States A presentation by Robert F. Conger Past-President, Casualty Actuarial Society September 2013 Regulatory Solvency

More information

Contents. About the author. Introduction

Contents. About the author. Introduction Contents About the author Introduction 1 Retail banks Overview: bank credit analysis and copulas Bank risks Bank risks and returns: the profitability, liquidity and solvency trade-off Credit risk Liquidity

More information

CEIOPS-DOC-47/09. (former CP 55) October 2009

CEIOPS-DOC-47/09. (former CP 55) October 2009 CEIOPS-DOC-47/09 Final CEIOPS Advice for Level 2 Implementing Measures on Solvency II: Article 130 Calculation of the MCR (former CP 55) October 2009 CEIOPS e.v. Westhafenplatz 1-60327 Frankfurt Germany

More information

Preparing for Solvency II Time for asset managers and asset servicers to act. Thierry Flamand Partner Advisory & Consulting Deloitte

Preparing for Solvency II Time for asset managers and asset servicers to act. Thierry Flamand Partner Advisory & Consulting Deloitte Preparing for Solvency II Time for asset managers and asset servicers to act Thierry Flamand Partner Advisory & Consulting Deloitte Michael Cravatte Director Advisory & Consulting Deloitte The insurance

More information

2. This paper supplements Agenda Paper 2A Outreach and comment letter analysis for this meeting. This paper does not ask any questions.

2. This paper supplements Agenda Paper 2A Outreach and comment letter analysis for this meeting. This paper does not ask any questions. IASB Agenda ref 2B STAFF PAPER REG IASB Meeting Project Insurance contracts Paper topic Feedback from users of financial statements January 2014 CONTACT(S) Izabela Ruta iruta@ifrs.org +44 (0)20 7246 6957

More information

Risk-based supervision of Risk- Sharing Pension Schemes

Risk-based supervision of Risk- Sharing Pension Schemes Risk-based supervision of Risk- Sharing Pension Schemes Peter Skjødt Executive Director, Msc Econ. Danish Insurance Association Why risk based supervision? Reported earnings follow the rules and principles

More information

Bank Capital Adequacy under Basel III

Bank Capital Adequacy under Basel III Bank Capital Adequacy under Basel III Objectives The overall goal of this two-day workshop is to provide participants with an understanding of how capital is regulated under Basel II and III and appreciate

More information

Solvency I update. Gui Iglesias KPMG in the UK

Solvency I update. Gui Iglesias KPMG in the UK Solvency I update Gui Iglesias KPMG in the UK 23 June 2016 What is Solvency II? Solvency II New EU Regulation effective 01/01/2016, designed to Provide greater protection to policyholders through an enhanced

More information

Fifth Quantitative Impact Study of Solvency II (QIS5)

Fifth 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 information

SCOR inform - April 2012. Life (re)insurance under Solvency II

SCOR 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 information

Executive Summary 1. Försäkringsrörelselagen (1982:713). 3

Executive Summary 1. Försäkringsrörelselagen (1982:713). 3 Executive Summary 1 The changes proposed in the Swedish Insurance Business Act 2 are intended to strengthen policyholder protection by increasing transparency and enhancing incentives for insurance undertakings

More information

Risk Margins and Solvency II Peter England and Richard Millns

Risk Margins and Solvency II Peter England and Richard Millns Risk Margins and Solvency II Peter England and Richard Millns GIRO conference and exhibition Liverpool, 11-14 October 2011 Agenda Part 1 A quick re-cap from last year (and the year before) Part 2 Further

More information

ING Insurance Economic Capital Framework

ING 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 information

IFRS 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 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 information

Solvency II Impacts on asset managers and servicers

Solvency II Impacts on asset managers and servicers www.pwc.lu/insurance Solvency II Impacts on asset managers and servicers The Omnibus II proposal will amend the Solvency II Directive voted in 2009. It would probably defer full Solvency II implementation

More information

Risk budgeting using risk based capital and return. Wouter Elshof November 2012

Risk budgeting using risk based capital and return. Wouter Elshof November 2012 Risk budgeting using risk based capital and return Wouter Elshof November 2012 Agenda What is risk budgeting? Which risks should we consider? Which trends do we see? Why does old style asset allocation

More information

Solvency II: An update on implementation

Solvency II: An update on implementation Solvency II: An update on implementation Introduction Solvency II will apply from 1 January 2016. Firms have made significant progress towards compliance with the new regime. The PRA will publish a consultation

More information

02/06/2014. Solvency II update. Agenda. Recap: Solvency II three pillar approach. Nick Ford

02/06/2014. Solvency II update. Agenda. Recap: Solvency II three pillar approach. Nick Ford Solvency II update Nick Ford 02 June 2014 Agenda Intro and brief recap Pillar 1 Main issues Impacts on products Pillar 2 Main issues Internal Model Approval Pillar 3 Actuarial forms and concerns Timelines

More information

Accounting proposals for insurance contracts

Accounting proposals for insurance contracts International Financial Reporting Standards Accounting proposals for insurance contracts The views expressed in this presentation are those of the presenter, not necessarily those of the IASB or IFRS Foundation.

More information

Prudential Supervision of Insurance in Australia. Chris Lewis Immediate Past President

Prudential Supervision of Insurance in Australia. Chris Lewis Immediate Past President Prudential Supervision of Insurance in Australia Chris Lewis Immediate Past President REGULATORY FRAMEWORK RBA APRA ASIC ACCC Monetary Policy System Stability Payments System Prudential supervision - banks

More information

Market Value Based Accounting and Capital Framework

Market Value Based Accounting and Capital Framework Market Value Based Accounting and Capital Framework Presented by: Erik Anderson, FSA, MAAA New York Life Insurance Company Prannoy Chaudhury, FSA, MAAA Milliman 2014 ASNY Meeting November 5, 2014 1 07

More information

1. This Prudential Standard is made under paragraph 230A(1)(a) of the Life Insurance Act 1995 (the Act).

1. This Prudential Standard is made under paragraph 230A(1)(a) of the Life Insurance Act 1995 (the Act). Prudential Standard LPS 110 Capital Adequacy Objective and key requirements of this Prudential Standard This Prudential Standard requires a life company to maintain adequate capital against the risks associated

More information

Appendix 1: PRA Rulebook

Appendix 1: PRA Rulebook Appendix 1: PRA Rulebook Appendix 1.1 PRA RULEBOOK: SOLVENCY II FIRMS: GENERAL APPLICATION INSTRUMENT [YEAR] Powers exercised A. The Prudential Regulation Authority ( PRA ) makes this instrument in the

More information

Rating Methodology for Domestic Life Insurance Companies

Rating 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 information

Making it clear Reporting and disclosure in the Solvency II world

Making it clear Reporting and disclosure in the Solvency II world Making it clear Reporting and disclosure in the Solvency II world The Solvency II Directive is built around the 3 pillars of quantitative requirements (Pillar 1), supervisory review (Pillar 2) and disclosure

More information

INSURANCE RATING METHODOLOGY

INSURANCE 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 information

Solvency II Update. Nick Dexter. 24 November 2011

Solvency II Update. Nick Dexter. 24 November 2011 Solvency II Update Nick Dexter 24 November 2011 Agenda Solvency II Overview Current Status of Solvency II Own Risk and Solvency Assessment Solvency II v Canadian regime 2 Solvency II Overview Solvency

More information

Capital Regime for Regulated Insurance Holding Companies and Non-Operating Life Companies

Capital Regime for Regulated Insurance Holding Companies and Non-Operating Life Companies Guideline Subject: Capital Regime for Regulated Insurance Holding Companies and Non-Operating Life Companies Category: Capital No: A-2 Date: July 2005 Introduction This Guideline sets out the capital framework

More information

LIFE INSURANCE CAPITAL FRAMEWORK STANDARD APPROACH

LIFE 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 information

Embedded Value Report

Embedded 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 information

Insurance Accounting AUDIT COMMITTEE NEWS. Financial Reporting. Edition 43 / Q4 2013

Insurance Accounting AUDIT COMMITTEE NEWS. Financial Reporting. Edition 43 / Q4 2013 AUDIT COMMITTEE NEWS Edition 43 / Q4 2013 Insurance Accounting Financial Reporting In June 2013 the IASB issued a revised exposure draft (ED) of its proposal for a financial reporting standard on Insurance

More information

1 AASB 1038 Life Insurance Contracts AASB 1038 LIFE INSURANCE CONTRACTS FACT SHEET

1 AASB 1038 Life Insurance Contracts AASB 1038 LIFE INSURANCE CONTRACTS FACT SHEET 1 AASB 1038 Life Insurance Contracts AASB 1038 LIFE INSURANCE CONTRACTS FACT SHEET 2 AASB 1038 Life Insurance Contracts This fact sheet is based on existing requirements as at 31 December 2015 and it does

More information

CEIOPS-DOC-36/09. (former CP 42) October 2009

CEIOPS-DOC-36/09. (former CP 42) October 2009 CEIOPS-DOC-36/09 Final CEIOPS Advice for Level 2 Implementing Measures on Solvency II: Technical Provisions Article 86 (d) Calculation of the Risk Margin (former CP 42) October 2009 CEIOPS e.v. Westhafenplatz

More information

Solvency Management in Life Insurance The company s perspective

Solvency 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 information

GLOSSARY. A contract that provides for periodic payments to an annuitant for a specified period of time, often until the annuitant s death.

GLOSSARY. 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 information

Capital requirements for health insurance under Solvency II

Capital 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 information

Risk Management Metrics Subgroup. Embedded Value Definition

Risk Management Metrics Subgroup. Embedded Value Definition Risk Management Metrics Subgroup Embedded Value Definition DRAFT 2 June 20, 2001-1- 01/13/03 DRAFT 2 EMBEDDED VALUE DEFINTION Table of Contents 1 Background and Purpose... 3 2 Definitions... 3 Adjusted

More information

Insurance Groups under Solvency II

Insurance Groups under Solvency II Insurance Groups under Solvency II November 2013 Table of Contents 1. Introduction... 2 2. Defining an insurance group... 2 3. Cases of application of group supervision... 6 4. The scope of group supervision...

More information

CEIOPS Preparatory Field Study for Life Insurance Firms. Summary Report

CEIOPS 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 information

Solvency ii: an overview. Lloyd s July 2010

Solvency ii: an overview. Lloyd s July 2010 Solvency ii: an overview Lloyd s July 2010 Contents Solvency II: key features Legislative process Solvency II implementation Conclusions 2 Solvency II: key features 3 Solvency II the basics Introduces

More information

Modelling and Management of Tail Risk in Insurance

Modelling and Management of Tail Risk in Insurance Modelling and Management of Tail Risk in Insurance IMF conference on operationalising systemic risk monitoring Peter Sohre, Head of Risk Reporting, Swiss Re Washington DC, 27 May 2010 Visit of ntuc ERM

More information

Role of Actuaries in Solvency II Tamsin Abbey

Role 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 information

PNB Life Insurance Inc. Risk Management Framework

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 information

Quick Solvency II Technical Reporting Guide. Pillar 3: What, Who and When

Quick Solvency II Technical Reporting Guide. Pillar 3: What, Who and When Quick Solvency II Technical Reporting Guide illar 3: What, Who and When Contents Introduction 2 Solvency II in Brief 2 Who will be subject to Solvency II? 3 What are the Solvency II key requirements? 3

More information

Olav Jones, Head of Insurance Risk

Olav 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 information

Regulatory Updates. 2015 MCT Guideline (Draft) and other regulatory reporting changes

Regulatory Updates. 2015 MCT Guideline (Draft) and other regulatory reporting changes Regulatory Updates 2015 MCT Guideline (Draft) and other regulatory reporting changes Agenda 1. Draft 2015 MCT Guideline i. Conceptual changes ii. Significant changes and additions Capital available Capital

More information

Consultation Paper on a Risk-based Capital Framework for the Insurance Industry of Hong Kong

Consultation Paper on a Risk-based Capital Framework for the Insurance Industry of Hong Kong Consultation Paper on a Risk-based Capital Framework for the Insurance Industry of Hong Kong FOREWORD 1 This paper is published by the Insurance Authority (IA) to consult interested parties on the proposed

More information

Solvency II Own Risk and Solvency Assessment (ORSA) July 2010

Solvency II Own Risk and Solvency Assessment (ORSA) July 2010 Solvency II Own Risk and Solvency Assessment (ORSA) July 2010 Background What is ORSA? ORSA is a collection of processes' and activities that continuously shall ensure the company s Solvency situation

More information

THE EMPIRE LIFE INSURANCE COMPANY

THE EMPIRE LIFE INSURANCE COMPANY THE EMPIRE LIFE INSURANCE COMPANY Condensed Interim Consolidated Financial Statements For the six months ended June 30, 2013 Unaudited Issue Date: August 9, 2013 These condensed interim consolidated financial

More information

Risk-Based Capital. Overview

Risk-Based Capital. Overview Risk-Based Capital Definition: Risk-based capital (RBC) represents an amount of capital based on an assessment of risks that a company should hold to protect customers against adverse developments. Overview

More information