Evaluatie QIS5 16 december Out of the box actuaries and risk professionals
|
|
- Aubrey Wiggins
- 8 years ago
- Views:
Transcription
1 Evaluatie 16 december 2010 Out of the box actuaries and risk professionals
2 Agenda Introduction results Demo: manage process using E2S Appendix 1: detailed results non-life 2
3 Introduction Planning and participation April-June 2008: QIS4 in Europe (2007 figures) June-August 2009: RiSK2008 in NL (2008 figures) August-October 2010: in Europe (2009 figures) SII Proportioneel Aantal verzekeraars Onder Richtlijn 50 0 QIS1 QIS2 QIS3 QIS4 RiSK Deelname aan? Totaal Source: presentation DNB on SII symposium December
4 Introduction Three pillar approach 1 Pillar I Calculations on quantitative requirements MCR / SCR Solvency II 2 3 Pillar III Report to supervisors and public 4
5 1. Introduction SII activities Inrichten Risk Mgmt Ctee (RMC) Komt minimaal eens per kwartaal bijeen Reguliere risico Rapportages Q Q Q Q Q Q Q3 3. Self Assessment & Gap-analyse 4. Implementatieplan SII (nwe ontwikkelingen) Inrichten risico- 5. beheersysteem en risicobeheerfuncties 6. Risicostrategie & Risk appetite 7. Documentatie risicobeleid Ongoing business 8. Generale repetitie ORSA 9. Sturen op waarde en risico 0. Definitief format SFCR & RTS 10 juni 2010 De Kwalitatieve Vereisten 2012 Q Q3 55
6 Introduction Required risk reporting in pillar 1 and pillar 3 Risk Governance Kwantitatieve risico s Kwalitatieve risico s Risk Appetite Risicolimieten Risicostrategie Beleid per risicotype en beheersingsinstrument SCR solvency ratio MCR solvency ratio SCR per risicotype Stress tests Visie van management op operationele en strategische risico s Risk Maps met 3-5 jaars horizon Risico rapportage (risk monitoring) 6
7 Introduction Required risk management system in pillar 2 Incidenten & Opgetreden Gebeurtenissen Rollen en gedelegeerde authoriteiten Risicoprofiel & Kwantificatie Analyse Beleid Voorspellen van events Commissies 7 7
8 Introduction Required reporting templates in pillar 3 All reporting templates in CP58 proposals that relate to Standard Model will be fully supported by Easy2Solve platform SFCR: Solvency & Financial Condition Report RTS: Report to Supervisors Executive summary A. Business and performance B. System of governance C. Risk management D. Regulatory balance sheet E. Capital management Undertakings with an approved internal model 8
9 Introduction Main challenges Pillar 1 calculations complex and error-sensitive Pillar 1 calculations () are error-sensitive, complex and time-consuming core sheet consists of 27 worksheets Many functionalities not used 12 Helper tabs developed to support calculations (e.g. non-life CAT risk, concentration risk, counterparty risk etc) Integrated RM on every organisation dimension (pillar 2) Insurance companies need to set up risk management system and perform own risk and solvency assessments Supportive tooling will be needed to monitor risk limit adherence and to effectively operate risk management cycle on every dimension Pillar 3 reporting templates not final yet Required reporting under pillar 3 not clear yet For steering purposes insurance companies will need to construct quarterly or monthly risk reports already using methodology Already report all output that is defined 9 9
10 Introduction Solvency II infrastructure 2009 Overview of the Solvency II Software Market: There Is No One-Size-Fits-All Solution Unfortunately, no application on the market addresses all the three pillars of Solvency II Unique integrated GRC platform in the market that addresses all three pillars Pillar 1 Pillar 2 Pillar 3 Triple A Tool to manage, review or perform / Pillar 1 calculations Used by roughly 40 Dutch insurers to complete or review their study Easy2comply platform with integrated links to templates to monitor risk limits related to pillar 1 calculations Globally used by firms to manage SOx, operational risks, Basel II, local laws Enables high frequency reporting and limit monitoring on basis Standard and CP58 related reporting templates included 10 10
11 Introduction Demo 1 DEMO 1 Themasessie 16 juli 2010: Solvency II en 11 11
12 Introduction How does Easy2Solve address the pillar 2 challenges? Incidenten & Opgetreden Gebeurtenissen Rollen en gedelegeerde authoriteiten Risicoprofiel & Kwantificatie Analyse Beleid Voorspellen van events Commissies 12
13 Introduction How does Easy2Solve address the pillar 2 challenges? Risks Identification, planning, monitoring & reporting Culture & leadership Organization Strategic, tactical & operational steering processes Applications Legal Functions Primary & secondary processes Data Change Roles Planning, control & reporting processes ICT infra Controls Organizational, process, data, application, ICT, social, legal, physical, cultural & personal 13
14 Introduction How does Easy2Solve address the pillar 2 challenges? Financial and Operational Risks Identification, planning, monitoring & reporting Steering Strategic, tactical & operational steering processes Mngmt reports Trans actions Primary & secondary processes Pillar 2 including ORSA Data Output to Pillar 3 Planning, control & reporting processes RTS / public Controls Organizational, process, data, application, ICT, social, legal, physical, cultural & personal 14
15 Agenda Introduction results Demo: manage process using E2S Appendix 1: detailed results non-life 15
16 scope Available solvency components Themasessie 16 juli 2010: Solvency II en 16 16
17 scope Available solvency: changes compared to QIS4 / RiSK2008 Allowance for liquidity premiums in discount rates Intangibles no longer fully set to zero Adjust reinsurance recoverables for credit risk Changes to risk margin methodology Allowance for diversification between homogeneous groups (mainly impact on P&C business) Inclusion of risk margin for unavoidable market risks More strict limits for eligibility of hybrid capital (tier 2 / tier 3) Themasessie 16 juli 2010: Solvency II en 17 17
18 scope Calculation of SCR: required solvency 4 new sub risk types: -Intangible Assets -Lapse Non-life -Lapse Health -Illiquidity Premiums Themasessie 16 juli 2010: Solvency II en 18 18
19 scope Required SCR: changes compared to QIS4 / RiSK2008 Correlations More heavy correlations Insurance risks Changes in parameters (e.g. lower longevity tests) More enhanced structure non-life risks to allow for impact of reinsurance Allowance undertaking specific parameters for non-life risks Allowance for lapse risks for non-life risks Marktrisico Lower stress tests for interest rate risk and equity risk Including impact of liquidity premiums Treatment of mortgages Counterparty risk Adjust methodology to allow for credit exposure on risk mitigation by reinsurers Other capital charges Concentration risk Lower thresholds Avoid double counting with counterparty risk Inclusion of intangible asset risk module More room to include tax relief in SCR Themasessie 16 juli 2010: Solvency II en 19 19
20 results Non-Life Themasessie 16 juli 2010: Solvency II en 20 20
21 results non-life Scope 10 Small insurers: GWP < 10m 6 Medium insurers: 10m < GWP < 100m 8 Large insurers: GWP > 100m 21 21
22 results non-life Premium figures small insurers Breakdown gross written premium (small insurers) Other Third party liability millions Transport Fire Motor (liability & other) Health (incl. disability) Small insurers 22 22
23 results non-life Premium figures medium insurers Breakdown gross written premium (medium insurers) Other Third party liability millions Transport Fire Motor (liability & other) Health (incl. disability) Medium insurers 23 23
24 results non-life Premium figures large insurers Breakdown gross written premium (large insurers) Other Third party liability millions Transport Fire Motor (liability & other) Large insurers Health (incl. disability) 24 24
25 results non-life Solvency ratio vs Wft millions 500% 450% 400% 350% 300% 250% 200% 150% 100% 50% 0% Average solvency ratio Small insurers Medium insurers Large insurers SI ratio SII ratio Decrease in solvency ratio of 150%-200% after moving from Wft to Large insurers benefit from diversification, but have relatively low SII ratio under study because: Prudence in reserves in most cases already included in Wft available solvency Negative impact of deferred costs on available solvency due to volmacht business More weighted towards more risky lines of business (e.g. GTPL) Make more efficient use of reinsurance which results in higher SCR 25 25
26 results non-life Solvency ratio vs Wft (2) Small Medium Large Amounts relative to SI capital Available Capital based on SII (%SI) 554% 331% 345% SCR (%SI) 176% 246% 211% MCR (%SI) 92% 95% 77% Solvency ratio SI solvency ratio 475% 262% 256% S2 solvency ratio 271% 146% 144% SCR decomposition SCR U/W risk 48% 62% 67% SCR market risk 38% 23% 22% SCR operational risk 4% 5% 7% SCR other risks 10% 11% 4% 100% 100% 100% Adjustment 9% 5% 9% Net SCR 91% 95% 91% SCR as a percentage of Solvency I varies between 175% and 250% Large insurance companies relatively more exposed to underwriting risks Average tax relief (%SCR) varies between 5% and 10% but big variation (see slide further on) 26 26
27 results non-life Solvency ratio vs Wft: small insurers 2000% Solvency ratio (small insurers) millions 1500% 1000% 500% SI ratio SII ratio 0% Small insurers Large decrease in solvency for insurance companies 4 and 8 related to: increase in SCR, as a result of monoline nature and limited ability to diversify their risks 27 27
28 results non-life Solvency ratio vs Wft: medium insurers millions 600% 500% 400% 300% 200% 100% 0% Solvency ratio (medium insurers) Medium companies SI ratio SII ratio Large decrease in solvency for insurance companies 12, 16 and 17 related to: increase in SCR, as a result of large exposure to industrial risks 28 28
29 results non-life Solvency ratio vs Wft: large insurers millions 600% 500% 400% 300% 200% 100% 0% Solvency ratio (large insurers) Large insurers SI ratio SII ratio ratio relatively low compared to small/medium peers because many large insurance companies already include prudence in Wft solvency Deviation in solvency ratio is mainly due to the selected reinsurance coverage Companies 21, 22 have selected relatively low top layer of their cat reinsurance programmes 29 29
30 results non-life Tax relief in SCR Adjustment percentage 25% 20% 15% 10% 5% 0% Insurers Large variation observed in tax credit recognised in SCR Huge impact on results 30 30
31 results non-life Risk margin 20,00% Risk Margin as % of BE liabilities (all insurers) 15,00% 10,00% 5,00% 0,00% Small, medium and large insurers Risk margin for large insurance companies varies steadily between 4%-7% Risk margin (%BE) decreased by 1%-3% in absolute terms compared to RiSK2008 as a result of allowance for diversification between lines of business 31 31
32 results non-life vs RiSK2008 Solvency margin % 500% 400% 300% 200% 100% Risk % Small insurers Medium insurers Large insurers Type of insurer Solvency margin has not changed materially from RiSK2008 to Available solvency increased due to retained earnings in 2009 and the combined effect of the following changes in methodology ( vs RiSK2008) Allowance for liquidity premium in discount rates (positive impact) Allowance for diversification between lines of business in risk margin (positive impact) Allowance for credit risk in reinsurance assets (negative impact) SCR has increased on average by 10%-15% compared to RiSK
33 results Life Themasessie 16 juli 2010: Solvency II en 33 33
34 results life Scope in terms of best estimate provisions Breakdown total best estimate provisions (55 bn) 17,28% 39,41% Insurance with profit participation Index-linked and unit-linked insurance Other life insurance 43,30% Benchmark based on 10 life insurance companies Total reserve in scope equals 55bn 34 34
35 results life Breakdown of provisions 120% 100% 80% 60% 40% 20% 0% Allocation best estimate provisions Insurers Other life insurance Index-linked and unitlinked insurance Insurance with profit participation Different profiles of insurance companies may be used to benchmark outcomes Companies 1 4: insurance companies with large diversified portfolios Companies 6,7,8,10: mainly term insurance and unit-linked business Company 5 has mainly written with profit business Company 9: mainly group pension business 35 35
36 results life Solvency ratio vs Wft 700% Solvency ratio 600% 500% SI ratio SII ratio 400% 300% 200% 100% 0% Insurers Average decrease in solvency ratio of 100% after moving from Wft to Increase in available solvency for term insurance / UL portfolios Decrease in available solvency for traditional business Required solvency increases depending on nature of the business 36 36
37 results life Solvency ratio vs Wft (2) Amounts relative to SI capital Available Capital based on SII (%SI) 330% SCR (%SI) 224% MCR (%SI) 68% Solvency ratio SI solvency ratio 237% S2 solvency ratio 138% SCR decomposition SCR Life Risk 27,8% SCR Market Risk 64,6% SCR Operational Risk 3,2% SCR Counterparty Risk 4,4% SCR Total 100,0% Adjustment 19,8% Net SCR 80,2% SCR is more than twice required Wft solvency SCR strongly dominated by market risks Average tax relief (%SCR) around 20% 37 37
38 results life Tax relief in SCR Adjustment percentage 30,00% 25,00% 20,00% 15,00% 10,00% 5,00% 0,00% Insurers Tax relief (%SCR) much higher than for non-life insurance companies Life insurance companies generally have higher deferred tax liabilities on their market value balance sheet 38 38
39 results life Available solvency vs Wft 60% 40% 20% [Available Solvency -/- Wft ] / Wft Available Solvency 0% -20% % -60% -80% -100% -120% Insurers Movement in available solvency depends on type of business Increases in case of large exposure to term insurance / UL business Decreases in case of traditional and with profit business 39 39
40 results life Required solvency vs Wft 600% 500% 400% 300% 200% 100% Required SCR / Wft required solvency 0% Insurers 40 40
41 results life SCR decomposition per risk type SCR breakdown to risk 120% 100% 80% 60% 40% 20% 0% Operational risk Life risk Credit default risk Market risk Insurers Market risk is dominant risk type in most cases Life risk is dominant for companies 7 and 8 as a result of their relatively large term insurance portfolios 41 41
42 results life Risk margin Risk margin as % of BE liabilities 25% 20% 15% 10% 5% 0% Insurers Risk margin (%BE) varies between 2%-6% for majority of life insurance companies 42 42
43 results life vs RiSK2008 Solvency ratio 250% 200% 150% 100% 50% Risk % Average SCR Ratio Available solvency increased materially due to the allowance for liquidity premium in discount rates (positive impact) SCR has increased on average by 20% compared to RiSK
44 Agenda Introduction results Demo: manage process using E2S Appendix 1: detailed results non-life 44
45 Demo: manage process using E2S 1 Pillar I Calculations on quantitative requirements MCR / SCR Solvency II 2 3 Pillar III Report to supervisors and public How to complete correct template? How to comply with legal requirements to set up adequate Solvency II reporting process? 45
46 Demo: manage process using E2S Steps used to check actuarial soundness of 1) Using tooling to perform study Fill input variables in Triple A tooling Manage complexities with input variables Perform all kinds of predefined analytical controls Tool automatically exports data to template of CEIOPS / EC 1. WFT accounts 2. Helpertabs 3. Scenarios tool Output 4. Other inputs 2) Use tooling for checking purposes Import CEIOPS template into tooling Tooling will perform all kinds of analytical controls Use outcomes for risk monitoring in GRC environment 46 46
47 Demo: manage process using E2S Demo 2 DEMO 2 Themasessie 16 juli 2010: Solvency II en 47 47
48 Demo: manage process using E2S Steps used to check actuarial soundness of All kinds of analytical controls performed User of tooling gets immediate view about quality of the study 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Analytical Controls 20% 20% 20% 60% Huidige grondslagen balans vs balans WFT staten 10% 70% Ingevulde Premies vs Premies WFT staten 30% 10% 60% Solvency I solvabiliteit vs solvabiliteit WFT staten Overeenkomend Bij benadering overeeenkomend Niet overeenkomend 40% 10% 50% Marktwaarde balans vs input Marktrisico s 5% 15% 80% Marktwaarde balans vs input Tegenpartijrisico 10% 25% 65% Marktwaarde balans vs input Renterisico en Spreadrisico 30% 20% 50% Marktwaarde balans vs opslitsing balans en best estimate voorziening 48
49 Demo: manage process using E2S 1 Pillar I Calculations on quantitative requirements MCR / SCR Solvency II 2 3 Pillar III Report to supervisors and public How to complete correct template? How to comply with legal requirements to set up adequate Solvency II reporting process? 49
50 Demo: manage process using E2S Demo 3 DEMO3 Themasessie 16 juli 2010: Solvency II en 50 50
51 Appendix 1: Detailed results Non-Life 51
52 results non-life Available solvency 60% 50% 40% 30% 20% 10% 0% -10% -20% [Available Solvency -/- Wft ] / Wft Available Solvency
53 results non-life Available solvency: small insurers Available capital (small insurers) millions SI available capital SII available capital Small insurers 53 53
54 results non-life Available solvency: medium insurers Available capital (medium insurers) millions SI available capital SII available capital Medium insurers 54 54
55 results non-life Available solvency: large insurers Available capital (large insurers) millions SI available capital SII available capital Large insurers 55 55
56 results non-life Required solvency: small insurers Change in required capital (small insurers) millions S1 required capital S2 SCR S2 MCR Small insurers 56 56
57 results non-life Required solvency: medium insurers Change in required capital (medium insurers) millions S1 required capital S2 SCR S2 MCR Medium insurers 57 57
58 results non-life Required solvency: large insurers Change in required capital (large insurers) millions S1 required capital SCR MCR Large insurers 58 58
59 results non-life SCR decomposition small insurers SCR breakdown to risk type (small insurers) millions Operational risk Underwriting risk - Non-life Underwriting risk - Health Counterparty default risk Market Risk Small insurers 59 59
60 results non-life SCR decomposition medium insurers SCR breakdown to risk type (medium insurers) millions Operational risk Underwriting risk - Non-life Underwriting risk - Health Counterparty default risk Market Risk Medium insurers 60 60
61 results non-life SCR decomposition large insurers SCR breakdown to risk type (large insurers) millions Operational risk Underwriting risk - Non-life Underwriting risk - Health Counterparty default risk Market Risk Large insurers 61 61
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 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 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 informationSolvency 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 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 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 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 informationSolvency II in practice. Speaker: Tim O Hanrahan Deputy Head, Insurance, Central Bank of Ireland 16 March 2016
1 Solvency II in practice Speaker: Tim O Hanrahan Deputy Head, Insurance, Central Bank of Ireland 16 March 2016 1 Recap on Solvency II Regulatory Framework under Solvency II Pillar I - Capital Pillar II
More informationSOLVENCY 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 informationCEIOPS-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 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 informationKPMG Business DialogueS
KPMG Business DialogueS KPMG Luxembourg May 30, 2012 Solvency II, Pillar 3 Chrystelle Veeckmans, Director, Audit services Geoffroy Gailly, Director, Management Consulting Pascal Föhr, Senior Manager, Audit
More informationSOLVENCY 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 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 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 informationFourth 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 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 informationOwn Risk and Solvency Assessment
A closer look at Solvency II: The Actuary s role in the ORSA Visesh Gosrani, Barbara Illingworth Own Risk and Solvency Assessment 2010 The Actuarial Profession www.actuaries.org.uk Agenda Introduction
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 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 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 informationRegulations 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 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 informationInsurance 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 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 informationSOLVENCY 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 informationThe standard formula requires further adjustments
EIOPA publishes the results of the fifth quantitative impact study (QIS5) The standard formula requires further adjustments Authors Martin Brosemer Dr. Kathleen Ehrlich Dr. Norbert Kuschel Lars Moormann
More informationInsurance 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 informationFRAMEWORK 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 informationSolvency 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 informationCEIOPS-QIS5-06/10 6 September 2010
CEIOPS-QIS5-06/10 6 September 2010 Manual for the completion of the QIS5 spreadsheet (for solo undertakings) Please note that this manual is not part of the formal QIS5 documentation as issued by the European
More informationQIS5 Workshops. Mark Burke, Graham Cherry, Dermot Marron
QIS5 Workshops Mark Burke, Graham Cherry, Dermot Marron 8 th 14 th September 2010 Agenda Overview Technical Provisions Assets and Other Liabilities SCR Own Funds Closing Remarks Discussion QIS5 Overview
More informationCEIOPS-DOC-45/09. (former CP 53) October 2009
CEIOPS-DOC-45/09 CEIOPS Advice for Level 2 Implementing Measures on Solvency II: SCR standard formula - Article 111 (f) Operational Risk (former CP 53) October 2009 CEIOPS e.v. Westhafenplatz 1-60327 Frankfurt
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 informationSolvency 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 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 informationICAAP of SNS Bank. Arno van Eekelen Senior Consultant SNS Bank Global Association of Risk Professionals. June 2014
ICAAP of SNS Bank Arno van Eekelen Senior Consultant SNS Bank Global Association of Risk Professionals June 2014 Table of contents 1. SNS REAAL 2. ICAAP a) Basic elements and environment b) ICAAP stages
More informationSolvency Assessment and Management: Capital Requirements Discussion Document 58 (v 3) SCR Structure Credit and Counterparty Default Risk
Solvency Assessment and Management: Capital Requirements Discussion Document 58 (v 3) SCR Structure Credit and Counterparty Default Risk EXECUTIVE SUMMARY Solvency II allows for credit and counterparty
More informationSolvency II. PwC. *connected thinking. Internal models requirements and an example
Solvency II Internal models requirements and an example *connected thinking PwC Solvency II introduced the possibility to use an internal model to estimate solvency capital requirements (SCR) No cherry-picking
More informationFeedback on the 2012 thematic review of technical provisions
Feedback on the 2012 thematic review of technical provisions Introduction Background In late 2012 the FSA published a question bank 1 on Solvency II (SII) technical provisions for completion by general
More information1. 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 information10 November 2015. Leading business advisers. Solvency II Breakfast Briefing
Solvency II Breakfast Briefing 10 November 2015 Leading business advisers Glenn Gillard - Partner Opening Remarks 2 Tax in Solvency II Nathan Powell Tax Director Solvency II Where tax fits in Free assets
More informationSA QIS3 Key changes and challenges The end is in sight
SA QIS3 Key changes and challenges The end is in sight December 2013 Contents Introduction 1 Balance sheet 2 Assets and liabilities other than technical provisions 3 Technical provisions 4 Segmentation
More informationSolvency 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 informationSolvency II, the practical implications for asset managers and insurers
www.pwc.nl/nl/asset-management Solvency II, the practical implications for asset managers and insurers December 2014 Introduction Solvency II is the most significant change for the European (re)insurance
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 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 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 informationSolvency II. 2014 Standard Formula Exercise Guidance Notes. February 2014
Solvency II 2014 Standard Formula Exercise Guidance Notes February 2014 Disclaimer No responsibility of liability is accepted by the Society of Lloyd s, the Council, or any Committee of Board constituted
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 informationSolvency 2 Preparatory Phase. Comparison with LTGA specifications. June 2014
Solvency 2 Preparatory Phase Comparison with LTGA specifications June 2014 Summary This document presents: An analysis of the main changes between the Technical Specifications of the Long Term Guarantee
More informationSAS AND CRYSTAL SYSTEM EMPOWERING SOLVENCY II FIAR - THE INTERNATIONAL INSURANCE-REINSURANCE FORUM 2014, BRASOV
SAS AND CRYSTAL SYSTEM EMPOWERING SOLVENCY II FIAR - THE INTERNATIONAL INSURANCE-REINSURANCE FORUM 2014, BRASOV HIGH PERFORMANCE ANALYTICS CRYSTAL SYSTEM 2001 Crystal System Bucharest Near-Shore factory
More informationImpacts 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 informationCEIOPS-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 informationORSA for Insurers A Global Concept
ORSA for Insurers A Global Concept Stuart Wason, FSA, FCIA, MAAA, CERA Senior Director, Actuarial Division Office of the Superintendent of Financial Institutions Canada (OSFI) Table of Contents Early developments
More informationSCHEDULE TO INSURANCE GROUP SUPERVISION AMENDMENT RULES 2015 SCHEDULE 3 (Paragraph 30) SCHEDULE OF FINANCIAL CONDITION REPORT OF INSURANCE GROUP [blank] name of Parent The schedule of Financial Condition
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 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 informationQuick 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 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 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 informationSolvency 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 informationSolvency II. Balance sheet submission. Instructions February 2012
Solvency II Balance sheet submission Instructions February 2012 Contents Introduction Purpose & Scope 3 Balance Sheet as at 31 December 2011 3 Balance Sheet as at 30 June 2012 3 Next steps 4 Instructions
More informationSolvency II Eligibility of Contingent Capital
Solvency II Eligibility of Contingent Capital This article will discuss and analyse contingent capital within the current Solvency II framework, both from its current position and also potential developments
More informations.28.02 Minimum Capital Requirement Both life and non life insurance activity
s.28.02 Minimum Capital Requirement Both life and non life insurance activity This section relates to opening, quarterly and annual submission of information for individual entities. In particular, S.28.02
More informationSolvency 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 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 informationEIOPA technical specifications for Long-Term Guarantee Assessment. January 2013. Milliman Solvency II Update
EIOPA technical specifications for Long-Term Guarantee Assessment January 2013 The Long-Term Guarantee Assessment requires participating firms to test the application of the proposed package of measures
More informationGuidelines on the valuation of technical provisions
EIOPA-BoS-14/166 EN Guidelines on the valuation of technical provisions EIOPA Westhafen Tower, Westhafenplatz 1-60327 Frankfurt Germany - Tel. + 49 69-951119-20; Fax. + 49 69-951119-19; email: info@eiopa.europa.eu
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 informationThe package of measures to avoid artificial volatility and pro-cyclicality
The package of measures to avoid artificial volatility and pro-cyclicality Explanation of the measures and the need to include them in the Solvency II framework Contents 1. Key messages 2. Why the package
More informationSolvency II Detailed guidance notes
Solvency II Detailed guidance notes March 2010 Section 1 - System of governance Section 1: System of Governance Overview This section outlines the Solvency II requirements for an effective system of governance,
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 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 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 informationStrong results create solid foundation for an independent future
a.s.r. interim results 2015 Strong results create solid foundation for an independent future Chris Figee Jack Julicher CFO CIO Financial Markets 27 August 2015 Disclaimer Cautionary note regarding forward-looking
More informationCEA Working Paper on the risk measures VaR and TailVaR
CEA Working Paper on the risk measures VaR and TailVaR CEA reference: ECO 6294 Date: 7 November 2006 Referring to: Solvency II Related CEA documents: See Appendix Contact person: Patricia Plas, ECOFIN
More informationCapital Management in a Solvency II World & the Role of Reinsurance
Capital Management in a Solvency II World & the Role of Reinsurance Paolo de Martin CEO SCOR Global Life IAA Colloquium Oslo June 2015 Overview Why I Focus today on Capital Management? Reminder key objectives
More informationPublic 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 informationMaking 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 informationINSPRU 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 informationThis section outlines the Solvency II requirements for a syndicate s own risk and solvency assessment (ORSA).
Section 9: ORSA Overview This section outlines the Solvency II requirements for a syndicate s own risk and solvency assessment (ORSA). The ORSA can be defined as the entirety of the processes and procedures
More informationBasel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc.
Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Introduction Basel II is an international framework on capital that applies to deposit taking institutions in many countries, including Canada.
More informationRisk-adjusted performance measures for Solvency II
Life Actuarial Conference 2011 James Crispin (LBG Insurance) and Sean McGuire (Oliver Wyman) Risk-adjusted performance measures for Solvency II 2010 The Actuarial Profession www.actuaries.org.uk Before
More informationSAI Solvency II Forum. Grace von Offenberg Sweeney Graham Cherry
SAI Solvency II Forum Grace von Offenberg Sweeney Graham Cherry Solvency II Aiming to have a better understanding of Risk 2 Agenda 1. SCR calculations 2. ORSA Process 3. Volatility Adjustments 3 Agenda
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 informationThe future of (Life) Reinsurance Evolution or Revolution?
The future of (Life) Reinsurance Evolution or Revolution? Alexandra Field RGA International Frauengruppe - SAV Arbeitsgruppentagung 28.08.2015, Olten Content A. Life reinsurance in the past and up to now
More informationSolvency II benchmarking survey
INSURaNce Solvency II benchmarking survey Life Insurers November 2011 kpmg.co.uk/solvencyii 2 SoLveNcy II benchmarking SURvey - LIfe INSUReRS SoLveNcy II benchmarking SURvey - LIfe INSUReRS 3 Contents
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 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 informationSolvency II: Hot topics for life insurers from the latest draft level 2 and level 3 measures. Jim Murphy Andrew Kay
Solvency II: Hot topics for life insurers from the latest draft level 2 and level 3 measures Jim Murphy Andrew Kay Solvency II Framework slide 2 Pillar 1 Solvency II Framework Pillar 2 Pillar 3 Measurement
More informationSolvency II Technical Provisions under solvency II Detailed Guidance. March 2010
Solvency II Technical Provisions under solvency II Detailed Guidance March 2010 CONTACT DETAILS For technical queries: Henry Johnson, Market Reserving and Capital 020 7327 5235 henry.johnson@lloyds.com
More informationPositioning the internal audit function within the Solvency II framework Key challenges. Ludovic Bardon Senior Manager Audit Deloitte Luxembourg
Positioning the internal audit function within the Solvency II framework Key challenges Jérôme Sosnowski Director Governance, Risk & Compliance Deloitte Luxembourg Ludovic Bardon Senior Manager Audit Deloitte
More informationConsultation Paper on the Proposal for Guidelines on submission of information to national competent authorities
EIOPA-CP-13/010 27 March 2013 Consultation Paper on the Proposal for Guidelines on submission of information to national competent authorities Page 1 of 268 Table of Contents Responding to this paper...
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 informationSOLVENCY II GENERAL INSURANCE
SOLVENCY II GENERAL INSURANCE 1 Solvency II 1.1 Background to development of Solvency II During the development of Solvency II key objectives were maintained: to increase the level of harmonisation of
More informationPreparing 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 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 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 information02/06/2014. 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