Solvency and Solvency Forms for UAE Insurance Companies
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1 Solvency and Solvency Forms for UAE Insurance Companies Saqib Jamil, FSA CERA Consulting Actuary 20 May 2015
2 Solvency Template 2
3 Solvency Forms Explained Solvency Forms can be summarised into following spreadsheets: Solvency Margin Analysis Summary of Solvency Margin Analysis Calculation of SCR - Underwriting Risk Calculation of SCR - Investment Risk Calculation of SCR - Credit Risk Calculation of SCR - Operational Risk Calculation of Minimum Guarantee Fund Listing of Individual Invested Assets Form Name SM-1 SM-2 SM-3 SM-4 SM-5 SM-6 INV-7 3
4 Diagrammatic Explanation of IA Solvency Solvency Capital Requirement Basic Solvency Capital Required Operational Risk Underwriting Risk Investment Risk Credit Risk Life Insurance Interest Rate Reinsurance Risk General Insurance Real Estate Derivatives Equity Cash and Bank Deposits Spread Receivables Concentration 4
5 Diagrammatic Explanation of Solvency with Solvency II Solvency Capital Requirement Basic Solvency Capital Required Operational Risk Underwriting Risk Investment Risk Credit Risk Life Insurance Interest Rate Reinsurance Risk General Insurance Real Estate Derivatives Health Insurance Equity Cash and Bank Deposits Catastrophe Spread Receivables Concentration 5 Currency
6 IA comparison with Solvency I and Solvency II The table below compares underwriting aspect of IA Solvency I and Solvency II The template circulated by IA is similar to Solvency I on underwriting side Risks (as per Solvency II) IA Solvency I Solvency II Non Life Premium/Reserve Risk Lapse Risk Catastrophe Risk Life Lapse Risk Expense Risk Disability Risk Mortality Risk Longevity Risk Catastrophe Risk Revision Risk 6
7 IA comparison with Solvency I and Solvency II Other than underwriting, IA has followed the Solvency II regime of Capital charge. Risks (as per Solvency II) IA Solvency I Solvency II Health Risk Long Term Health Short Term Health Catastrophe Risk Market Risk Currency Spread Interest Rate Property Equity Concentration Default Risk Operational Risk Summing All Risks Diversification Addition Diversification 7
8 IA comparison with Solvency II Qualitative Insurance Companies are not required to have an Own Risk and Solvency Assessment (ORSA) policy in place. Under Solvency II, companies need to have an effective system of governance which provides sound and prudent management of business. They should have written policies in respect of each of the following functions and ensure that these policies are implemented. Functions IA Solvency II Risk Management Within Internal Audit Internal Control Within Internal Audit Internal Audit Actuarial 8
9 SM-1 Summary of Solvency Margin Analysis 9
10 SM-2 Underwriting Risk 10
11 SM-2 Underwriting Risk 11
12 SM-2 Underwriting Risk (Non Life) Premium Basis 12
13 SM-2 Underwriting Risk (Non Life) Premium Basis 13
14 SM-2 Underwriting Risk (Non Life) Premium Basis 14
15 SM-2 Underwriting Risk (Non Life) Technical Provision Basis 15
16 SM-2 Underwriting Risk (Non Life) Capital Requirement for Underwriting Risk for Property and Liability Insurance is higher of Written Premium Basis and Technical Provision Basis 16
17 SM-2 Underwriting Risk (Life) Technical Provision Basis 17
18 SM-2 Underwriting Risk (Life) Sum At Risk Basis 18
19 SM-2 Underwriting Risk (Life Insurance) Capital Requirement for Underwriting Risk for Life Insurance is higher of Technical Provision Basis and Sum at Risk Basis 19
20 SM 3 Investment Risk 20
21 Interest Rate Risk (Non Life) Interest Rate Yield goes up with Maturity in Years An upward (downward shock) in interest rates as prescribed by IA Different discount factors calculated for Current Yield, Upward and Downward shock Actuaries will populate Cash Flows for Liabilities together with Investment Department for Cash Flows of Assets 21
22 Interest Rate Risk (Life) One of the difference between Life Insurance and Non Life Interest Rate Risk is that the interest rate is determined by Actuary for the discounting of technical provision (no discounting allowed for Non Life). Life Insurance is further segmented into Guaranteed and Non Guaranteed Risk, with a higher Upward (or downward) shock for Guaranteed Products. Interest Rate Risk does not allow for Diversification between Non Life and Life Risk as they both would occur simultaneously 22
23 Real Estate Risk Three different modules differentiating Life, General and Shareholder Fund. Different Shock Factors appropriate to the category of Real Estate It also allows for CF value of Real Estate if the property is rented and shock value is limited. 23
24 Equities Risk Three different modules differentiating Life, General and Shareholder Fund. Different Shock Factors appropriate to the category of Equities 24
25 Spread Risk Similar to Real Estate and Equity Risks, three different modules differentiating Life, General and Shareholder Fund. This template would be automatically populated through Investment Schedule Debt Securities and Structure Products are assigned into different Rating Factors Capital Requirement for Debt Securities is a product of Weighted Duration Rating Factor Value of Debt Securities 25
26 Concentration Risk Similar to other Risks, three different modules differentiating Life, General and Shareholder Fund and would be automatically populated through Investment Schedule Concentration Risk is bifurcated into Equities and Debt Securities The securities will be divided into different asset class and there is a maximum limit of 3% for security rated A and above and 1.5% for security rated below A Any security whose exposure is above the percentage above, the excess exposure would be multiplied by a charge equal to Asset Value Factor to arrive at Capital Requirement The final value would be the Sum of Capital Requirement for concentration for all Asset class. 26
27 SM-3 Investment Risk Capital Risk for each Prescribed Shock is then summarized and allowed for diversification to arrive at Capital Requirement for Investment Risk 27
28 SM-4 Credit Risk 28
29 SM-4 Credit Risk Credit Risk is bifurcated based on Exposure and Receivables Credit Risk from Reinsurance, Derivatives and Cash at Bank is considered as part of exposure Recoverable are segmented based on different ratings and the net exposure to each counterparty is calculated 29
30 SM-4 Credit Risk Receivables Receivables are classified into within 3 months and over three months For Residential and Commercial Mortgage, the asset value populated through investment schedule less Collateral has been used to determine the total exposure of Asset Value of Assets less collateral are then multiplied by Exposure Factors to arrive at Final Charges 30
31 SM-5 Operational Risk 31
32 SM-5 Operational Risk Capital Requirement for the Operational Risk is calculated as Higher of Earned Premium Basis or Technical Provision Basis this approach is similar to Solvency II 32
33 SM-6 Minimum Guaranteed Fund 33
34 SM-6 Minimum Guarantee Fund Minimum Guarantee Fund ensures that there is a minimum capital for each sub- class required The idea is to provide some capital (which would be more than the Solvency Capital Requirement if the company is writing a small amount of business) 34
35 SM-6 Minimum Guarantee Fund For example if the company writes even AED 2,000 of certain class of business (say agriculture), it has to provide AED 2 million in capital. 35
36 INV-7 Listing of Individual Asset 36
37 INV-7 Listing of Individual Asset 37
38 INV-7 Listing of Individual Asset 38
39 SM-1 Summary of Solvency Margin Analysis 39
40 Contact Information Saqib Jamil Consulting Actuary Tel Fax Mobile saqib.jamil@milliman.com
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