Solvency 2 & Reinsurance
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1 Solvency 2 & Reinsurance APREF 03 March 2011 E. Nisipasu Head of SCOR Actuarial Modelling
2 Agenda 1 Solvency 2 - Global overview 2 Fifth quantitative impact study (QIS5) 3 QIS5 - Practical example 4 Conclusions 2
3 Solvency 2 Global Overview Background European insurer solvency regime was put in place in the 1970 s. Solvency 1 shortcomings: Premium-based methods hardly reflect the true risk Factor-based methods are unable to adequately take into account complex forms of risk transfer Solvency margin independent of segmentation of business and investment strategy Margin for prudence in the liability valuation is not prescribed and varies between companies Dependencies between assets and liabilities or between lines of business are not taken into account Solvency 1 is now outdated and not appropriate for the current market complexity 3
4 Solvency 2 Global Overview Context of Solvency 2 European project initiated and driven by the EU Commission and developed in close cooperation with national supervisors and international professional bodies Level 1: approval of the directive in April Implementation (level 2) still on-going discussion (amended with the Omnibus 2 directive) Objectives: Consumers protection Risk-based, market consistent approach to solvency capital assessment Encourage companies to understand and manage their risks Consistent and comparable regulatory system across Europe Enhanced transparency and public disclosure 4
5 Solvency 2 Global Overview New features Principles-based rather than rules-based (Solvency 1) Economic and market-consistent valuation of the risks to which the company is exposed Solvency assessment linked to the risk-profile of the company (company rewarded for good risk management and controls) Consideration of diversification effects Choice of calculation methods Principle of proportionality 5
6 Solvency 2 Global Overview Three pillars view Goals: Policyholder protection Improvement of stability of financial markets Quantitative Requirements Valuation of technical provisions Own Funds Asset classification SCR (Solvency Capital Requirement) and MCR (Minimum Capital Requirement) Supervisory Review (ORSA 1) ) Improve supervision: Corporate governance Risk Management Internal Control (process) Approaches: Stress Tests, Scenarios, Simulations Disclosure Requirements Improve transparency and market discipline: Public disclosure of solvency and financial condition report Reporting to supervisor Pillar 1 Quantitative Pillar 2 Qualitative Pillar 3 Communication ERM 2) 1) ORSA: Own Risk and Solvency Assessment 2) ERM: Enterprise Risk Management 6
7 Solvency 2 Global Overview Lamfalussy process Process for producing EU financial services legislation that can cope with rapidly changing technical standards, a 4-level approach: What is it? What does it include? Who develops? Who decides? Level 1 Solvency 2 directive Overall Framework principles European Commission European Parliament, European Council Level 2 Implementing measures Detailed implementing measures European Commission EIOPC 1) EIOPA 2) Level 3 Supervisory standards Consistent guidelines and common standards EIOPA 2) EIOPA 2) Level 4 Enforcement Monitoring compliance and enforcement European Commission European Commission 1) EIOPC: European Insurance and Occupational Pensions Committee 2) EIOPA: European Insurance and Occupational Pensions Authority 7
8 Agenda 1 Solvency 2 - Global overview 2 Fifth quantitative impact study (QIS5) 3 QIS5 - Practical example 4 Conclusions 8
9 Solvency 2 Global Overview A "full fair value" quantitative approach Economic Balance Sheet Assets Assets in Fair Value Liabilities Ineligible capital Tier 3 Tier 2 Available Capital Tier 1 Risk Margin Best Estimates Free Surplus SCR MCR Technical Provisions COVERAGE RATIO = Available Capital / SCR Required Capital = Own Funds eligible for SCR Classified in 3 Tiers upon availability/ quality Market Risk Credit Risk Operational Risks Underwriting Risks Intangible Risk Capital required to meet obligations in the coming year with a 1/200 failure probability Other liabilities SCR: Solvency Capital Requirement MCR: Minimum Capital Requirement 9
10 Solvency 2 Global Overview Solvency capital requirement SCR = BSCR - Adj + SCR OP Basic SCR Adj SCR OP Aggregate risk capital for: Life Non-life Health Market Counterparty Intangibles Adjustment for the risk absorbing effect of: Future profit sharing Deferred taxes Capital charge for operational risk (which does not benefit explicitly from diversification) 10
11 Solvency 2 Global Overview Basic SCR risk matrix SCR Adj BSCR Op Market Health Default Life Non-life Intang Interest rate SLT Health CAT Non-SLT Health Mortality Premium Reserve Equity Property Spread Mortality Longevity Disability Morbidity Premium Reserve Lapse Longevity Disability Morbidity Lapse Lapse CAT Currency Concentration Illiquidity Lapse Expenses Revision Expenses Revision CAT = included in the adjustment for the lossabsorbing capacity of technical provisions under the modular approach 11
12 Agenda 1 Solvency 2 - Global overview 2 Fifth quantitative impact study (QIS5) 3 QIS5 - Practical example 4 Conclusions 12
13 QIS5 Practical example Cedent company Non-Life Cedent Company 4 years of business 2 LoBs: Motor TPL and Fire Split of premiums and reserves (SII best estimate) as of end 2009 Motor Fire Total Premiums 43,738,918 35,655,119 79,394,037 Premiums % 55% 45% 100% Reserves 88,198,435 36,055, ,254,174 Reserves % 71% 29% 100% Portfolio geographical split Reserves Premiums Zone 1 68% 27% Zone 2 9% 33% Zone 3 23% 40% 13
14 QIS5 Practical example Reinsurance cases Aim of the example is to provide vision of the impact of a cedent s reinsurance strategy on its solvency capital position using Solvency II factors. Reinsurance strategy against pure investment strategy -> the weight of the Balance Sheet, as well as the available capital as of end 2009 will remain constant. Three types of reinsurance strategy with variants: Non Proportional Reinsurance: high vs low layers, Proportional Reinsurance Loss Portfolio Transfer Sensitivity test to the geographical diversifications of the cedent Diversification between lines of business tested (multi-lob cedent against monoliner) 14
15 QIS5 Practical example Case 0: With No Reinsurance Strategy Solvency 2 Balance Sheet as of end 2009 No reinsurance Assets Liabilities Investments 193,147,577 Available Capital 28,893,403 Lands and buildings 7,302,297 Equities 22,833,302 Fixed Income 163,011,978 Other Liabilities 40,000,000 Reinsurance 0 Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 amounts in No Reinsurance reserves on the balance sheet Judgmental investment split between bonds, equities and property With Geo div Without Geo div SCR 31,387,060 35,002,063 Coverage Ratio 92% 83% 15
16 Case 0: With No Reinsurance Strategy / SCR Calculation No capital required for counterparty risk Assumed and reinsurance reserves are sensitive to interest rate risk. Impact of geographical diversification on SCR Uw -> significant penalization in terms of required capital SCR Uw Non Life has a significant weight in the global SCR With Geo div Without Geo div SCR UW Non Life 21,430,582 25,227,739 SCR Default 0 0 Mkt interest rate assets UP 9,112,160 9,112,160 Mkt Interest rate liabilities UP -4,506,843-4,506,843 Mkt interest rate assets Down -7,722,169-7,722,169 Mkt Interest rate liabilities Down 4,111,952 4,111,952 Mkt equity 7,383,718 7,383,718 Mkt Real Estate 1,825,574 1,825,574 Mkt Spread 6,455,066 6,455,066 SCR Market 14,974,175 14,974,175 BSCR 29,050,789 32,396,713 SCR Operational 2,336,270 2,605,350 SCR 31,387,060 35,002,063 Coverage Ratio 92% 83% 16
17 Case 0: With No Reinsurance Strategy / SCR Uw Non Life Geographical split of premiums and reserves in each line of business Reserves Premiums Zone 1 68% 27% Zone 2 9% 33% Zone 3 23% 40% Motor Fire Reserve Premium Reserve Premium Zone 1 60,413,798 11,875,076 24,697,310 9,680,332 Zone 2 7,521,151 14,560,198 3,074,665 11,869,192 Zone 3 20,263,486 17,303,644 8,283,763 14,105,596 88,198,435 43,738,918 36,055,739 35,655,119 17
18 Case 0: With No Reinsurance Strategy / SCR Calculation For each lob, combination of premiums and reserves net of reinsurance to derive premiums and reserves volume (geographical diversification) and standard deviation (premium and reserve 50% correlation) Without Geo Diversification With Geo Diversification Fire Motor Fire Motor Std. Premiums 10% 10% 10% 10% Corr. Premium/Reserves 50% 50% 50% 50% Std. Reserves 11.0% 9.5% 11.0% 9.5% Ceded Premium Premium Volume (net of reinsurance) 35,655,119 43,738,918 35,655,119 43,738,918 Reserve Volume (net of reinsurance) 36,055,739 88,198,435 36,055,739 88,198,435 Geo Diversification 0% 0% 63% 63% Std Premium and Reserves 9.1% 8.5% 9.1% 8.5% Premiums and Reserves Volume 71,710, ,937,353 60,429, ,452,900 18
19 Case 0: With No Reinsurance Strategy / SCR Calculation Combination of lobs volumes and standard deviation applying the corresponding correlation between motor and fire Motor Liability Fire Motor Liability 100% 25% Fire 25% 100% Without Geo Diversification No Reinsurance With Geo Diversification No Reinsurance Sigma lob V lob Sigma lob V lob Fire 9.10% 71,710, % 60,429,364 Motor Liability 8.51% 131,937, % 112,452,900 Total Volume 203,648, ,882,264 Total Std 7.03% 7.04% SCR UW Non Life 25,227,739 21,430,582 19
20 Case 0: With No Reinsurance Strategy / Summary of Results Summary of results: the coverage ratio below 100% corresponds to a B to BBB rating for the cedant With Geo div Without Geo div SCR UW Non Life 21,430,582 25,227,739 SCR Default 0 0 Mkt interest rate assets UP 9,112,160 9,112,160 Mkt Interest rate liabilities UP -4,506,843-4,506,843 Mkt interest rate assets Down -7,722,169-7,722,169 Mkt Interest rate liabilities Down 4,111,952 4,111,952 Mkt equity 7,383,718 7,383,718 Mkt Real Estate 1,825,574 1,825,574 Mkt Spread 6,455,066 6,455,066 SCR Market 14,974,175 14,974,175 BSCR 29,050,789 32,396,713 SCR Operational 2,336,270 2,605,350 SCR 31,387,060 35,002,063 Coverage Ratio 92% 83% Assets Investments 193,147,577 Lands and buildings 7,302,297 Equities 22,833,302 No reinsurance Liabilities Available Capital 28,893,403 Fixed Income 163,011,978 Other Liabilities 40,000,000 Reinsurance 0 Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 amounts in 20
21 Case 1: With Non Prop (high layers) Reinsurance Strategy 4 years of Non Proportional Reinsurance strategy Unlimited XS 1250 k for Motor Liability Unlimited XS 200 k for Fire Solvency II Balance Sheet as of end 2009: Reinsurance Reserve appearing, rebalancing the asset side, investments adjusted to keep the weight of the balance sheet constant NP Reinsurance Assets Liabilities Investments 185,513,625 Available Capital 28,893,403 Lands and buildings 7,013,682 Equities 21,930,841 Fixed Income 156,569,103 Other Liabilities 40,000,000 Reinsurance 7,633,952 Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 With Geo div Without Geo div SCR 28,055,862 31,345,831 Coverage Ratio 103% 92% 21
22 Case 1: With Non Prop (high layers) Reinsurance Strategy Capital required for reinsurance counterparty risk (SCR Default) Market Risk reduced due to replacement of investments by reinsurance reserves With Geo div Without Geo div SCR Non Life 18,186,435 21,558,598 SCR Default 449, ,097 Mkt interest rate assets UP 8,752,011 8,752,011 Mkt Interest rate liabilities UP -4,229,950-4,229,950 Mkt interest rate assets Down -7,416,959-7,416,959 Mkt Interest rate liabilities Down 3,859,321 3,859,321 Mkt equity 7,091,884 7,091,884 Mkt Real Estate 1,753,420 1,753,420 Mkt Spread 6,199,937 6,199,937 SCR Market 14,413,018 14,413,018 BSCR 26,098,829 29,012,629 SCR Operational 2,098,873 2,333,201 SCR 28,197,702 31,345,831 Coverage Ratio 102% 92% 22
23 Case 1: With Non Prop (high layers) Reinsurance Strategy Geographical split of premiums and reserves in each line of business Reserves Premiums Zone 1 68% 27% Zone 2 9% 33% Zone 3 23% 40% Motor Fire Reserve Vol. Premium Vol. Reserve Vol. Premium Vol. Zone 1 55,786,111 9,773,615 24,095,925 9,511,227 Zone 2 6,945,032 11,983,567 2,999,796 11,661,849 Zone 3 18,711,306 14,241,522 8,082,052 13,859,185 81,442,449 35,998,704 35,177,773 35,032,260 23
24 Case 1: With Non Prop (high layers) Reinsurance Strategy / SCR Uw Non Life For each lob, combination of premiums and reserves net of reinsurance to derive premiums and reserves volume (geographical diversification) and standard deviation (premium and reserve 50% correlation) Without Geo Diversification With Geo Diversification Fire Motor Fire Motor Std. Premiums 8.54% 7.33% 8.54% 7.33% Corr. Premium/Reserves 50% 50% 50% 50% Std. Reserves 11.0% 9.5% 11.0% 9.5% Ceded Premium 622,859 7,740,214 6,417,922 7,740,214 Premium Volume (net of reinsurance) 35,032,260 35,998,704 35,032,260 35,998,704 Reserve Volume (net of reinsurance) 35,177,773 81,442,449 35,177,773 81,442,449 Geo Diversification 0% 0% 63% 63% Std Premium and Reserves 8.5% 8,0% 8.5% 8,0% Premiums and Reserves Volume 70,210, ,441,153 59,158,812 99,127,212 24
25 Case 1: With Non Prop (high layers) Reinsurance Strategy / SCR Uw Non Life Combination of lobs volumes and standard deviation applying the corresponding correlation between motor and fire Motor Liability Fire Motor Liability 100% 25% Fire 25% 100% No Geo Diversification NP Reinsurance With Geo Diversification NP Reinsurance Sigma lob V lob Sigma lob V lob Fire 8,5% 70,210,033 8,5% 59,158,812 Motor Liability 8.0% 117,441, % 99,127,212 Total Volume 187,651, ,286,024 Total Std 6,54% 6,54% SCR UW Non Life 21,558,598 18,186,435 25
26 Case 1: With Non Prop (high layers) Reinsurance Strategy / Summary of results Summary of results: available capital is still not sufficient to cover required capital With Geo div Without Geo div SCR Non Life 18,186,435 21,558,598 SCR Default 449, ,097 Mkt interest rate assets UP 8,752,011 8,752,011 Mkt Interest rate liabilities UP -4,229,950-4,229,950 Mkt interest rate assets Down -7,416,959-7,416,959 Mkt Interest rate liabilities Down 3,859,321 3,859,321 Mkt equity 7,091,884 7,091,884 Mkt Real Estate 1,753,420 1,753,420 Mkt Spread 6,199,937 6,199,937 SCR Market 14,413,018 14,413,018 BSCR 26,098,829 29,012,629 SCR Operational 2,098,873 2,333,201 SCR 28,197,702 31,345,831 Assets Investments 185,513,625 Lands and buildings 7,013,682 Equities 21,930,841 NP Reinsurance Liabilities Available Capital 28,893,403 Fixed Income 156,569,103 Other Liabilities 40,000,000 Reinsurance 7,633,952 amounts in Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 Coverage Ratio 102% 92% 26
27 Case 2: With Non Prop (low layers) Reinsurance Strategy Non Proportional Reinsurance strategy with lower priorities Unlimited XS 150k for Motor Liability Unlimited XS 50 k for Fire Solvency II Balance Sheet as of end 2009: high reinsurance retro reserves. NP Reinsurance Assets Liabilities Investments 158,241,342 Lands and buildings 5,982,603 Equities 18,706,797 Available Capital 28,893,403 Fixed Income 133,551,943 Other Liabilities 40,000,000 Reinsurance 34,906,235 Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 With Geo div Without Geo div SCR 22,644,877 24,856,460 Coverage Ratio 128% 116% 27
28 Case 2: With Non Prop (low layers) Reinsurance Strategy With Geo div Without Geo div SCR UW Non Life 13,126,426 15,564,010 SCR Default 1,506,559 1,557,210 Mkt interest rate assets UP 7,465,382 7,465,382 Mkt Interest rate liabilities UP -3,240,753-3,240,753 Mkt interest rate assets Down -6,326,595-6,326,595 Mkt Interest rate liabilities Down 2,956,797 2,956,797 Mkt equity 6,049,309 6,049,309 Mkt Real Estate 1,495,651 1,495,651 Mkt Spread 5,288,487 5,288,487 SCR Market 12,414,324 12,414,324 BSCR 20,959,324 23,006,290 SCR Operational 1,685,553 1,850,170 SCR 22,644,877 24,856,460 Coverage Ratio 128% 116% 28
29 Case 2: With Non Prop (low layers) Reinsurance Strategy Geographical split of premiums and reserves in each line of business Reserves Premiums Zone 1 68% 27% Zone 2 9% 33% Zone 3 23% 40% Motor Fire Reserve Vol. Premium Vol. Reserve Vol. Premium Vol. Zone 1 43,216,516 7,186,452 17,984,664 8,451,279 Zone 2 5,380,194 8,811,410 2,238,981 10,362,232 Zone 3 14,495,319 10,471,663 6,032,264 12,314,693 63,092,029 26,469,525 26,255,910 31,128,203 29
30 Case 2: With Non Prop (low layers) Reinsurance Strategy / SCR Uw Non-Life For each lob, combination of premiums and reserves net of reinsurance to derive premiums and reserves volume (geographical diversification) and standard deviation (premium and reserve 50% correlation) Without Geo Diversification With Geo Diversification Fire Motor Fire Motor Std. Premiums 6,83% 4,82% 6,83% 4,82% Corr. Premium/Reserves 50% 50% 50% 50% Std. Reserves 11.0% 9.5% 11.0% 9.5% Ceded Premium 4,526,917 17,269,393 4,526,917 17,269,393 Premium Volume (net of reinsurance) 31,128,203 26,469,525 31,128,203 26,469,525 Reserve Volume (net of reinsurance) 26,255,910 63,092,029 26,255,910 63,092,029 Geo Diversification 0% 0% 63,73% 62,11% Std Premium and Reserves 7,6% 7,5% 7,6% 7,5% Premiums and Reserves Volume 57,384,113 89,561,554 48,241,007 75,655,494 30
31 Case 2: With Non Prop (low layers) Reinsurance Strategy / SCR Uw Non-Life Combination of lobs volumes and standard deviation applying the corresponding correlation between motor and fire Motor Fire Motor Liability 100% 25% Fire 25% 100% No Geo Diversification No Reinsurance With Geo Diversification No Reinsurance Sigma lob V lob Sigma lob V lob Fire 7,60% 57,384,113 7,60% 48,241,007 Motor Liability 7,51% 89,561,554 7,51% 75,655,494 Total Volume 146,945, ,896,501 Total Std 6.04% 6,05% SCR UW Non Life 15,564,010 13,126,426 31
32 Case 2: With Non Prop (low layers) Reinsurance Strategy / Summary of results Summary of results: coverage ration goes beyond 100% but higher price for the reinsurance program With Geo div Without Geo div SCR UW Non Life 13,126,426 15,564,010 SCR Default 1,506,559 1,557,210 Mkt interest rate assets UP 7,465,382 7,465,382 Mkt Interest rate liabilities UP -3,240,753-3,240,753 Mkt interest rate assets Down -6,326,595-6,326,595 Mkt Interest rate liabilities Down 2,956,797 2,956,797 Mkt equity 6,049,309 6,049,309 Mkt Real Estate 1,495,651 1,495,651 Mkt Spread 5,288,487 5,288,487 SCR Market 12,414,324 12,414,324 BSCR 20,959,324 23,006,290 SCR Operational 1,685,553 1,850,170 SCR 22,644,877 24,856,460 Assets Investments 158,241,342 Lands and buildings 5,982,603 Equities 18,706,797 NP Reinsurance Available Capital Liabilities 28,893,403 Fixed Income 133,551,943 Other Liabilities 40,000,000 Reinsurance 34,906,235 amounts in Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 Coverage Ratio 128% 116% 32
33 Case 3: With Prop Reinsurance Strategy 44% Quota Share Solvency II Balance Sheet as of end 2009: high reinsurance retro reserves. Coverage Ratio much higher but at what price? Prop Reinsurance / QS 44% Assets Liabilities Investments 125,565,240 Available Capital 28,893,403 Lands and buildings 4,671,610 Equities 14,607,496 Fixed Income 104,286,134 Other Liabilities 40,000,000 Reinsurance 69,582,337 Insurance Liabilities 124,254,174 Total 193,147,577 Total 193,147,577 With Geo div Without Geo div SCR 17,827,503 19,394,304 Coverage Ratio 162% 149% 33
34 Case 3: With Prop Reinsurance Strategy With Geo div Without Geo div SCR UW Non Life 9,353,654 11,100,205 SCR Default 2,428,212 2,494,451 Mkt interest rate assets UP 5,829,461 5,829,461 Mkt Interest rate liabilities UP -1,983,011-1,983,011 Mkt interest rate assets Down -4,940,221-4,940,221 Mkt Interest rate liabilities Down 1,809,259 1,809,259 Mkt equity 4,723,698 4,723,698 Mkt Real Estate 1,167,902 1,167,902 Mkt Spread 4,129,598 4,129,598 SCR Market 9,893,671 9,893,671 BSCR 16,500,528 17,951,630 SCR Operational 1,326,976 1,443,674 SCR 17,827,503 19,394,304 Coverage Ratio 162% 149% 34
35 Case 4: With Loss Portfolio Transfer Strategy Loss Portfolio transfer of first 3 years of Motor business 79% of the Motor ptf -> 56% of the global ptf Prop Reinsurance / QS 44% Assets Investments 123,628,042 Lands and buildings 4,673,984 Equities 14,614,920 Available Capital Liabilities 28,893,403 Fixed Income 104,339,138 Other Liabilities 40,000,000 Reinsurance 0 Insurance Liabilities 54,734,639 Total 123,628,042 Total 123,628,042 With Geo div SCR 20,532,988 Coverage Ratio 141% 35
36 Case 4: With Loss Portfolio Transfer Strategy With Geo div SCR Non Life 13,936,571 SCR Default 0 Mkt interest rate assets UP 5,832,424 Mkt Interest rate liabilities UP -1,985,289 Mkt interest rate assets Down -4,942,732 Mkt Interest rate liabilities Down 1,811,337 Mkt equity 4,726,099 Mkt Real Estate 1,168,496 Mkt Spread 4,131,697 SCR Market 9,898,206 BSCR 19,004,632 SCR Operational 1,528,356 SCR 20,532,988 Coverage Ratio 141% 36
37 Summary of results 37
38 Agenda 1 Solvency 2 - Global overview 2 Fifth quantitative impact study (QIS5) 3 QIS5 - Practical example 4 Conclusions 38
39 Conclusions Non-proportional reinsurance is a valuable tool in managing risk Solvency 2 allows to consider risk mitigation techniques when assessing capital requirements and efforts have been made by European Commission to take into account non proportional covers However more efforts need to: QIS5 technical specifications do not allow to fully benefit from reinsurance the adjustment factors applied to premium cannot be applied for all types of non-proportional reinsurance cover (for example whole account XoL) and Non-proportional reinsurance covers are subject to restrictive eligibility rules A more appropriate methodology needs to be developped to have an accurate recognition of these mitigation techniques 39
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