Agenda. Session 35. Methodology Modeling Challenges Scenario Generation Aggregation Diversification
|
|
- Magnus Walton
- 7 years ago
- Views:
Transcription
1 INSURANCE & ACTUARIAL ADVISORY Session 35 Advanced Click to edit Economic Master Reserves title styleand Capital Matthew Clark FSA, CFA Valuation Actuary Symposium Austin, TX Agenda Methodology Modeling Challenges Scenario Generation Aggregation Diversification 1
2 Methodology 2 Methodology Selection Most organizations are implementing a single economic capital methodology Statutory Balance Sheet Fair Value Balance Sheet Other Multiple economic capital audiences Internal External 3
3 Methodology Challenges Statutory Balance Sheet Approach Distribution of total assets required (TAR) is not informative Stranded capital Consider including a cash balance approach to gain insight into the redundancy of reserves Limited number of scenarios requiring additional capital 4 Methodology Challenges Cont. Fair Value Balance Sheet Approach Applying fair value mechanics can be a challenge Difficult to reconcile results to existing metrics Defining risk margins Cost of Capital Percentile Margin by source 5
4 Modeling Challenges 6 Modeling Challenges Runtime Considerations Policyholder Behavior Management Actions 7
5 Runtime Considerations How many scenarios is enough? Tail metrics Aggregation challenges Cell Compression Accuracy of results Balance precision with practicality Need to balance shelf life of the results and the production time 8 Runtime Considerations Cont. Solutions: Perform sensitivity analysis on cell compression Note that the tail metric will impact the number of cells and/or scenarios needed Consider impact across the distribution Balance the robustness of the population with the entire process Focus on both the assets and liabilities Understand the value introduced by additional cells versus the runtime 9
6 Policyholder Behavior Predicting policyholder behavior is difficult in the tail events Need to balance historic events with the universe of possible events Does a single dynamic assumption meet your needs? Accept the fact that policyholder behavior is a difficult to predict 10 Policyholder Behavior Cont. Lapse Assumptions Dynamic equations lose functionality in the tail Realize that the focus may be on the extreme tail events How does lapse activity impact mortality or morbidity? Premium Assumptions Premiums are not traditionally considered a dynamic assumption Tail events where the product guarantees are rich need to be considered Consider the impact of premium payments at both ends of the distribution 11
7 Policyholder Behavior Cont. 12 Solutions Perform sensitivity tests to understand the policyholder behavior across the distribution Awareness of the limitations in your policyholder behavior is important Consider optimal policyholder behavior Consider the perfect storm conditions Do not ingore the impact lapses might have on other assumptions Management Actions Modeling management actions tends to challenging Need to balance historic actions with emerging risk management platform Note there is a difference between what management can do versus what management will do Consider management actions across the organization 13
8 Scenario Generation Scenario Generation Market Risks Economic scenario considerations Are the market parameters generated in a single generator? Are interest, equity and credit generated on a consistent basis? Are credit charges consistent with credit spreads? Does your generator regime switching? Understand the limitations of your generator and aggregations techniques
9 16 Scenario Generation Non-Market Risks Mortality and Morbidity Considerations Do you have a mortality generator? What parameters are being used? Trend Volatility Underwriting Catastrophe Consider calibration to tail events How sensitive are your results to the nonmarket risks? Aggregation 17
10 Aggregation Techniques Correlation Matrix Mix of business Tail considerations What point in the tail? What metric is being used? Black box What events contribute to the tail metrics Note the distribution is more important than a single tail metric 18 Aggregation Techniques Cont. Integrated Scenarios Requires correlation assumptions Allows the user to understand the impact of correlation assumptions Requires more scenarios than other techniques Fuzzy Tail versus Black Box 19
11 Diversification 20 Diversification Organizations are determined to allocate capital back to business units/profit centers How do you treat the diversification impact? Allocate all or part to the business unit? Allocate all to corporate? How will diversification impact business decisions? Pricing Sales Compensation 21
12 2007 Valuation Actuary Symposium Economic Capital Implementation Issues Howard L. Rosen Chief Insurance Risk Officer & Chief Actuary Retail Life ING USFS Agenda Definition of Economic Capital Implementation Issues ING Responses 1
13 Definition of Economic Capital ( EC ) Capital requirements are set to meet S&P requirements for a AA rated Insurer on a required total asset basis and have been defined as: The amount of capital required to protect the market value of the liabilities with a 99.95% one-sided confidence over a 1-year time horizon Market Value of Liabilities ( MVL ) is the value at which the liabilities could be transferred to a willing, rational, diversified counterparty in an arms length transaction under normal business conditions The risk that is captured in the capital also relates to uncertainties beyond the 1-year period through the MVL 2 Risk Types Correspond To Sources Of Economic Loss CREDIT RISK Unexpected Loss Earnings Deviation due to variations in Credit Losses RISK Earnings Deviation Total Economic Risk Inter-risk diversification TRANSFER RISK Unexpected Transfer Loss MARKET RISK Value at Risk BUSINESS RISK Residual Earnings Deviation OPERATIONAL RISK Event Loss Deviation LIFE RISK Mortality Deviation Earnings Deviation due to inability to repatriate funds - immaterial for insurance Earnings Deviation due to changes in the Market Price or Liquidity Earnings Deviation due to changes in Operating Economics (e.g. Volume, Margins or Costs) Earnings Deviation due to One-off Losses unrelated to Volume, Margins and Costs Earnings Deviation due to unexpected changes in mortality rates 3
14 Implementation Issues Cost Processing Time Volatility of Results Definition of 1 in 2000 Event Treatment of Taxes Treatment of Lazy Capital Charges Credited Rates Diversification Level Playing Field??? 4 Implementation Issues Cost Issue(s) New System Hardware Operating Environment People Conversion Ongoing ING Response Prophet Upgraded Machines Grid Environment Additional FTEs These Are Table Stakes 5
15 Implementation Issues Processing Time Issue(s) 45 day Reporting Lag Need For Up-to-date Asset Files Delayed Input From Other Functional Areas Need To Aggregate Results ING Response Replicating Portfolios For Assets & Liabilities Interim Quarter Gross-ups ECAPs 6 Implementation Issues Volatility Of Results Issue(s) Use of Risk Free Rates Creates Market Risk Volatility Inconsistency With Retail Life Business Model Methodology Improvements ING Response LIVE WITH IT! 7
16 Implementation Issues One In 2000 Event Issue How Do You Define For Risk Capitals Not Subject To Stochastic Projection? ING Response Arbitrary Sensitivities Expense Lapse 8 Implementation Issues Treatment Of Taxes Issue Not Currently Considered Not Clear How To Reflect ING Response Still Under Review 9
17 Implementation Issues Treatment Of Lazy Capital Issue Redundant Reserves Don t Exist In MC Environment LOC Or Other Charges Are Real ING Response Assume Borne By Corporate Limited Or Unlimited? 10 Implementation Issues Credited Rates Issue(s) Real World Or Spread Off Of Risk Free? Real World Inconsistent With Risk Free Rates Spread Off Of Risk Free Rates Inconsistent With Real Costs, CV, etc. ING Response Currently Use Real World Methodology Currently Under Review 11
18 Implementation Issues Diversification Issue(s) How To Properly Reflect Benefits of Multiple Risks Within Same Product Risks Within Same Business Unit Risks Across (Global) Business Units ING Response Enormous Multidimensional Matrix Within ECAPS Black Box Process Significant Reduction in EC Hard To Conceptually Understand Potentially Inconsistent With Rating Agency Perspective 12 Implementation Issues Level Playing Field??? Issue(s) Are We Consistent With Our Competitors? Methodology Definitions Are They On EC Methodology? 13
19 Implementation Issues STAY TUNED 14 Implementation Issues Questions? 15
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 informationStochastic Analysis of Long-Term Multiple-Decrement Contracts
Stochastic Analysis of Long-Term Multiple-Decrement Contracts Matthew Clark, FSA, MAAA, and Chad Runchey, FSA, MAAA Ernst & Young LLP Published in the July 2008 issue of the Actuarial Practice Forum Copyright
More 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 informationJose Rodicio, ASA, CFA, FRM Deputy Chief Insurance Risk Officer ING Latin America Atlanta Actuarial Club March 26, 2009
Enterprise Risk Management and Economic Capital at ING A practical approach Jose Rodicio, ASA, CFA, FRM Deputy Chief Insurance Risk Officer ING Latin America Atlanta Actuarial Club March 26, 2009 Agenda
More informationGuidance 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 informationFeatured article: Evaluating the Cost of Longevity in Variable Annuity Living Benefits
Featured article: Evaluating the Cost of Longevity in Variable Annuity Living Benefits By Stuart Silverman and Dan Theodore This is a follow-up to a previous article Considering the Cost of Longevity Volatility
More informationEconomic Capital for Life Insurers. Arnold Dicke Southeastern Actuaries Conference Spring Meeting Ritz Carlton, Amelia Island June 20, 2003
Economic Capital for Life Insurers Arnold Dicke Southeastern Actuaries Conference Spring Meeting Ritz Carlton, Amelia Island June 20, 2003 2 RAROC Economic Capital How is it defined? What are its components?
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 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 informationERM-2: Introduction to Economic Capital Modeling
ERM-2: Introduction to Economic Capital Modeling 2011 Casualty Loss Reserve Seminar, Las Vegas, NV A presentation by François Morin September 15, 2011 2011 Towers Watson. All rights reserved. INTRODUCTION
More informationHow To Become A Life Insurance Agent
Traditional, investment, and risk management actuaries in the life insurance industry Presentation at California Actuarial Student Conference University of California, Santa Barbara April 4, 2015 Frank
More informationOlav 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 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 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 informationPreparing for Solvency II Theoretical and Practical Issues in Building Internal Economic Capital Models Using Nested Stochastic Projections
Preparing for Solvency II Theoretical and Practical Issues in Building Internal Economic Capital Models Using Nested Stochastic Projections m i l l i m a n i n c. January 2006 Prepared by: Ed Morgan, Marc
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 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: 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 informationPrinciples-based Valuation of Life Insurance Products
Principles-based Valuation of Life Insurance Products November 17, 2005 Shawn D. Parks, FSA, MAAA Vice President and Illustration Actuary 306PP9493 1105 This presentation expresses the views of the presenter
More informationInternational 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 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 informationAutumn Investor Seminar. Workshops. Managing Variable Annuity Risk
Autumn Investor Seminar Workshops Managing Variable Annuity Risk Jean-Christophe Menioux Kevin Byrne Denis Duverne Group CRO CIO AXA Equitable Chief Financial Officer Paris November 25, 2008 Cautionary
More informationInstitute of Actuaries of India Subject ST1 Health and Care Insurance
Institute of Actuaries of India Subject ST1 Health and Care Insurance For 2015 Examinations Aim The aim of the Health and Care Specialist Technical subject is to instil in successful candidates the ability
More informationIASB/FASB Meeting Week beginning 11 April 2011. Top down approaches to discount rates
IASB/FASB Meeting Week beginning 11 April 2011 IASB Agenda reference 5A FASB Agenda Staff Paper reference 63A Contacts Matthias Zeitler mzeitler@iasb.org +44 (0)20 7246 6453 Shayne Kuhaneck skuhaneck@fasb.org
More informationEffective Stress Testing in Enterprise Risk Management
Effective Stress Testing in Enterprise Risk Management Lijia Guo, Ph.D., ASA, MAAA *^ Copyright 2008 by the Society of Actuaries. All rights reserved by the Society of Actuaries. Permission is granted
More informationEconomic Capital for Life Insurance Companies Society of Actuaries. Prepared by: Ian Farr Hubert Mueller Mark Scanlon Simon Stronkhorst
Economic Capital for Life Insurance Companies Society of Actuaries Prepared by: Ian Farr Hubert Mueller Mark Scanlon Simon Stronkhorst Towers Perrin February 2008 Table of Contents 1. Introduction...1
More informationIASB Agenda Ref 16A. FASB Memo No. 140A. Issue Date September 11, 2015. Meeting Date September 23, 2015. Assistant Director
Memo IASB Agenda Ref 16A FASB Memo No. 140A Issue Date September 11, 2015 Meeting Date September 23, 2015 Contact(s) Alex Casas Author / Project Lead Peter Proestakes Assistant Director Project Topic Insurance
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 informationACCOUNTING STANDARDS BOARD DECEMBER 2004 FRS 27 27LIFE ASSURANCE STANDARD FINANCIAL REPORTING ACCOUNTING STANDARDS BOARD
ACCOUNTING STANDARDS BOARD DECEMBER 2004 FRS 27 27LIFE ASSURANCE FINANCIAL REPORTING STANDARD ACCOUNTING STANDARDS BOARD Financial Reporting Standard 27 'Life Assurance' is issued by the Accounting Standards
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 informationThe Impact of Medical Cost Inflation and Dynamic Policyholder Behavior on Market Consistent Embedded Value in Health Insurance
The Impact of Medical Cost Inflation and Dynamic Policyholder Behavior on Market Consistent Embedded Value in Health Insurance Jan-Philipp Schmidt Marcus C. Christiansen Session Number: TBR6 Agenda Motivation
More informationRating 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 informationMarket-Consistent Embedded Value (MCEV)
Market-Consistent Embedded Value (MCEV) SOA Spring Meeting / Session 3 Phoenix, Arizona Hubert Mueller, Principal (860) 843-7079 May 9, 2007 2007 Towers Perrin Agenda Recent Trends with European Embedded
More informationA Primer for Calculating the Swiss Solvency Test Cost of Capital for a Market Value Margin
A Primer for Calculating the Swiss Solvency Test Cost of Capital for a Market Value Margin 26. April 2006 Philipp Keller Federal Office of Private Insurance Philipp.Keller@bpv.admin.ch 1. Introduction
More informationGuideline. Source of Earnings Disclosure (Life Insurance Companies) No: D-9 Date: December 2004 Revised: July 2010
Guideline Subject: Category: (Life Insurance Companies) Accounting No: D-9 Date: December 2004 Revised: July 2010 This Guideline, which applies to life insurance companies and life insurance holding companies
More informationSolvency II and Predictive Analytics in LTC and Beyond HOW U.S. COMPANIES CAN IMPROVE ERM BY USING ADVANCED
Solvency II and Predictive Analytics in LTC and Beyond HOW U.S. COMPANIES CAN IMPROVE ERM BY USING ADVANCED TECHNIQUES DEVELOPED FOR SOLVENCY II AND EMERGING PREDICTIVE ANALYTICS METHODS H o w a r d Z
More informationCentral Bank of Ireland Guidelines on Preparing for Solvency II Pre-application for Internal Models
2013 Central Bank of Ireland Guidelines on Preparing for Solvency II Pre-application for Internal Models 1 Contents 1 Context... 1 2 General... 2 3 Guidelines on Pre-application for Internal Models...
More informationINTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS
Standard No. 13 INTERNATIONAL ASSOCIATION OF INSURANCE SUPERVISORS STANDARD ON ASSET-LIABILITY MANAGEMENT OCTOBER 2006 This document was prepared by the Solvency and Actuarial Issues Subcommittee in consultation
More informationRegulatory Capital Requirements for U.S. Life Insurers
Regulatory Capital Requirements for U.S. Life Insurers Presentation to FSOC s Insurance Industry Work Group Nancy Bennett, FSA, CERA, MAAA Senior Life Fellow, American Academy of Actuaries June 17, 2014
More informationLong Term Care Insurance: Factors Impacting Premiums and The Rationale for Rate Adjustments
Long Term Care Insurance: Factors Impacting Premiums and The Rationale for Rate Adjustments Amy Pahl, FSA, MAAA Principal and Consulting Actuary Milliman, Inc. Amy.Pahl@milliman.com (952) 820-2419 Prepared
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 informationINDUSTRIAL-ALLIANCE LIFE INSURANCE COMPANY. FIRST QUARTER 2000 Consolidated Financial Statements (Non audited)
INDUSTRIAL-ALLIANCE LIFE INSURANCE COMPANY FIRST QUARTER 2000 Consolidated Financial Statements (Non audited) March 31,2000 TABLE OF CONTENTS CONSOLIDATED INCOME 2 CONSOLIDATED CONTINUITY OF EQUITY 3 CONSOLIDATED
More informationSurvey on Market Risk. Sponsored by Society of Actuaries Committee on Finance Research. Prepared by PricewaterhouseCoopers LLP
Survey on Market Risk Sponsored by Society of Actuaries Committee on Finance Research Prepared by PricewaterhouseCoopers LLP June 2012 2012 Society of Actuaries, All Rights Reserved The opinions expressed
More informationALM Seminar June 12-13, 2008. ALM Attribution Analysis. Moderator Robert Reitano
ALM Seminar June 12-13, 2008 ALM Attribution Analysis Jonathan Hede Gary Hatfield Moderator Robert Reitano ALM Seminar ALM Attribution Analysis Jonathan Hede, FSA, FCIA, MAAA, CFA June 12-13, 2008 Agenda
More informationiii. Risk Report Management's Assessment on Risk Profile
Management Discussion and Analysis, Risk Report and Financial Control Reconciliations, Risk Report 149 Risk Report and Financial Control iii. Risk Report the allianz risk management approach is designed
More informationGN47: Stochastic Modelling of Economic Risks in Life Insurance
GN47: Stochastic Modelling of Economic Risks in Life Insurance Classification Recommended Practice MEMBERS ARE REMINDED THAT THEY MUST ALWAYS COMPLY WITH THE PROFESSIONAL CONDUCT STANDARDS (PCS) AND THAT
More informationDeriving Value from ORSA. Board Perspective
Deriving Value from ORSA Board Perspective April 2015 1 This paper has been produced by the Joint Own Risk Solvency Assessment (ORSA) Subcommittee of the Insurance Regulation Committee and the Enterprise
More informationDisclosure of Market Consistent Embedded Value as at March 31, 2015
May 20, 2015 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. Disclosure of Market Consistent Embedded Value as at March 31, 2015 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. ( Himawari Life,
More informationSAVINGS PRODUCTS AND THE LIFE INSURANCE INDUSTRY IN CANADA
SAVINGS PRODUCTS AND THE LIFE INSURANCE INDUSTRY IN CANADA Carl Hiralal 25 November 2004 1 Topics OSFI s Role Canadian Industry Insurance Products in Canada Insurance versus Savings Segregated Funds Universal
More informationFacilitating On-Demand Risk and Actuarial Analysis in MATLAB. Timo Salminen, CFA, FRM Model IT
Facilitating On-Demand Risk and Actuarial Analysis in MATLAB Timo Salminen, CFA, FRM Model IT Introduction It is common that insurance companies can valuate their liabilities only quarterly Sufficient
More informationGUIDANCE NOTE 253 - DETERMINATION OF LIFE INSURANCE POLICY LIABILITIES
THE INSTITUTE OF ACTUARIES OF AUSTRALIA A.C.N. 000 423 656 GUIDANCE NOTE 253 - DETERMINATION OF LIFE INSURANCE POLICY LIABILITIES APPLICATION Appointed Actuaries of Life Insurance Companies. LEGISLATION
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 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 informationEquity-based Insurance Guarantees Conference October 27-28, 2008. Pricing EAI Guarantees. Moderator Dr. K. (Ravi) Ravindran
Equity-based Insurance Guarantees Conference October 27-28, 2008 Pricing EAI Guarantees Noel Abkemeier, Eric Petersen Moderator Dr. K. (Ravi) Ravindran Equity Indexed Annuity Pricing Eric Petersen, F.S.A.
More informationMaking progress towards our objectives
Making progress towards our objectives Scotiabank Financials Summit 2013 Donald A. Guloien President and Chief Executive Officer September 5, 2013 Caution regarding forward-looking statements This presentation
More informationReserving for income protection (IP) business (individual and group)
Reserving for income protection (IP) business (individual and group) 1. Please could you give us your name and contact details so that we can ensure that we get a wide spread of responses to this survey.
More informationPricing Variable Annuity With Embedded Guarantees. - a case study. David Wang, FSA, MAAA May 21, 2008 at ASHK
Pricing Variable Annuity With Embedded Guarantees - a case study David Wang, FSA, MAAA May 21, 2008 at ASHK Set The Stage Peter is the pricing actuary of company LifeGoesOn and LifeGoesOn wishes to launch
More informationManulife Investor Day 2015 Delivering Results and Preparing for the Future
C$ unless otherwise stated TSX/NYSE/PSE: MFC SEHK:945 Manulife Investor Day 2015 Delivering Results and Preparing for the Future New supplemental disclosures introduced to reflect Manulife s strategic
More informationInvestment Symposium March 2008. I3: Challenges in Implementing and Managing a Derivatives Program. Moderator Stephen Stone
Investment Symposium March 2008 I3: Challenges in Implementing and Managing a Derivatives Program Jason Steigman Frank Zhang Ernie Tang Moderator Stephen Stone Challenges in Implementing and Managing a
More informationPractical Applications of Stochastic Modeling for Disability Insurance
Practical Applications of Stochastic Modeling for Disability Insurance Society of Actuaries Session 8, Spring Health Meeting Seattle, WA, June 007 Practical Applications of Stochastic Modeling for Disability
More informationFinancial Engineering g and Actuarial Science In the Life Insurance Industry
Financial Engineering g and Actuarial Science In the Life Insurance Industry Presentation at USC October 31, 2013 Frank Zhang, CFA, FRM, FSA, MSCF, PRM Vice President, Risk Management Pacific Life Insurance
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 informationGUIDELINES CONTINGENCY PLAN FOR INSURERS
GUIDELINES ON CONTINGENCY PLAN FOR INSURERS (Issued under section 7 (1) (a) of the Financial Services Act 2007 and section 130 of the Insurance Act 2005) February 2008 1 1. INTRODUCTION 1.1. The Insurance
More informationRating Methodology by Sector. Life Insurance
Last Updated: July 1, 2013 Rating Methodology by Sector Life Insurance The following mainly applies to life insurance companies in Japan. The credit ratings of a life insurance company is assessed by focusing
More informationNew opportunities for U.S. life insurers on pension risk transfer
New opportunities for U.S. life insurers on pension risk transfer Prepared By: Jenny Jin, FSA, MAAA Stuart Silverman, FSA, MAAA Eric Carlson, FSA, MAAA TABLE OF CONTENTS EXECUTIVE SUMMARY... 3 OVERVIEW...
More informationLife Insurance risk management in the Insurance company : CSOB case studies
Life Insurance risk management in the Insurance company : CSOB case studies Content Topics : case study Life Insurance risk management, 1. Life Insurance 2. Case study what is life insurance product and
More informationPrinciples-Based Update - Annuities
Principles-Based Update - Annuities SEAC Fall 2008 Meeting Concurrent Session Life Insurance Cheryl Tibbits, FIAA, FSA, MAAA Towers Perrin November 20, 2008 Current Status of PBA for Annuities Variable
More informationVariable Annuities in Australia: Managing the Risks. Jeff Gebler & Warren Manners
Variable Annuities in Australia: Managing the Risks Jeff Gebler & Warren Manners Agenda VA Risks: Lessons learned from the past Dynamic Hedging: Ingredients for an optimal hedging strategy VA Risks: Lessons
More informationEquity-Based Insurance Guarantees Conference November 18-19, 2013. Atlanta, GA. GAAP and Statutory Valuation of Variable Annuities
Equity-Based Insurance Guarantees Conference November 18-19, 2013 Atlanta, GA GAAP and Statutory Valuation of Variable Annuities Heather Remes GAAP and Statutory Valuation of Variable Annuities Heather
More informationInsurance (Valuation of Long Term Liabilities) Regulations 2007 Consultative Document
Insurance (Valuation of Long Term Liabilities) Regulations 2007 Consultative Document 1. Introduction The Insurance and Pensions Authority has released a consultative draft of the Insurance (Valuation
More informationUsage of Modeling Efficiency Techniques in the US Life Insurance Industry
Usage of Modeling Efficiency Techniques in the US Life Insurance Industry April 2013 Results of a survey analyzed by the American Academy of Actuaries Modeling Efficiency Work Group The American Academy
More informationSURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES
QUESTIONNAIRE SURVEY ON ASSET LIABILITY MANAGEMENT PRACTICES OF CANADIAN LIFE INSURANCE COMPANIES MARCH 2001 2001 Canadian Institute of Actuaries Document 20113 Ce questionnaire est disponible en français
More informationDisclosure of European Embedded Value (summary) as of March 31, 2012
May 25, 2012 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of 2012 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life Insurance
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 informationSeeking Alternatives. Senior loans an innovative asset class
Trends 09 10.11 Seeking Alternatives Senior loans an innovative asset class Dirk Wieringa, Alternative Investments Advisory Senior loans are an innovative asset class that provide a hedge against rising
More informationHedging at Your Insurance Company
Hedging at Your Insurance Company SEAC Spring 2007 Meeting Winter Liu, FSA, MAAA, CFA June 2007 2006 Towers Perrin Primary Benefits and Motives of Establishing Hedging Programs Hedging can mitigate some
More informationFINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS. V Rajagopalan R Kannan K S Gopalakrishnan
FINANCIAL REPORTING FOR LIFE INSURANCE BUSINESS V Rajagopalan R Kannan K S Gopalakrishnan 6th Global Conference of Actuaries; February 2004 PRESENTATION LAYOUT Fair value reporting Recent developments
More informationActuarial Guidance Note 9: Best Estimate Assumptions
ACTUARIAL SOCIETY OF HONG KONG Actuarial Guidance Note 9: Best Estimate Assumptions 1. BACKGROUND AND PURPOSE 1.1 Best estimate assumptions are an essential and important component of actuarial work. The
More informationDisclosure of European Embedded Value as of March 31, 2015
UNOFFICIAL TRANSLATION Although the Company pays close attention to provide English translation of the information disclosed in Japanese, the Japanese original prevails over its English translation in
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 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 informationBlue Cross Plans: Tax Efficient Investing
With the expiring 833(b) tax deduction, the issue of taxability has entered the equation as a key consideration in the asset allocation process for many Blue Cross plans. Optimizing the allocation between
More informationEEV, MCEV, Solvency, IFRS a chance for actuarial mathematics to get to main-stream of insurance value chain
EEV, MCEV, Solvency, IFRS a chance for actuarial mathematics to get to main-stream of insurance value chain dr Krzysztof Stroiński, dr Renata Onisk, dr Konrad Szuster, mgr Marcin Szczuka 9 June 2008 Presentation
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 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 informationDisclosure of European Embedded Value (summary) as of March 31, 2015
May 28, 2015 SUMITOMO LIFE INSURANCE COMPANY Disclosure of European Embedded Value (summary) as of March 31, 2015 This is the summarized translation of the European Embedded Value ( EEV ) of Sumitomo Life
More informationFinancial Outlook* Michael Bell Executive Vice President and Chief Financial Officer CIGNA Corporation
Financial Outlook* Michael Bell Executive Vice President and Chief Financial Officer CIGNA Corporation *Information presented as of November 21, 2008 Agenda 2008 & 2009 Financial Outlook Critical Success
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 informationtop issues An annual report
top issues An annual report Volume 7 2015 Insurance modernization Developments in insurance contracts accounting and reserving The insurance industry in 2015 Developments in insurance contracts accounting
More informationBest Estimate of the Technical Provisions
Best Estimate of the Technical Provisions FSI Regional Seminar for Supervisors in Africa on Risk Based Supervision Mombasa, Kenya, 14-17 September 2010 Leigh McMahon BA FIAA GAICD Senior Manager, Diversified
More informationZurich s approach to Enterprise Risk Management. John Scott Chief Risk Officer Zurich Global Corporate
Zurich s approach to Enterprise Risk Management John Scott Chief Risk Officer Zurich Global Corporate Agenda 1. The risks we face 2. Strategy risk and risk tolerance 3. Zurich s ERM framework 4. Capital
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 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 informationEfficient Frontier of New Business
Efficient Frontier of New Business Yuhong (Jason) Xue, FSA MAAA 1 Abstract The importance of linking Enterprise Risk Management (ERM) with the strategic planning process has been well recognized in recent
More informationA chapter on Valuation basis covering the following minimum criteria should also be displayed on the web-site of the Insurers.
L-42 42- Valuation Basis (Life Insurance) A chapter on Valuation basis covering the following minimum criteria should also be displayed on the web-site of the Insurers. Data The company maintains the Policy
More informationInsurance contracts. International Financial Reporting Standards. Capital Markets Advisory Committee meeting 7 March 2013.
Capital Markets Advisory Committee meeting 7 March 2013 Agenda paper 5 International Financial Reporting Standards Insurance contracts Project contacts: Izabela Ruta iruta@ifrs.org +44 20 7246 6957 The
More informationDraft Prudential Practice Guide
Draft Prudential Practice Guide SPG 532 Investment Risk Management May 2013 www.apra.gov.au Australian Prudential Regulation Authority Disclaimer and copyright This prudential practice guide is not legal
More informationLife 2008 Spring Meeting June 16-18, 2008. Session 75, Selling Annuities through IMOs. Moderator Ghalid Bagus, FSA, FIA, MAAA
Life 2008 Spring Meeting June 16-18, 2008 Session 75, Selling Annuities through IMOs Moderator Ghalid Bagus, FSA, FIA, MAAA Authors Ghalid Bagus, FSA, FIA, MAAA Christopher L. Conklin, FSA, MAAA Yan Fridman,
More informationMarket Consistent Embedded Value Basis for Conclusions October 2009. CFO Forum
CFO Forum Market Consistent Embedded Value Basis for Conclusions October 2009 Basis for Conclusions on CFO Forum Market Consistent Embedded Value Principles This Basis for Conclusions accompanies the proposed
More information9 Questions Every ETF Investor Should Ask Before Investing
9 Questions Every ETF Investor Should Ask Before Investing 1. What is an ETF? 2. What kinds of ETFs are available? 3. How do ETFs differ from other investment products like mutual funds, closed-end funds,
More information