Use of Reinsurance in Pension Risk Management
|
|
- Ralf Mitchell
- 5 years ago
- Views:
Transcription
1 Use of Reinsurance in Pension Risk Management Presented By Jean-Fran François Lemay April 16 th, 2007
2 Use of Reinsurance Overview Pension Buy-outs in the UK Longevity Bonds Use of reinsurance in Canada Pricing and asset management from a reinsurer s perspective 2
3 Pension Buy-outs in the UK Changes in regulation and accounting standards mean that the deficit of approx. 50 billion on 500 billion UK pensions liabilities have become a serious issue for many companies Combining this phenomenon with some high profile corporate bankruptcies and restructuring, e.g. Marconi, so the UK became a major market opportunity both in buying pension liabilities and in buying distressed companies with even more distressed pension schemes Initially, in the UK there are two significant players in the bulk annuities/pensions buy-out market: The Prudential and Legal & General. We now have many players, some are specialized in the area (Paternoster), some are just private equity players looking for an asset-intensive play (Cerberus). UK has a much greater prevalence of payout annuities, hence the longevity risk has taken a much more prevalent place. 3
4 Pension Buy-outs in the UK Two main strategies to accomplish buy-out in the UK using offshore entities: Life Insurance Buy-Out Shell Company Spin-Off 4
5 Life Insurance Buy-Out ABC Life (Rated onshore life insurance Co.) Offshore Reinsurer 5 Collateral for Counterparty risk Reinsurance Company/Sponsor Pension Plan Insurance Contract
6 Shell Company Spin-Off Shell company Collateral for Counterparty risk Insurance Offshore Insurer Pension Plan Buy-out Company/Sponsor Pension Plan 6
7 Pension Buy-outs in the UK Under both UK strategies an offshore entity ends up with the risk. Offshore entities can offer a more competitive price because of lower capital costs and taxes. Both strategies call for the simple and full transfer of liabilities to an insurer/reinsurer Reinsurance is an effective way of transferring the longevity risk and the investment risk. Reinsurance would be tailored exactly to the pension plan s mortality experience, so no volatility would be left on the reinsured lives. Reinsurance would reduce volatility of both the accounting liabilities and valuation liabilities. Reinsurance would eliminate the volatility of the portion of the risk reinsured. Accounting liabilities are going to be much more important with the new rules requiring that pension liabilities be shown on the balance sheet and not only as a footnote 7
8 Longevity Bonds A relatively new twist The structure is likely to evolve probably all will have different twists The European Investment Bank / BNP Longevity bond issued in 2004 is a good example: Payments are linked to a survivor index The interest paid is X$ times the proportion of survivors from a group aged 65 at issue Survivorship using UK government statistics Issuer is the European Investment Bank (AAA rated) Structurer and manager is BNP Paribas Partner Re is the reinsurer 8
9 Longevity Bond Issuer Reinsurer Bond Holder (Pension Plan) 9 Reinsurance Issue Price Floating rate tied to longevity
10 Longevity Bonds Same net effect: a reinsurer gets the mortality risk The difference is that it is transferred to the pension plan through a rated asset This fact may make it easier to enter into More liquid than pure reinsurance However the longevity bond is based on an index, not on the actual mortality experience of the plans, hence a basis risk left for the pension plan The plan may not be able to increase surplus / reduce deficit even if the price of the longevity bond is more attractive than the reserve calculation This may or may not be a more efficient structure from a tax or capital perspective 10
11 Use of Reinsurance in Canada Reinsurance in Canada could take a similar form to the UK reinsurance structure. Assets need to stay in Canada in an OSFI-regulated trust in order for the ceding insurance company to get reserve relief So this is not just for counter-party risk, but is mandated for reserve and capital relief The reinsurance would likely be done on a funds withheld basis, meaning that the initial premium is never transferred from the insurer to the reinsurer, it is withheld and will appear as a payable on the insurers book. This would be a more efficient way from a capital perspective than putting all the assets in the trust. Assets in trust need to be 110% of Stat reserves, but you only need 100% of stat reserve on funds withheld. 11
12 Use of Reinsurance in Canada Offshore Reinsurer Collateral for Reserve Relief Reinsurance (funds withheld basis) ABC Life (Rated onshore life insurance Co.) Company/Sponsor Pension Plan 12 Insurance Contract
13 Use of Reinsurance in Canada The devil is in the details. While the general structure for each transaction may be similar, there will always be customizations: What are the provisions if the assets in trusts are not sufficient? Who manages the business (pay pensions, keep records)? What are the rules relative to the assets in the trust? Any Letters of credit? What happens if the reinsurer gets downgraded? Any rights to recapture the business? In short, this is a mini M&A exercise 13
14 Use of Reinsurance in Canada Not aware of any similar transactions being done in Canada Currently, the large insurers in Canada are the only source of annuities But if you have a large plan, you may not be able to get a quote for your whole block About $1B in annuities done in Canada in a year. Some blocks are much larger than that. So basically we are at the stage where the UK was prior to the entry of the new players and offshore reinsurers. 14
15 Use of Reinsurance in Canada The costs of doing one of those transactions for one of these offshore player is large: They many not have the life insurance company setup yet, so they need to buy/borrow/build one. They may not have any mortality expertise in Canada so a lot of consulting costs to price the deal It may be easier for a very large plan to get a quote than for a medium-sized plan, since the large plan will attract more bidders willing to absorb the cost of setting up a structure in Canada. 15
16 Pricing Reinsurance The cost of reinsurance will be driven mainly by the yield available in the markets, mortality, taxes and the cost of the capital needed to support the business. The cost of reinsurance may be different than the solvency liability, depending on : The interest rate used for the calculation of the liabilities relative to the current rates The assumptions used (mortality being the main one) in the calculation of the liabilities vs. the best estimate mortality used in the reinsurance The relationship between the liabilities booked and the cost of reinsurance may also change depending on which piece of the liabilities is reinsured Reinsurance may target only the pieces where the price is than the liabilities There could be other accounting issues, such as realization of deferred gains/losses, etc. 16
17 Pricing Reinsurance Following is an example of the three main factors in the reinsurance price would be estimated be the reinsurer: Mortality Return on assets Cost of capital 17
18 Pricing Reinsurance Mortality Experience data would be the first thing a reinsurer would look at. Only large plans would have credible data, but anything would help Refinements could be made by looking at the occupation, amounts, geographic distribution History of the plan will also be important, the reinsurer may look at if there was anti-selection at any given point in time was there an offer of lump sums or any other conversions? The reinsurer will have to use mortality improvement factors, for example, 1% improvement per year from the starting experience. 18
19 Pricing Reinsurance Return on assets Reinsurer will look at what is the yield on a portfolio that he could purchase today that matches the liability cash flows Will use a set of investment guidelines to have a realistic mix of provincial, Canada and corporate bonds, as well as a credit quality mix. To that yield, the reinsurer will subtract an expected default rate, to take credit risk into account. Some would use an optimizer to generate the portfolio used for pricing, and for managing the assets. Often this net return on asset is converted to a spread over treasuries or a spread over the swap curve, for example, treasuries + 90bps. 19
20 Pricing Reinsurance A linear optimizer can be used to make the most optimal fixed income portfolio selection The optimizer would select from a list of available bonds the portfolio that best matches the liability portfolio with the highest yield, ensuring that: Mismatch risk, determined through interest rate scenario testing is within risk tolerance and The portfolio fits all constraints, such as: Overall credit quality Exposure per issuer, per sector, per type, per rating (duration-weighted) Any other risk metric, such as maximum negative cash flows in any given year The universe of bonds used as input to the optimizer would be price as of the time of the optimization, and would include the full bid-offer spread. The universe would also have been screened by the asset manager to eliminate any undesirable names and ratings used by the optimizer may be adjusted by the asset manager to reflect any view the manager has on that particular issue. 20
21 Pricing Reinsurance Cost of capital Reinsurer will come up with the capital it needs to support the business. Offshore reinsurers may not have statutory capital requirements as such (Bermuda minimum capital is $250k!), so reinsurer will calculate an economic capital, i.e. an amount set aside that is a measure of the risk of the business Economic capital will depend on the certainty around the assumptions as well as the risk of the asset portfolio Then a cost of capital is calculated so that the reinsurer obtains it s target return on capital. Often expressed as a reduction in the discount rate used, for example 30bps. So in our example, if we earn treasuries + 90 bps, and need 30 bps for the cost of capital, then the price offered will be discounting the liability cash flows (calculated using the reinsurer s mortality assumption) at the treasury curve + 60bps. 21
22 Summary UK market may be an indicator of what lies ahead Reinsurance is a flexible tool and may ultimately be the only outlet for large amounts of longevity risks New accounting rules in the US may speed up evolution there 22
The Longevity Bond. First International Conference on Longevity Risk and Capital Markets Solutions. 18th February 2005
First International Conference on Longevity Risk and Capital Markets Solutions 18th February 2005 The Longevity Bond Mark Azzopardi, BNP Paribas, +44 20 7595 8231 1 Introduction Corporate pensions and
More informationJeff Davies. Group Chief Financial Officer
Jeff Davies Group Chief Financial Officer AIM: DEMONSTRATE THAT LEGAL & GENERAL S EARNINGS AND BALANCE SHEET ARE RESILIENT TO CREDIT STRESS EVENTS 1. Financial results (Jeff Davies) 2. Legal & General
More informationSession 17 Longevity Risk Hedging for Pension Plans. Aleem Qureshi, Canada Life
Session 17 Longevity Risk Hedging for Pension Plans Aleem Qureshi, Canada Life Agenda Purpose of longevity insurance How it Works Longevity Insurance vs Annuities Assessing Longevity Risk for Smaller Pension
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 informationLongevity Risk - Tolerances and Appetites. CIA Pension Seminar November 5, 2012
Longevity Risk - Tolerances and Appetites CIA Pension Seminar November 5, 2012 1 Longevity Risk in perspective Each Plan is different - CAAT facts Bigger context: how does longevity risk fit? Our review
More informationPENSION LONGEVITY RISK MERCER LEAD ADVISOR ON FIRST EVER CANADIAN PENSION LONGEVITY INSURANCE TRANSACTION
PENSION LONGEVITY RISK MERCER LEAD ADVISOR ON FIRST EVER CANADIAN PENSION LONGEVITY INSURANCE TRANSACTION MARCH 2015 Paul Forestell, FSA, FCIA Benoit Hudon, FSA, FCIA Manuel Monteiro, FSA, FCIA Today s
More informationAudited Financial Statements
Audited Financial Statements For the Year Ended December 31, 2017 and the period from May 27, 2016 With Report of Independent Auditors Audited Financial Statements For the Year Ended December 31, 2017
More informationAurigen Reinsurance Limited
Consolidated Financial Statements of Year ended December 31, 2017 Ernst & Young Ltd. 3 Bermudiana Road Hamilton HM 08, Bermuda P.O. Box HM 463 Hamilton HM BX, Bermuda Tel: +1 441 295 7000 Fax: +1 441 295
More informationAURIGEN REINSURANCE LIMITED
Consolidated Financial Statements of AURIGEN REINSURANCE LIMITED Year ended December31, 2016 KPMG Audit Limited Crown House 4 Par-la-Ville Road Hamilton HM 08 Bermuda Mailing Address: P.O. Box HM 906 Hamilton
More informationAs a provider of financial
46 Prudential plc Annual Report 2013 Strategic report Group Chief Risk Officer s report on the risks facing our business and our capital strength Managing risk to generate competitive advantage Our strategy
More informationSECURITIES AND EXCHANGE COMMISSION Washington, D.C FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2010
More informationCanada Post Corporation Registered Pension Plan Financial Statements
Canada Post Corporation Registered Pension Plan 2013 Financial Statements Table of Contents Management s Responsibility for Financial Reporting... 1 Actuaries Opinion... 2 Independent Auditors Report...
More informationSolvency 2 Economic Capital Is it?
Solvency 2 Economic Capital Is it? Special Report Insurance March 2017 From time to time, Midroog publishes special reports regarding certain industries or issuers. Special reports do not constitute rating
More informationAssumptions for Hypothetical Wind-Up and Solvency Valuations with Effective Dates Between December 31, 2011, and December 30, 2012
Educational Note Assumptions for Hypothetical Wind-Up and Solvency Valuations with Effective Dates Between December 31, 2011, and December 30, 2012 Committee on Pension Plan Financial Reporting May 2012
More informationThe development of complementary insurance capacity through Insurance Linked Securities (ILS)
The development of complementary insurance capacity through Insurance Linked Securities (ILS) SCOR ILS Risk Transfer Solutions 10/11/11 Page 1 Development of a complementary insurance capacity 1 ILS market
More informationManulife Financial Corporation Management s Discussion & Analysis. For the year ended December 31, 2017
Manulife Financial Corporation Management s Discussion & Analysis For the year ended December 31, 2017 Caution regarding forward-looking statements From time to time, Manulife Financial Corporation ( MFC
More informationrv de septembre - 09/09/ XC
rv de septembre - 09/09/2008 - XC Rendez-vous de septembre 9 September 2008 - Monte Carlo RISK TRANSFER IN SOLVENCY II Xavier Cognat Fédération Française des Sociétés d Assurances rv de septembre - 09/09/2008
More informationAnnuity risk transfer market A fad or here to stay?
Momentum 2010 Rupen Shah, SCOR Global Life UK Annuity risk transfer market A fad or here to stay? 10 December 2010 Agenda UK Annuity Market Market Participants and Transaction Activity Demand vs Supply
More informationSecuritisations for Life Insurers
Securitisations for Life Insurers Overview and opportunities Wolfgang Hoffmann 22. October 2013 Agenda Introduction VIF Monetisation / Securitisation Structuring of transactions Key Impact impacts on KPIs
More informationArticle from: Reinsurance News Issue 7
Article from: Reinsurance News 2014 Issue 7 New Opportunities For Pension Plan De-Risking In Canada: Longevity Risk Hedging Contracts By Paul Belanger, Jeremy Forgie, Adam Ngan and Elizabeth Sale Paul
More informationSainsbury s Bank plc. Pillar 3 Disclosures for the year ended 31 December 2008
Sainsbury s Bank plc Pillar 3 Disclosures for the year ended 2008 1 Overview 1.1 Background 1 1.2 Scope of Application 1 1.3 Frequency 1 1.4 Medium and Location for Publication 1 1.5 Verification 1 2 Risk
More informationReinsurance Section News
Article from: Reinsurance Section News July 2003 Electronic Issue ELECTRONIC ISSUE JULY 2003 REINSURANCE N E W S ELECTRONIC NEWSLETTER OF THE REINSURANCE SECTION FAS 133 Implementation Issue B36 Implications
More informationNote 10: Derivative Instruments
Note 10: Derivative Instruments Derivative instruments are financial that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices or
More informationIFRS 17 will affect how reinsurers conduct business A guide to the challenges ahead
www.pwchk.com IFRS 17 will affect how reinsurers conduct business A guide to the challenges ahead September 2018 Contents Introduction 1 I FRS 17 applies to both reinsurers and insurers, so what is specific
More informationFinancial Statements. For the year ended 30 June 2017
Financial Statements Statement of comprehensive income 18 Balance sheet 19 Statement of changes in equity 20 Statement of cash flows 21 22 n 24 n Long Term Assets 39 n Other information 41 Certificate
More informationBMO FIXED INCOME INSURANCE CONFERENCE. June 15, 2017 Marlene Van den Hoogen Treasurer and Head of Capital Planning
BMO FIXED INCOME INSURANCE CONFERENCE June 15, 2017 Marlene Van den Hoogen Treasurer and Head of Capital Planning Forward-Looking Statements From time to time, the Company makes written or oral forward-looking
More informationApril 2014 Summary of technical specifications for QIS 1. Singapore RBC 2 Review
April 2014 Summary of technical specifications for QIS 1 Singapore RBC 2 Review 1 Introduction The Monetary Authority of Singapore (MAS) recently issued a second consultation paper on the review of the
More information2015 Embedded Value Report for Manulife s Insurance and Other Wealth Business (Excludes our Wealth and Asset Management, Bank and Property and
2015 Embedded Value Report for Manulife s Insurance and Other Wealth Business (Excludes our Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses) Background: Embedded Value
More informationManulife Financial Corporation Management s Discussion & Analysis. For the year ended December 31, 2016
Manulife Financial Corporation Management s Discussion & Analysis For the year ended December 31, 2016 Caution Regarding Forward-Looking Statements From time to time, Manulife Financial Corporation ( MFC
More informationGeneral terms. Bonds and savings These are accumulation products with single or regular premiums and unit-linked or guaranteed investment returns.
348 Glossary Product definitions Annuity A type of policy that pays out regular amounts, either immediately and for the remainder of a person s lifetime, or deferred to commence from a future date. Immediate
More informationCigna Corporation (Exact name of registrant as specified in its charter)
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended
More informationMANAGEMENT S DISCUSSION AND ANALYSIS
T h e G r e a t - W e s t L i f e A s s u r a n c e C o m p a n y M a n a g e m e n t s D i s c u s s i o n a n d A n a l y s i s 2010 Table of Contents 2 Consolidated Operating Results 8 Consolidated
More informationChallenges in Refinancing P3 Debt in Canada:
November 0 Hugh Sutcliffe Director JCRA Canada Jean-Francis Strayer Director Operis North America Challenges in Refinancing P Debt in Canada: Swap Termination The international investment community has
More informationBOND RISK DISCLOSURE NOTICE
85 Fleet Street, 4th Floor, London EC4Y 1AE, United Kingdom Phone +44 0 207 583 3257 Fax +44 0 207 822 0779 BOND RISK DISCLOSURE NOTICE This Notice is intended solely to inform you about the risks associated
More informationSun Life Financial (Bermuda) Reinsurance Ltd.
Sun Life Financial (Bermuda) Reinsurance Ltd. Independent Auditors Report, Condensed General Purpose Financial Statements as of December 31, 2016 and for the Period from February 1, 2016 (Commencement
More informationDelivering Optimised Insurance Investment Strategies
Delivering Optimised Insurance Investment Strategies Scott Robertson FFA, Phoenix Group Craig Turnbull FIA, Standard Life Investments 7 th June 2017 Background: Global long-term interest rates 09 June
More informationHARTFORD LIFE INSURANCE COMPANY
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly
More informationVoya Financial. Second Quarter 2017 Investor Presentation. August 2, 2017
Voya Financial Second Quarter 2017 Investor Presentation August 2, 2017 Forward-Looking and Other Cautionary Statements This presentation and the remarks made orally contain forward-looking statements.
More informationLongevity Risk Hedging and the Stability of Retirement Systems
Longevity Risk Hedging and the Stability of Retirement Systems The Chilean Longevity Bond Case Longevity 7 Conference Frankfurt, September 8, 2011 Agenda A Longevity Bond for Chilean Life Insurers Lessons
More informationIncreasing retention limit of Life Insurance companies and impact on Risks and Capital Management
Increasing retention limit of Life Insurance companies and impact on Risks and Capital Management Presenters: Ajai Tripathi Ankur Goel Sachin Garg Shamit Gupta Guide: Vivek Jalan Date: December 4, 2013
More informationBond Basics January 2008
Bond Basics: What Are Interest Rate Swaps and How Do They Work? Interest-rate swaps have become an integral part of the fixed-income market. These derivative contracts, which typically exchange or swap
More informationBMO Fixed Income Conference
BMO Fixed Income Conference Marlene Van den Hoogen Treasurer and Head of Capital Planning June 14, 2018 KEY MESSAGES 1 2 3 4 Four at-scale, competitive pillars with strong growth prospects Culture change
More informationWe believe that the audit evidence that we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
2012 Annual Report Auditors Report To the shareholder of Manufacturers P&C Limited We have audited the accompanying statement of financial position of Manufacturers P&C Limited as at 31 December 2012 and
More informationVoya Financial First Quarter 2014 Investor Presentation. May 7, 2014
Voya Financial First Quarter 2014 Investor Presentation May 7, 2014 Forward-Looking and Other Cautionary Statements This presentation and the remarks made orally contain forward-looking statements. Forward-looking
More information(a wholly-owned subsidiary of The Goldman Sachs Group, Inc.) CONSOLIDATED FINANCIAL STATEMENTS DECEMBER 31, 2012
CONSOLIDATED FINANCIAL STATEMENTS DECEMBER 31, 2012 Table of Contents December 31, 2012 Page Report of Independent Auditors Financial Statements Consolidated Balance Sheets... 1 Consolidated Statements
More informationSCOTTISH RE GROUP LIMITED FINANCIAL STATEMENTS AS AT JUNE 30, 2010
FINANCIAL STATEMENTS AS AT JUNE 30, 2010 (Issued on August 20, 2010) (These financial statements are unaudited.) Table of Contents Summary of Results... 2 Financial Statements... 3 Consolidated Balance
More informationPresident s Choice Bank
Basel III Pillar 3 Disclosures President s Choice Bank Page 1 of 16 President s Choice Bank BASEL III PILLAR 3 DISCLOSURES March 31, 2017 Basel III Pillar 3 Disclosures President s Choice Bank Page 2 of
More informationVA Guarantee Reinsurance Market Status. Ari Lindner
Equity-Based Insurance Guarantees Conference Nov. 5-6, 2018 Chicago, IL VA Guarantee Reinsurance Market Status Ari Lindner SOA Antitrust Compliance Guidelines SOA Presentation Disclaimer Sponsored by Image:
More informationFinancialfacts Life participating life insurance PERFORMANCE STRENGTH ACCOUNTABILITY
2016 Great-West Financialfacts Life participating life insurance PERFORMANCE STRENGTH ACCOUNTABILITY This guide provides key financial facts about the performance, strength and management of the Great-West
More informationPresident s Choice Bank
Basel III Pillar 3 Disclosures President s Choice Bank Page 1 of 16 President s Choice Bank BASEL III PILLAR 3 DISCLOSURES September 30, 2017 Basel III Pillar 3 Disclosures President s Choice Bank Page
More informationRetirement Market Challenges & Opportunities. Tiffany Norman, FSA, CERA, MAAA Assistant Vice President, Actuary
Retirement Market Challenges & Opportunities Tiffany Norman, FSA, CERA, MAAA Assistant Vice President, Actuary Southeastern Actuaries Conference Jekyll Island, Georgia, June 2017 Topics of Discussion Market
More informationSEPARATE ACCOUNTS LR006
SEPARATE ACCOUNTS LR006 Basis of Factors Separate Accounts With Guarantees Guaranteed separate accounts are divided into two categories: indexed and non-indexed. Guaranteed indexed separate accounts may
More informationStatistical Information Package Q3 2016
Statistical Information Package Q3 2016 TABLE OF CONTENTS Page Page Financial Reporting Structure 1 Asset Information Notes to Readers 2 Asset Composition and Quality Financial Highlights 3 Portfolio Composition
More informationNote 8: Derivative Instruments
Note 8: Derivative Instruments Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices
More informationConsolidated Statements of Earnings
Consolidated Statements of Earnings Year Ended December in millions, except per share amounts 2012 2011 2010 Revenues Investment banking $ 4,941 $ 4,361 $ 4,810 Investment management 4,968 4,691 4,669
More informationEconomic Value Management 2014 Annual Report
Economic Value Management 2014 Annual Report Key Information Financial highlights For the year ended 31 December USD millions, unless otherwise stated 2013 2014 Change in % Group EVM profit 4 007 1 336
More informationACTUARIAL GUIDANCE NOTE AGN 7 DYNAMIC SOLVENCY TESTING
ACTUARIAL GUIDANCE NOTE AGN 7 DYNAMIC SOLVENCY TESTING Introduction.....2 Part I Requirements. 2 1. Scope..2 2. Investigation...2 3. Method...3 3.1 Current Financial Position....3 3.2 Dynamic Solvency
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2016 Condensed Interim Consolidated Balance Sheet December 31, 2016 December 31, 2016 March 31,
More informationA BILL. entitled. INSURANCE AMENDMENT (No. 3) ACT 2015
9/16/2015 A BILL entitled INSURANCE AMENDMENT (No. 3) ACT 2015 1 Citation 2 Amends section 1 3 Amends section 4F 4 Amends section 6A 5 Amends section 14 6 Amends section 16A 7 Inserts section 16AA 8 Amends
More informationRisk Management. Patrick Raaflaub, Group Chief Risk Officer
Risk Management Patrick Raaflaub, Group Chief Risk Officer Optimise risk/return portfolio Control risk exposures Knowledge Group risk appetite and risk tolerance ensure controlled risktaking at Swiss Re
More informationGroup Finance Director s Review
20 Group Finance Director s Review Andy Parsons Group Finance Director Overview In my first year as group finance director I am pleased to report strong growth in operating profit and a significant strengthening
More informationA UDITED C ONSOLIDATED F INANCIAL S TATEMENTS
A UDITED C ONSOLIDATED F INANCIAL S TATEMENTS Wilton Re Holdings Limited and Subsidiaries Years Ended December 31, 2010, 2009, and 2008 With Report of Independent Auditors Ernst & Young LLP Audited Consolidated
More informationGrowing capital generation
Growing capital generation Rutger Zomer December 1, 2017 CFO Aegon the Netherlands Helping people achieve a lifetime of financial security 1 Summary Strong execution Shift to fee and protection businesses
More informationSharing Longevity Risk: Why governments should issue Longevity Bonds
Sharing Longevity Risk: Why governments should issue Longevity Bonds Professor David Blake Director, Pensions Institute, Cass Business School D.Blake@city.ac.uk www.pensions-institute.org (Joint work with
More informationInvestment Guarantee Product Risk Management
Investment Guarantee Product Risk Management John Nicholls All rights reserved. A licence to publish is granted to the Institute of Actuaries of Australia. Contents 1. Investment Guarantee Products 2.
More informationLongevity and Mortality risk transfer in the capital markets through the LifeMetrics platform
1 Longevity and Mortality risk transfer in the capital markets through the LifeMetrics platform Chris Watts christopher.s.watts@jpmorgan.com 7 September 2009 2 Capital markets solutions for longevity and
More informationCapital allocation at the core of our strategy David Cole Group Chief Financial Officer
Capital allocation at the core of our strategy David Cole Group Chief Financial Officer Swiss Re s capital allocation aims to deliver sustainable shareholder value P&CReinsuranceL&H Swiss Re Ltd USD 8.0bn
More informationProtecting Canadians' Long Term Disability Benefits. CLHIA Policy Paper
Protecting Canadians' Long Term Disability Benefits CLHIA Policy Paper September 2010 Introduction: Ensuring that all Canadian employees covered by long term disability 1 (LTD) plans continue to receive
More informationSession 021 TS - U.S. Statutory Update: Annuities. Moderator: Simpa A. Baiye, FSA MAAA
Session 021 TS - U.S. Statutory Update: Annuities Moderator: Simpa A. Baiye, FSA MAAA Presenters: Cindy D. Barnard, FSA, MAAA Richard W. Harris, FSA, FCIA, MAAA SOA Antitrust Compliance Guidelines SOA
More informationVoya Financial. Third Quarter 2017 Investor Presentation. November 1, 2017
Voya Financial Third Quarter 2017 Investor Presentation November 1, 2017 Forward-Looking and Other Cautionary Statements This presentation and the remarks made orally contain forward-looking statements.
More information2017 Annual Report. Supplementary Retirement Plan for Public Service Managers. Year ending December 31, 2017
2017 Annual Report Year ending December 31, 2017 2017 Annual Report 1 Table of Contents 1.0 Plan Profile... 4 1.1 Plan Administration... 4 1.2 Investment Management... 5 1.3 Financial Highlights... 5
More informationReinsurance of longevity : risk transfer and capital management solutions. Daria Ossipova Kachakhidze Centre R&D Longevity-Mortality
Reinsurance of longevity : risk transfer and capital management solutions Daria Ossipova Kachakhidze Centre R&D Longevity-Mortality Beijing, September 6, 2013 Plan 1 Longevity risk. Where reinsurance can
More informationPart III: Swaps. Futures, Swaps & Other Derivatives. Swaps. Previous lecture set: This lecture set -- Parts II & III. Fundamentals
Futures, Swaps & Other Derivatives Previous lecture set: Interest-Rate Derivatives FRAs T-bills futures & Euro$ Futures This lecture set -- Parts II & III Swaps Part III: Swaps Swaps Fundamentals what,
More informationGuideline. Capital Adequacy Requirements (CAR) Definition of Capital. Effective Date: November 2016 / January
Guideline Subject: Capital Adequacy Requirements (CAR) Chapter 2 Effective Date: November 2016 / January 2017 1 The Capital Adequacy Requirements (CAR) for banks (including federal credit unions), bank
More informationSwiss Re's performance. Gerhard Lohmann, CFO Reinsurance KBW European Financials Conference, 16 September 2015
Swiss Re's performance Gerhard Lohmann, CFO Reinsurance KBW European Financials Conference, 16 September 2015 Today's agenda Introduction to Swiss Re P&C Reinsurance price adequacy L&H Reinsurance performance
More informationNote 29: Fair Value of Financial Instruments
Note 29: Fair Value of Financial Instruments We record trading assets and liabilities, derivatives, available-for-sale securities and securities sold but not yet purchased at fair, and other non-trading
More informationThe Hartford Financial Services Group
May 23, 2006 Investor Day The Hartford Financial Services Group Enterprise Risk Management David Johnson Executive Vice President Chief Financial Officer The Hartford Financial Services Group, Inc. Safe
More informationAdditional Notes. 35 Common Shares. Common Shares. Authorized Capital
Deutsche Bank 2 Consolidated Financial Statements 382 Annual Report 206 Additional Notes 35 Common Shares Common Shares Deutsche Bank s share capital consists of common shares issued in registered form
More informationOVERVIEW OF CANADIAN REINSURANCE REGULATION
OVERVIEW OF CANADIAN REINSURANCE REGULATION Laurie LaPalme, Partner, Corporate and Regulatory Insurance Group, Cassels Brock & Blackwell LLP FEBRUARY 27, 2015 Reinsurance Regulations in Canada slide 2
More informationSCOTTISH RE GROUP LIMITED CONSOLIDATED FINANCIAL STATEMENTS SEPTEMBER 30, 2010
CONSOLIDATED FINANCIAL STATEMENTS SEPTEMBER 30, 2010 (Issued on November 19, 2010) (These financial statements are unaudited.) Table of Contents Summary of Results... 2 Consolidated Balance Sheets (unaudited)
More informationChallenger Life Company Limited Comparability of capital requirements across different regulatory regimes
Challenger Life Company Limited Comparability of capital requirements across different regulatory regimes 26 August 2014 Challenger Life Company Limited Level 15 255 Pitt Street Sydney NSW 2000 26 August
More informationCanada Post Corporation Registered Pension Plan Financial Statements
Canada Post Corporation Registered Pension Plan 2015 Financial Statements Table of Contents Management s Responsibility for Financial Reporting... 1 Actuaries Opinion... 2 Independent Auditors Report...
More informationICS Consultation Document - Responses to Comments on Asset Concentration & Credit Risks (Sections )
Public ICS Consultation Document - Responses to Comments on Asset Concentration & Credit Risks (Sections 9.2.4-5) 9 March 2016 1 About this slide deck 1. This is the next tranche of resolutions of ICS
More informationCORE CAPABILITIES LIABILITY DRIVEN INVESTMENT
FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. CORE CAPABILITIES LIABILITY DRIVEN INVESTMENT LIABILITY
More informationCoastal Community Credit Union
Consolidated Financial Statements of Coastal Community Credit Union Management s Responsibility for Financial Reporting The consolidated financial statements in this report have been prepared by the management
More informationDisclosure of Market Consistent Embedded Value as at March 31, 2018
May 18, 2018 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. Disclosure of Market Consistent Embedded Value as at March 31, 2018 Sompo Japan Nipponkoa Himawari Life Insurance, Inc. ( Himawari Life,
More informationPRUDENTIAL FINANCIAL, INC.
PRUDENTIAL FINANCIAL, INC. 2019 FINANCIAL OUTLOOK CONFERENCE CALL PRESENTATION DECEMBER 6, 2018 UNLOCKING GROWTH BY BRINGING FINANCIAL OPPORTUNITY TO MORE CUSTOMERS Differentiated Business Mix Leading
More information(See Annex A for definitions of certain terms used in this Management s Discussion and Analysis)
MANAGEMENT S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS OF THE PRUDENTIAL INSURANCE COMPANY OF AMERICA AS OF AND FOR THE THREE MONTHS ENDED MARCH 31, 2006 (See Annex A for
More informationActuaries Club of the Southwest
Actuaries Club of the Southwest Securitization of Life Insurance Jonathan Hecht, FSA, MAAA June 17, 2004 Agenda Overview of Life Insurance Securitization Securitization Examples Actuaries Role 1 Agenda
More informationReg 114 Trusts: How They Work, Who Can Benefit, and Why They re Not All Alike
Captive COMMENTARY Reg 114 Trusts: How They Work, Who Can Benefit, and Why They re Not All Alike Doug Lavelle Senior Vice President, Wilmington Trust FSB Tom Mackay Senior Vice President, Wilmington Trust
More informationPractical challenges of managing operational risk in Annuities
Life conference and exhibition 2010 Phill Beach, Nick Deakin and Ben Johnson Practical challenges of managing g operational risk in Annuities 8 November 2010 Introduction Who are we? Why are we presenting?
More information1. INTRODUCTION AND PURPOSE
Solvency Assessment and Management: Pillar 1 - Sub Committee Technical Provisions Task Group Discussion Document 87 (v 6) Future Management Actions in Technical Provisions EXECUTIVE SUMMARY 1. INTRODUCTION
More informationAccessing diversification under Solvency II: is reinsurance the answer?
Accessing diversification under Solvency II: is reinsurance the answer? Nora Brauch David Burton 05 October 2016 Overview Economic and regulatory backdrop 05 October 2016 1 The backdrop Increasing challenge
More informationNeed for Treasury Market. No return from holding excess reserves for a bank. Treasury investments yield returns for the holding period.
Treasury Markets Need for Treasury Market No return from holding excess reserves for a bank. Treasury investments yield returns for the holding period. Treasury investments provide maximum safety as they
More informationIntroduction to Financial Reinsurance. Dieter Kroll Associate Director Hannover Life Re International
Introduction to Financial Reinsurance Dieter Kroll Associate Director Hannover Life Re International 12 th Global Conference of Actuaries Mumbai, 18 th 19 th of February 2010 DISCLAIMER The information
More informationCigna Corporation (Exact name of registrant as specified in its charter)
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended
More informationReport on the Public Service Pension Plan. for the Fiscal Year Ended March 31, nnual report
A N N UA L R E P O R T T O PA R L I A M E N T Report on the Public Service Pension Plan for the Fiscal Year Ended March 31, 2009 nnual report Report on the Public Service Pension Plan for the Fiscal Year
More informationOverview: Background:
2017 Embedded Value Report for Manulife s Insurance 1 Businesses (Excludes the value of in-force business for Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses) Dated April
More informationIn this issue: Fair value measurement of financial assets and financial liabilities. Welcome to the series
IFRS FOR INVESTMENT FUNDS September 2012, Issue 5 Welcome to the series Our series of IFRS for Investment Funds publications addresses practical application issues that investment funds may encounter when
More informationFinancial stability, systemic risk & macroprudential supervision: an actuarial perspective
Financial stability, systemic risk & macroprudential supervision: an actuarial perspective Tony Coleman International Actuarial Association Presentation to International Association of Insurance Supervisors
More information