Emerging Trends in Quantitative ERM
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1 Annual 2016 URS User Group Forum Emerging Trends in Quantitative ERM ZZ NAIC ORSA Update Elisabetta Russo, ERM Advisor, FIA, MAAA cell:
2 2 Content Current status of NAIC ORSA initiatives and first year s reviews by the state Departments Of Insurance (DOI) Latest NAIC observations for each of the 3 sections of the ORSA based on actual reviews Emerging trends in quantitative ERM based on ORSA reviews
3 3 Current State ORSA Adoption April adoptions: FL, CO, AZ Now: 38 states
4 4 Status Update on ORSA reviews ORSA Model Law to become an accreditation requirement on 1/1/18 Overall number of reports expected (after all state adoptions): 200 at group level plus 100 at single legal entity level (from groups below the ORSA threshold) Number of ORSA reports reviewed by NAIC in last 18 months: approx. 70 Bulk of 2015 reports were filed with state DOI in Q4: approx. 200 State DOIs are reviewing, documenting internally and providing feedback to companies ORSA Subgroup under Group Solvency Issue (E) WG set up on Feb 10 th, 2016 NAIC ORSA training program for DOIs started in 2015 continues in 2016 and 2017
5 5 Executive Summary/ Section I Executive Summary Risk Culture and Governance Risk Identification and Prioritization Risk Appetite, Tolerance and Limits Risk Management and Controls Risk Reporting and Communication
6 6 Executive Summary/ Section I Executive Summary Risk Appetite, Tolerance and Limits Risk Culture and Governance Risk Management and Controls Risk Identification and Prioritization *No Business Strategy with description of the main business goals * No ORSA initiatives for next months Risk Reporting and Communication
7 7 Executive Summary/ Section I Executive Summary Risk Culture and Governance Risk Identification and Prioritization Risk Appetite, Tolerance and Limits Risk Management and Controls Risk Reporting and Communication *No information on compensation for key risk stakeholders *No risk owners
8 8 Executive Summary/ Section I Executive Summary Risk Culture and Governance Risk Identification and Prioritization Risk Appetite, Tolerance and Limits Risk Management and Controls *Limited information on PROCESS for identification of key risks Risk Reporting and Communication
9 9 Executive Summary/ Section I Executive Summary Risk Culture and Governance Risk Identification and Prioritization Risk Appetite, Tolerance and Limits Risk Management and Controls * No articulation of individual limits and tolerances for key risks Risk Reporting and Communication * No risk appetite at enterprise level
10 10 Executive Summary/ Section I Executive Summary * Limited description of Risk Culture and Governance non-financial controls around key risks Risk Identification and Prioritization Risk Appetite, Tolerance and Limits Risk Management and Controls Risk Reporting and Communication
11 11 Executive Summary/ Section I Executive Summary Risk Culture and Governance Risk Identification and Prioritization Risk Appetite, Tolerance and Limits * No KRIs to track risk strategy Risk Management and Controls Risk Reporting and Communication
12 12 Section 2 Risk Exposure Quantitative and Qualitative Assessment Normal (Expected) Environment *Not all key risks are assessed (so, how big is the risk?) Each Material Risk Category *Explanation of why some key risks are not assessed: lack of data or methodology? Stressed Environment *Robust justification for the selection of stresses
13 13 Section 3 Risk Universe Risk Universe Key Risks (R1-R4) Prospective Risk Assessment Key Risks (R1-R4) Time (0) Duration of business plan Time (T) Required Risk Capital Available Capital Required Risk Capital Available Capital Diversification Risk 3 Risk 4 Available Capital Prospective Solvency Assessment Diversification Risk 3 Risk 4 Available Capital
14 14 Section 3 Risk Universe Key Risks (R1-R4) Risk Universe *No justification for risk capital metric Prospective Key Risks Risk *Not all Key Risks (R1-R4) Assessment are quantified Time (0) Required Risk Capital Available Capital Duration of business * No plan explanation of large diversification benefit Required Risk Capital Time (T) Available Capital Diversification Risk 3 Risk 4 Available Capital Prospective Solvency Assessment *No prospective assessment Diversification Risk 3 *No justification for Risk 4 selection of stresses Available Capital * No validations of numbers
15 Emerging trends in quantitative 15 ERM based on ORSA reviews Main areas: Individual risk exposures against limits and overall appetite Risk capital modeling Stress testing frameworks Key risk indicators Main drivers: Tone at the top that dictates maturity and priorities of ERM Ability of in-house ERM function to be a business partner Main limitations: Availability and quality of data Knowledge of methodologies
16 Annual 2016 URS User Group Forum For follow-up ZZ questions Elisabetta Russo, ERM Advisor, FIA, MAAA cell:
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