ERM Tools & Techniques 2007 ERM Symposium ERM Essentials Workshop Francis P. Sabatini
|
|
- Cora Bryant
- 6 years ago
- Views:
Transcription
1 Insurance & Actuarial Advisory Services ERM Symposium Chicago, IL March 28-30, 2007 ERM Tools & Techniques 2007 ERM Symposium ERM Essentials Workshop 0 0 Francis P. Sabatini
2 What are we trying to measure? Risk o Across the enterprise, products and businesses o Across all risk types o Caveats Recognition that legal entity risk measurement is important 1 1
3 What risks? o Interest rate o Equity o Credit o Catastrophe o Mortality o Morbidity o Underwriting o Operational o.. 2 2
4 What do we need to capture? (Reasonably) accurate assessment of the enterprise s risk exposure (distribution) o Inherent risk o Correlation across risks and businesses Tail Main distribution 3 3
5 In an ideal world we d have. A simulation model that reflects: o Our business including its unique characteristics o All of the inherent risks as manifested in asset and product liability outcomes o The capital markets o All of our business related risks (i.e. operational risks) o Outcomes across a universe of possible scenarios o The inherent correlation of risks in good times and in bad 4 4
6 Aggregation/Diversification Getting it right is an important consideration in addressing the tools and techniques agenda The mega-model although ideal is impractical o Too complex o Technology and hardware limitations o Impractical control environment o Etc. 5 5
7 In the absence of the mega-model how do we get there? This is the MOST IMPORTANT question that needs to be answered!!!!!!! Implications of not thinking it through. o Having to re-engineer the entire process o Credibility of results internally & externally o Complex and inefficient processes o Complex and ineffective control environment o Difficult model validation process 6 6
8 In the absence of the mega-model how do we get there? Design the end-state goals before building the tools and techniques to support the risk measurement process o What are the various uses and what are the requirements of each? Risk measurement & management Economic capital Capital management Valuation Strategic decision making Performance measurement 7 7
9 In the absence of the mega-model how do we get there? Recognize that there should be a balance between model framework complexity and: o Assumption uncertainty o Risk measurement methodology uncertainty o Correlation 8 8
10 Addressing aggregation/diversification Three common approaches: o Common scenarios o Correlation matrices o Copulas 9 9
11 Diversification through common scenarios (why correlation & copulas have limited appeal) Primary Attributes o Permits scenario specific correlation across products and risks o Inherently adjusts for shifts in risk relationship o Permits adjustment for cash flow effects o Allows for calibration of correlations to different parts of the distribution 10 10
12 What techniques? Integrated scenarios & product models o Interest rate, equity, credit, mortality/morbidity o Additive scenarios across products o Scenario generation process can adjust risk correlation dynamics o Cash flow effects captured o Ops risk integration? 11 11
13 What techniques? Other approaches o Representative model points o Replicating portfolios both assets & liabilities o Approximation techniques o Scenario selection 12 12
14 Building the infrastructure In designing the tools and techniques we should recognize that: o Complex models are difficult to build, maintain and validate o Therefore design the process so that it: Anticipates the techniques that are going to be used Allows for efficiency in building and maintaining the models Supports a robust control environment Meets timing requirements Leverages technology 13 13
15 Actuarial Transformation TM Technology Supported Actuarial Environment Data Integration and Improvement High Performance Computing Advanced Decision Support Admin Systems Input Management Modeling Engines Mgmt Reports Accounting Systems Actuarial Data Repository Actuarial Analysis Repository Accounting Analytics Assumptions Assumption Management Valuation Engines Bus. Intell. for Modelers Validation Automated and Controlled Environment 14 14
16 Tools & Techniques Implementing the right framework requires: o Understanding o Ingenuity o Revolution o Credibility 15 15
17 16 16 Questions?
Economic Capital Modeling
Economic Capital Modeling Proxy Model Implementation Experience Clint Thompson Chief Risk Officer, Hannover Life Reassurance Co. of America ERM Symposium June 2015 Agenda 1. Risk appetite and linkage to
More informationEnterprise Risk Management (ERM)
Southeastern Actuaries Conference Enterprise Risk Management (ERM) November 16, 2007 ING. Your future. Made easier. Agenda ERM Are you doing it? Definition of ERM What is it? Industry Overview What is
More informationEconomic Capital: Recent Market Trends and Best Practices for Implementation
1 Economic Capital: Recent Market Trends and Best Practices for Implementation 7-11 September 2009 Hubert Mueller 2 Overview Recent Market Trends Implementation Issues Economic Capital (EC) Aggregation
More informationECONOMIC CAPITAL MODELING CARe Seminar JUNE 2016
ECONOMIC CAPITAL MODELING CARe Seminar JUNE 2016 Boston Catherine Eska The Hanover Insurance Group Paul Silberbush Guy Carpenter & Co. Ronald Wilkins - PartnerRe Economic Capital Modeling Safe Harbor Notice
More informationSolvency 2. Denis Duverne. FPK Conference Dec 6, CFO, Member of the Management Board
Solvency 2 FPK Conference Dec 6, 2006 Denis Duverne CFO, Member of the Management Board Cautionary statements concerning forward-looking statements The information presented here is not an offer for sale
More informationRISK BASED CAPITAL AND SOLVENCY
RISK BASED CAPITAL AND SOLVENCY 1 1 N O V E M B E R 2 0 1 5 N E I L TAV E R N E R, S E N I O R A C T U A R Y AIMS OF RISK BASED CAPITAL AND SOLVENCY WORKSTREAM Establish a high level of observance of IAIS
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 informationStatement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR )
MAY 2016 Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR ) 1 Table of Contents 1 STATEMENT OF OBJECTIVES...
More informationThe Role of ERM in Reinsurance Decisions
The Role of ERM in Reinsurance Decisions Abbe S. Bensimon, FCAS, MAAA ERM Symposium Chicago, March 29, 2007 1 Agenda A Different Framework for Reinsurance Decision-Making An ERM Approach for Reinsurance
More informationEconomic Capital in a Canadian Context
Economic Capital in a Canadian Context ERM Seminar May 2005 Topics 1. Rationale for Economic Capital 2. Canadian Regulatory Context 3. Economic Capital Principles 4. Economic Capital Issues 5. Economic
More informationof Complex Systems to ERM and Actuarial Work
Developments in the Application of Complex Systems to ERM and Actuarial Work Joshua Corrigan, Milliman Milliman Agenda Overview of Complex Systems Sciences Strategic Risk Application and Example Operational
More informationSolvency II. Building an internal model in the Solvency II context. Montreal September 2010
Solvency II Building an internal model in the Solvency II context Montreal September 2010 Agenda 1 Putting figures on insurance risks (Pillar I) 2 Embedding the internal model into Solvency II framework
More informationReinsurance Optimization The Theoretical and Practical Aspects Subhash Chandra Aon Benfield
1 st Capacity Building Seminar Reinsurance Optimization The Theoretical and Practical Aspects Subhash Chandra Aon Benfield Indian Actuarial Profession Serving the Cause of Public Interest 9 th August 2014
More informationSEAC/ACSW Annual Meeting
www.pwc.com SEAC/ACSW Annual Meeting Model Validation November 2016 What is a Model? Model types and examples According to the FED/OCC Guidance on Model Risk Management, a financial model is, a quantitative
More informationGuidance paper on the use of internal models for risk and capital management purposes by insurers
Guidance paper on the use of internal models for risk and capital management purposes by insurers October 1, 2008 Stuart Wason Chair, IAA Solvency Sub-Committee Agenda Introduction Global need for guidance
More informationInternal Model Industry Forum (IMIF) Workstream G: Dependencies and Diversification. 2 February Jonathan Bilbul Russell Ward
Internal Model Industry Forum (IMIF) Workstream G: Dependencies and Diversification Jonathan Bilbul Russell Ward 2 February 2015 020211 Background Within all of our companies internal models, diversification
More informationSession 2. Leveraging Predictive Analytics for ERM
SOA Predictive Analytics Seminar Hong Kong 29 Aug. 2018 Hong Kong Session 2 Leveraging Predictive Analytics for ERM Janice Wang, ASA, CERA David Wang, FSA, FIA, MAAA Leveraging Predictive Analytics in
More informationPractical Actuaries and Financial reporting system: Thailand. Joint Regional Seminar Bangkok. July by Soon Chooi Ong FSA, FIAA
Practical Actuaries and Financial reporting system: Thailand by Soon Chooi Ong FSA, FIAA Joint Regional Seminar Bangkok July 2009 Contents 1 Thailand Current Financial Reporting System for Insurance 2
More informationThe Real World: Dealing With Parameter Risk. Alice Underwood Senior Vice President, Willis Re March 29, 2007
The Real World: Dealing With Parameter Risk Alice Underwood Senior Vice President, Willis Re March 29, 2007 Agenda 1. What is Parameter Risk? 2. Practical Observations 3. Quantifying Parameter Risk 4.
More informationEconomic Capital. Implementing an Internal Model for. Economic Capital ACTUARIAL SERVICES
Economic Capital Implementing an Internal Model for Economic Capital ACTUARIAL SERVICES ABOUT THIS DOCUMENT THIS IS A WHITE PAPER This document belongs to the white paper series authored by Numerica. It
More informationPractical methods of modelling operational risk
Practical methods of modelling operational risk Andries Groenewald The final frontier for actuaries? Agenda 1. Why model operational risk? 2. Data. 3. Methods available for modelling operational risk.
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 January 2008 Table of Contents Executive Summary...3 Introduction...6
More informationEmbedded Value for Insurance Company
Actuarial Services Group Insurance and Actuarial Advisory Services Embedded Value for Insurance Company Jonathan Zhao, FSA, FCIA, FCA, MAAA October 17, 2005 1 Agenda General overview of embedded value
More informationInternal models - Life
Internal models - Life An overview what is done in reality Tigran Kalberer Agenda What is an internal model? What architectures do we observe in reality, their challenges and solutions Should you use an
More informationLIFE INSURANCE & WEALTH MANAGEMENT PRACTICE COMMITTEE
Contents 1. Purpose 2. Background 3. Nature of Asymmetric Risks 4. Existing Guidance & Legislation 5. Valuation Methodologies 6. Best Estimate Valuations 7. Capital & Tail Distribution Valuations 8. Management
More informationOwn Risk and Solvency Assessment
Own Risk and Solvency Assessment Acumen Conference 2015 Elaine Hultzer, Insurance Audit & Advisory Partner, Deloitte Sati MacLean, Senior P&C Actuarial Manager, Deloitte June 10 th, 2015 Agenda Introduction
More informationLongevity Underwriting
Longevity Underwriting November 11, 2014 Presented to ACHS Meeting Steven Rancourt FSA, MAAA 2014 Prudential Financial, Inc. and its related entities. Prudential, the Prudential logo, the Rock symbol and
More informationSession 70 PD, Model Efficiency - Part II. Moderator: Anthony Dardis, FSA, CERA, FIA, MAAA
Session 70 PD, Model Efficiency - Part II Moderator: Anthony Dardis, FSA, CERA, FIA, MAAA Presenters: Anthony Dardis, FSA, CERA, FIA, MAAA Ronald J. Harasym, FSA, CERA, FCIA, MAAA Andrew Ching Ng, FSA,
More informationBERMUDA MONETARY AUTHORITY DISCUSSION PAPER ON THE OWN RISK AND SOLVENCY ASSESSMENT PROCESS
DISCUSSION PAPER ON THE OWN RISK AND SOLVENCY ASSESSMENT PROCESS Table of Contents FOREWORD... 2 0. PURPOSE AND EXECUTIVE SUMMARY... 3 1. INTRODUCTION... 5 Bermuda Regulatory Developments... 5 Relationship
More informationORSA: Prospective Solvency Assessment and Capital Projection Modelling
FEBRUARY 2013 ENTERPRISE RISK SOLUTIONS B&H RESEARCH ESG FEBRUARY 2013 DOCUMENTATION PACK Craig Turnbull FIA Andy Frepp FFA Moody's Analytics Research Contact Us Americas +1.212.553.1658 clientservices@moodys.com
More informationAdvancements in Implementing Operational Risk, Stress Testing and Risk Appetite for ORSA Institute of Actuaries of Japan
Advancements in Implementing Operational Risk, Stress Testing and Risk Appetite for ORSA Institute of Actuaries of Japan Joshua Corrigan Principal, Milliman 5 March 2014 Contents 1. The Evolution of ERM
More informationSubject ST9 Enterprise Risk Management Syllabus
Subject ST9 Enterprise Risk Management Syllabus for the 2018 exams 1 June 2017 Aim The aim of the Enterprise Risk Management (ERM) Specialist Technical subject is to instil in successful candidates the
More informationOWN RISK AND SOLVENCY ASSESSMENT. ERM Seminar Compliance All Dealing from the same deck now
OWN RISK AND SOLVENCY ASSESSMENT ERM Seminar - 2014 Compliance All Dealing from the same deck now Own and Solvency Assessment! Originated in the UK about 10 years ago Now a global insurance regulatory
More informationEconomic Capital Based on Stress Testing
Economic Capital Based on Stress Testing ERM Symposium 2007 Ian Farr March 30, 2007 Contents Economic Capital by Stress Testing Overview of the process The UK Individual Capital Assessment (ICA) Experience
More informationHow to review an ORSA
How to review an ORSA Patrick Kelliher FIA CERA, Actuarial and Risk Consulting Network Ltd. Done properly, the Own Risk and Solvency Assessment (ORSA) can be a key tool for insurers to understand the evolution
More informationAn Introduction to Solvency II
An Introduction to Solvency II Peter Withey KPMG Agenda 1. Background to Solvency II 2. Pillar 1: Quantitative Pillar Basic building blocks Assets Technical Reserves Solvency Capital Requirement Internal
More informationRED 2.1 & 4.2: Quantifying Risk Exposure for ORSA. Moderator: Presenters: Lesley R. Bosniack, CERA, FCAS, MAAA
RED 2.1 & 4.2: Quantifying Risk Exposure for ORSA Moderator: Lesley R. Bosniack, CERA, FCAS, MAAA Presenters: Lesley R. Bosniack, CERA, FCAS, MAAA William Robert Wilkins, ASA, CERA, FCAS, MAAA SOA Antitrust
More informationDynamic Solvency Test
Dynamic Solvency Test Joint regional seminar in Asia, 2005 Asset Liability Management Evolution of DST International financial reporting changed to a GAAP basis Actuarial reserves were no longer good and
More informationSession 3B: Stress Testing from Macro-environment, to Scenario to Impacts and Decision. Moderator: Dariush A. Akhtari, FSA, MAAA, FCIA
Session 3B: Stress Testing from Macro-environment, to Scenario to Impacts and Decision Moderator: Dariush A. Akhtari, FSA, MAAA, FCIA Presenters: Ricky Power David Wicklund, FSA SOA Antitrust Disclaimer
More informationUNIVERSITY OF CALIFORNIA RETIREMENT PLAN ASSET AND RISK ALLOCATION POLICY
UNIVERSITY OF CALIFORNIA RETIREMENT PLAN ASSET AND RISK ALLOCATION POLICY Approved March 15, 2018 POLICY SUMMARY/BACKGROUND The purpose of this Asset and Risk Allocation Policy ( Policy ) is to define
More informationEnterprise Risk Management Economic Capital Modleing and the Financial Crisis
Risk Management and The Crisis Enterprise Risk Management Economic Capital Modleing and the Financial Crisis What worked and what did not Insurance Industry Continues to Respond to Risk Dynamics Risk Sources
More informationIFRS 4 Phase II Operational impacts
IFRS 4 Phase II Operational impacts Contents 1 Executive summary... 1 2 Overview... 2 3 Major impacts... 4 4 Major operational gaps... 10 5 Implementation and next steps... 14 6 How EY can help... 16 7
More informationDiscussion Draft of GN252 Economic Valuations of Life Insurance Business
Discussion Draft of GN252 Economic Valuations of Life Insurance Business 12 May 2003 The attached Discussion Draft of a revised GN252 (DDGN252) sets out considerations that bear on an actuary's professional
More informationWays of Estimating Extreme Percentiles for Capital Purposes. This is the framework we re discussing
Ways of Estimating Extreme Percentiles for Capital Purposes Enterprise Risk Management Symposium, Chicago Session CS E5: Tuesday 3May 2005, 13:00 14:30 Andrew Smith AndrewDSmith8@Deloitte.co.uk This is
More information2012 Conference: Connecting Theory With Practice" 22 nd Annual CAA Conference Sheraton, Nassau, Bahamas November 14-16, 2012
2012 Conference: Connecting Theory With Practice" 22 nd Annual CAA Conference Sheraton, Nassau, Bahamas November 14-16, 2012 Stress Testing Regional & Canadian Perspectives A Presentation by Stéphane Lévesque
More informationProMS Supporting AIFMD Compliance for Commercial Property Investors
ProMS Supporting AIFMD Compliance for Commercial Property Investors Radley & Associates Supporting AIFMD Compliance for CRE Investors Introduction For those Commercial Real Estate (CRE) investors that
More informationSOCIETY OF ACTUARIES Enterprise Risk Management General Insurance Extension Exam ERM-GI
SOCIETY OF ACTUARIES Enterprise Risk Management General Insurance Extension Exam ERM-GI Date: Thursday, May 1, 2014 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination
More informationCatastrophe Reinsurance Pricing
Catastrophe Reinsurance Pricing Science, Art or Both? By Joseph Qiu, Ming Li, Qin Wang and Bo Wang Insurers using catastrophe reinsurance, a critical financial management tool with complex pricing, can
More informationSolvency II Insights for North American Insurers. CAS Centennial Meeting Damon Paisley Bill VonSeggern November 10, 2014
Solvency II Insights for North American Insurers CAS Centennial Meeting Damon Paisley Bill VonSeggern November 10, 2014 Agenda 1 Introduction to Solvency II 2 Pillar I 3 Pillar II and Governance 4 North
More informationPerformance update: Q1-FY2019. July 24, 2018
Performance update: Q1-FY2019 July 24, 2018 Agenda Company strategy and performance Opportunity Industry overview 2 Agenda Company strategy and performance Opportunity Industry overview 3 Strategy: Market
More informationUS Life Insurer Stress Testing
US Life Insurer Stress Testing Presentation to the Office of Financial Research June 12, 2015 Nancy Bennett, MAAA, FSA, CERA John MacBain, MAAA, FSA Tom Campbell, MAAA, FSA, CERA May not be reproduced
More informationThe use of an Economic Capital Model within an Enterprise Risk Management framework
The use of an Economic Capital Model within an Enterprise Risk Management framework David Ingram, Senior Director Standard & Poor s Ratings Services December, 2007 Copyright (c) 2006 Standard & Poor s,
More informationFinancial Risk Modelling for Insurers
Financial Risk Modelling for Insurers In a racing car, the driver s strategic decisions, choice of fuel mixture and type of tires are interdependent and determine its performance. So do external factors,
More informationBoard for Actuarial Standards
MEMORANDUM To: From: Board for Actuarial Standards Chaucer Actuarial Date: 20 November 2009 Subject: Chaucer Response to BAS Consultation Paper: Insurance TAS Introduction This
More informationFramework for a New Standard Approach to Setting Capital Requirements. Joint Committee of OSFI, AMF, and Assuris
Framework for a New Standard Approach to Setting Capital Requirements Joint Committee of OSFI, AMF, and Assuris Table of Contents Background... 3 Minimum Continuing Capital and Surplus Requirements (MCCSR)...
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 informationEuropean insurers in the starting blocks
Solvency Consulting Knowledge Series European insurers in the starting blocks Contacts: Martin Brosemer Tel.: +49 89 38 91-43 81 mbrosemer@munichre.com Dr. Kathleen Ehrlich Tel.: +49 89 38 91-27 77 kehrlich@munichre.com
More informationBeyond Basel II: Leveraging Economic Capital to Achieve Strategic Objectives
Enterprise Risk Management Symposium Beyond Basel II: Leveraging Economic Capital to Achieve Strategic Objectives March 2007 Ashish Dev adev@promontory.com Broader Concept of ERM with EC as the cornerstone
More informationMichael Goemans, Greg Douglas, Jean-Marc Robert
Old Mutual: Solvency II Internal Model Challenges and Benefits Michael Goemans, Greg Douglas, Jean-Marc Robert 22 November 2011 Overview Background Brief overview of Old Mutual Group Solvency II Programme
More informationIntegration & Aggregation in Risk Management: An Insurance Perspective
Integration & Aggregation in Risk Management: An Insurance Perspective Stephen Mildenhall Aon Re Services May 2, 2005 Overview Similarities and Differences Between Risks What is Risk? Source-Based vs.
More informationA.M. Best s New Risk Management Standards
A.M. Best s New Risk Management Standards Stephanie Guethlein McElroy, A.M. Best Manager, Rating Criteria and Rating Relations Hubert Mueller, Towers Perrin, Principal March 24, 2008 Introduction A.M.
More informationAcademy Presentation to NAIC ORSA Implementation (E) Subgroup
Academy Presentation to NAIC ORSA Implementation (E) Subgroup Tricia Matson, MAAA, FSA Chairperson, Enterprise Risk Management (ERM) and Own Risk and Solvency Assessment (ORSA) Committee August 10, 2016
More informationEconomic Capital Follow-up from November 12 ERRC
Practical Implications of Developing and Implementing a Return on Economic Capital Framework Economic Capital Follow-up from November 12 ERRC ERM Symposium June 11, 2015 Adam Walter, Allstate Tim Borst,
More informationSupervisory Views on Bank Economic Capital Systems: What are Regulators Looking For?
Supervisory Views on Bank Economic Capital Systems: What are Regulators Looking For? Prepared By: David M Wright Group, Vice President Federal Reserve Bank of San Francisco July, 2007 Any views expressed
More informationStochastic Modelling for Insurance Economic Scenario Generator. Jonathan Lau, FIA, Solutions Specialist
Stochastic Modelling for Insurance Economic Scenario Generator Jonathan Lau, FIA, Solutions Specialist Jonathan.Lau@Moodys.com 5 June Moody s Analytics Overview beyond credit ratings 2002 2005 2008 2011
More informationThe Solvency II project and the work of CEIOPS
Thomas Steffen CEIOPS Chairman Budapest, 16 May 07 The Solvency II project and the work of CEIOPS Outline Reasons for a change in the insurance EU regulatory framework The Solvency II project Drivers Process
More informationModerator: Missy A Gordon FSA,MAAA. Presenters: Missy A Gordon FSA,MAAA Roger Loomis FSA,MAAA
Session 52PD: Financial Analysis: Impairment, Stress Testing and Predictive Modeling for Health Companies Moderator: Missy A Gordon FSA,MAAA Presenters: Missy A Gordon FSA,MAAA Roger Loomis FSA,MAAA SOA
More informationCapturing Risk Appetite Through ERM - Implementation Challenges
Capturing Risk Appetite Through ERM - Implementation Challenges ERM Symposium, Chicago March 14-16, 2011 Varun Agarwal, SVP, Risk Strategy, HSBC Venkat Veeramani, Manager, Risk Strategy, HSBC Table of
More informationOil and Gas Consultancy. Actuarial and risk management services for the Upstream Oil and Gas industry
Oil and Gas Consultancy Actuarial and risk management services for the Upstream Oil and Gas industry Actuaries are acknowledged as the leading profession for understanding and quantifying risk, pricing
More informationEnterprise Risk Management and Stochastic Embedded Value Modeling
Insurance and Actuarial Advisory Services Enterprise Risk Management and Stochastic Embedded Value Modeling ALM Joint Regional Seminar, June 27, 2005 July 4, 2005 Jonathan Zhao, FSA, FCIA, MAAA, MCA Agenda
More informationProfessional Indemnity Forum 2009 An Actuary's Analysis of the PI Market 7 July 2009
Professional Indemnity Forum 2009 An Actuary's Analysis of the PI Market 7 P w C Section one Profitability Stability and Turmoil Impact of Solvency II Top Tips How to get things right Profitability Stability
More informationGUERNSEY NEW RISK BASED INSURANCE SOLVENCY REQUIREMENTS
GUERNSEY NEW RISK BASED INSURANCE SOLVENCY REQUIREMENTS Introduction The Guernsey Financial Services Commission has published a consultation paper entitled Evolving Insurance Regulation. The paper proposes
More informationEconomic Capital Modeling Implementation
Economic Capital Modeling Implementation Yan Guo, Enterprise Risk Management, AIG Shanghai, China July 7 th, 2008 Asia-Pacific Risk and Insurance Association 12 th Annual Conference, Sydney Outline I.
More informationSubject SP9 Enterprise Risk Management Specialist Principles Syllabus
Subject SP9 Enterprise Risk Management Specialist Principles Syllabus for the 2019 exams 1 June 2018 Enterprise Risk Management Specialist Principles Aim The aim of the Enterprise Risk Management (ERM)
More informationREINSURANCE CONTRIBUTION UNDER SOLVENCY II STANDARD APPROACH (RISA)
REINSURANCE CONTRIBUTION UNDER SOLVENCY II STANDARD APPROACH (RISA) Athens, 19 May 211 & Nicosia, 2 May 211 Dr. Norbert Kuschel Solvency Consulting, Integrated Risk Management Agenda 1. Quantitative case
More informationThe New Risk-Based Capital
INSURANCE The New Risk-Based Capital K P M G L L P Laura S. Gray Southeastern Actuaries Conference Amelia Island, Florida June 2008 Please note: This is a discussion of industry perspectives and does not
More informationCorrelation and Diversification in Integrated Risk Models
Correlation and Diversification in Integrated Risk Models Alexander J. McNeil Department of Actuarial Mathematics and Statistics Heriot-Watt University, Edinburgh A.J.McNeil@hw.ac.uk www.ma.hw.ac.uk/ mcneil
More informationMethodology Review Seminar
etc.venues St.Paul s, London Methodology Review Seminar 16 November 2016 Methodology Review Seminar Welcome and Introduction Overview of the Structural Changes to Best's Credit Rating Methodology Greg
More informationMilliman STAR Solutions - NAVI
Milliman STAR Solutions - NAVI Milliman Solvency II Analysis and Reporting (STAR) Solutions The Solvency II directive is not simply a technical change to the way in which insurers capital requirements
More informationSOCIETY OF ACTUARIES Enterprise Risk Management Individual Life & Annuities Extension Exam ERM-ILA
SOCIETY OF ACTUARIES Enterprise Risk Management Individual Life & Annuities Extension Exam ERM-ILA Date: Thursday, May 1, 2014 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions
More informationHong Kong RBC First Quantitative Impact Study
Milliman Asia e-alert 1 17 August 2017 Hong Kong RBC First Quantitative Impact Study Introduction On 28 July 2017, the Insurance Authority (IA) of Hong Kong released the technical specifications for the
More informationOperational Risk Modeling
Operational Risk Modeling RMA Training (part 2) March 213 Presented by Nikolay Hovhannisyan Nikolay_hovhannisyan@mckinsey.com OH - 1 About the Speaker Senior Expert McKinsey & Co Implemented Operational
More informationUnderstanding BCAR for U.S. and Canadian Life/Health Insurers
BEST S METHODOLOGY AND CRITERIA Understanding BCAR for U.S. and Canadian Life/Health October 13, 2017 George Hansen: 908 439 2200 Ext. 5469 George.Hansen@ambest.com Stephen Irwin: 908 439 2200 Ext. 5454
More informationCREDITRISK + By: A V Vedpuriswar. October 2, 2016
CREDITRISK + By: A V Vedpuriswar October 2, 2016 Introduction (1) CREDITRISK ++ is a statistical credit risk model launched by Credit Suisse First Boston (CSFB) in 1997. CREDITRISK + can be applied to
More information2017 Predictive Analytics Symposium
2017 Predictive Analytics Symposium Session 24, General Insurance Applications of PA Moderator: Stuart Klugman, FSA, CERA, Ph.D. Presenter: Peter Wu, ASA, FCAS, MAA SOA Antitrust Compliance Guidelines
More informationPBR in the Audit: What to Expect Michael Fruchter, FSA, MAAA Emily Cassidy, ASA, MAAA
PBR in the Audit: What to Expect Michael Fruchter, FSA, MAAA Emily Cassidy, ASA, MAAA November 12, 2015 Agenda Background of PBR Audit Risks Assumptions and Experience Studies Governance Audit Work Plan
More informationInsurance Actuarial Analysis. Max Europe Holdings Ltd Dublin
Paradigm Shifts in General Insurance Actuarial Analysis Manalur Sandilya Max Europe Holdings Ltd Dublin FOCUS FROM CLASS ANALYSIS TO INDIVIDUAL ANALYSIS EVOLUTIONARY PACE EXTERNAL DRIVERS AVAILABILITY
More informationENTERPRISE RISK MANAGEMENT, INTERNAL MODELS AND OPERATIONAL RISK FOR LIFE INSURERS DISCUSSION PAPER DP14-09
ENTERPRISE RISK MANAGEMENT, INTERNAL MODELS AND FOR LIFE INSURERS DISCUSSION PAPER DP14-09 This paper is issued by the Insurance and Pensions Authority ( the IPA ), the regulatory authority responsible
More informationCapital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever. ABSA Capital
Capital Management in commercial and investment banking Back to the drawing board? Rolf van den Heever ABSA Capital Contents Objectives Background Existing regulatory and internal dispensation to meet
More informationAMA Implementation: Where We Are and Outstanding Questions
Federal Reserve Bank of Boston Implementing AMA for Operational Risk May 20, 2005 AMA Implementation: Where We Are and Outstanding Questions David Wildermuth, Managing Director Goldman, Sachs & Co Agenda
More informationResults for the six months ended 30 June 2014
Cover Results for the six months ended 30 June 2014 Tuesday, 22 July 2014 1 Disclaimer notice Certain statements in the presentation, are or may constitute forward looking statements. Such forward looking
More informationNotes on: J. David Cummins, Allocation of Capital in the Insurance Industry Risk Management and Insurance Review, 3, 2000, pp
Notes on: J. David Cummins Allocation of Capital in the Insurance Industry Risk Management and Insurance Review 3 2000 pp. 7-27. This reading addresses the standard management problem of allocating capital
More informationEnterprise Risk Management
ASSOCIATION ACTUARIELLE INTERNATIONALE INTERNATIONAL ACTUARIAL ASSOCIATION Enterprise Risk Management All of life is the management of risk, not its elimination Walter Wriston, former chairman of Citicorp
More informationTABLE OF CONTENTS. Lombardi, Chapter 1, Overview of Valuation Requirements. A- 22 to A- 26
iii TABLE OF CONTENTS FINANCIAL REPORTING PriceWaterhouseCoopers, Chapter 3, Liability for Income Tax. A- 1 to A- 2 PriceWaterhouseCoopers, Chapter 4, Income for Tax Purposes. A- 3 to A- 6 PriceWaterhouseCoopers,
More informationPiramal Enterprises Limited Financial Services Day
Piramal Enterprises Limited Financial Services Day 30 th August 2018 Piramal Enterprises Limited Risk Management Piramal Enterprises Limited Financial Services Day, 2018 Page 62 Risk Governance Framework
More informationERM Sample Study Manual
ERM Sample Study Manual You have downloaded a sample of our ERM detailed study manual. The full version covers the entire syllabus and is included with the online seminar. Each portion of the detailed
More informationEconomic Scenario Generators
Economic Scenario Generators A regulator s perspective Falk Tschirschnitz, FINMA Bahnhofskolloquium Motivation FINMA has observed: Calibrating the interest rate model of choice has become increasingly
More informationBusiness Continuity Management and ERM
Business Continuity Management and ERM Partnership for Emergency Planning Kansas City Marshall Toburen GRC Strategist ERM, ORM, 3PM RSA A division of EMC 2 June 18, 2014 1 Agenda Intro State of ERM Today
More informationPredictive modelling around the world Peter Banthorpe, RGA Kevin Manning, Milliman
Predictive modelling around the world Peter Banthorpe, RGA Kevin Manning, Milliman 11 November 2013 Agenda Introduction to predictive analytics Applications overview Case studies Conclusions and Q&A Introduction
More informationModerator: Eric L Clapprood FSA,CERA. Presenters: Dwayne Allen Husbands FSA,MAAA Youyou Tao FSA,CERA
Session 3: How to Effectively Embed Stress Testing into a Risk Management Framework to Support Management Action SOA Antitrust Disclaimer SOA Presentation Disclaimer Moderator: Eric L Clapprood FSA,CERA
More information