Document library
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- Author:
- International Actuarial Association
Practice note on enterprise risk management (ERM) for capital and solvency purposes in the insurance industry
This Practice Note has been developed by the IAA for insurers to support the Standards and Guidance materials developed by the IAIS for supervisors. It draws on industry experience, supervisors’ supervisory practices, models and frameworks published by ... read more >>
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Enterprise Risk Management (ERM) Practice Area and Risk Management Interest Group (RMIG). Newsletter 5. September 2008
ERM Practice Area and Risk Management Interest Group (RMIG) September 2008 • Introduction • Global ERM Webinar – 10 December 2008 • Credit Ratings Networking Evening – 27 November 2008 • FSA DP on The Path to Solvency II (DP08/4) • Research ... read more >>
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- Author:
- Mohammad Khan
- Source:
- General Insurance Convention 2008
The post Solvency II world. What will your risk, finance and actuarial functions look like? (Slides)
Insurance The Post Solvency II World What will your risk, finance and actuarial functions look like? GIRO: 25th September 2008 *connectedthinking Slide 2PricewaterhouseCoopers LLP Agenda Reporting Processes Roles and ... read more >>
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- Author:
- Tim Edwards; Gavin Dunkerley
- Source:
- General Insurance Convention 2008
Introduction to Solvency II. (Slides)
Introduction to Solvency II Tim Edwards Gavin Dunkerley 24th September 2008 Introduction – The primary purpose of this presentation is to explain what Solvency II is and why it is important – We also hope to challenge the way you think about your ... read more >>
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- Author:
- Andrew Smith
- Source:
- General Insurance Convention 2008
What is the risk-free rate? (Slides)
1 What is the Risk-Free Rate? Andrew D Smith (Working Party Member) AndrewDSmith8@deloitte.co.uk 24 September 2008 GIRO, SORRENTO Why Risk-Free Rates Matter “fair” value Discount at risk free rate Cash flow date Best estimate cash flows Cost of ... read more >>
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- Author:
- Cherry Chan; Kartina Tahir Thomson
- Source:
- General Insurance Convention 2008
Increasing the relevance of risk tolerance to organisations today.
GIRO Convention 23-26 September 2008 Hilton Sorrento Palace Increasing the Relevance of Risk Tolerance to Organisations Today Kartina Tahir Thomson & Cherry Chan Increasing the Relevance of Risk Tolerance to Organisations Today Agenda 1. ... read more >>
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- Author:
- Maria Heep-Altiner; Nigel Hooker
- Source:
- General Insurance Convention 2008
Risk aggregation in a multi-line, multi-entity group. (Handout)
1 GIRO Convention 23-26 September 2008 Hilton Sorrento Palace Risk Aggregation in a Multi-Line, Multi-Entity Group Dr. Maria Heep-Altiner - Talanx AG Dr. Nigel Hooker - DFA Capital Management Inc. Talanx Group: a Multi-Line, Multi-Entity Group ... read more >>
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- Author:
- Andrew Hancock
- Source:
- General Insurance Convention 2008
Solvency II - diversification (handout)
1 GIRO Convention 23-26 September 2008 Hilton Sorrento Palace Solvency II - Diversification Agenda ? Introduction to diversification ? Definition and areas where it arises ? In pre-ICA un-modelled world ? In the world of models ? Analysis of SII ... read more >>
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- Author:
- Mike Brien; Shreyas Shah
- Source:
- General Insurance Convention 2008
Use and abuse of reinsurance under IFRS Phase II (handout)
1 GIRO Convention 23-26 September 2008 Hilton Sorrento Palace Use and Abuse of Reinsurance Under IFRS Phase II Mike Brien & Shreyas Shah Deloitte Agenda ? IFRS Phase I vs. Phase II comparison and changes; ? How will outwards reinsurance be ... read more >>
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- Author:
- Henry Johnson; Veekash Badal; Jerome Kirk
- Source:
- General Insurance Convention 2008
Lloyd's issues (handout)
1 GIRO Convention 23-26 September 2008 Hilton Sorrento Palace Workshop B11 – Lloyd’s Issues Henry Johnson Veekash Badal Jerome Kirk Agenda ? Introduction & PMDP – Henry ? Capital & ICAs - Veekash ? Claims, Reserving & Solvency II – ... read more >>
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- Author:
- Jim Gustafsson
- Source:
- General Insurance Convention 2008
Operational risk. Bending the tail of the dragon (handout)
Operational Risk Bending the tail of the dragon Jim Gustafsson RSA Scandinavia & University of Copenhagen AGENDA AGENDA Operational Risk AGENDA Operational Risk Model Assumption AGENDA Operational Risk Model Assumption Case Study Operational Risk ... read more >>
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- Author:
- Jim Gustafsson
- Source:
- General Insurance Convention 2008
A mixing severity model incorporating three sources of data for operational risk quantification
To meet the new Solvency II Directive for operational risk capital assessment, an insurance company’s internal model should make use of internal data and relevant external information. One of the unresolved challenges with operational risk quantification ... read more >>
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- Author:
- Viktor Mirkin
- Source:
- Finance, Investment and Risk Management Conference 2008
SWAPS and SWAPTIONS Interest rate risk exposures
1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER SWAPS and SWAPTIONS Interest Rate Risk Exposures Viktor Mirkin vmirkin@deloitte.co.uk 17 JUNE 2008 HILTON DEANSGATE, MANCHESTER Outline ?Cash flow ... read more >>
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- Author:
- Cormac Bradley
- Source:
- Finance, Investment and Risk Management Conference 2008
When theory and practice are not always the same. Earning Libor on cash is easy - isn't it?
Presentation Title Tuesday, 10 June 2008 1 © 2008 Towers Perrin When theory and practice are not always the same Earning Libor on cash is easy – isn’t it? © 2008 Towers Perrin 2 Agenda ? Case study - pension fund de-risking ? The challenge to ... read more >>
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- Author:
- David Cule
- Source:
- Finance, Investment and Risk Management Conference 2008
The market value of pension liabilities (handouts)
1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER The market value of pension liabilities ? What is the “correct” way to price a defined benefit pension obligation? ? Do all market participants ... read more >>
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- Author:
- Martin Weale
- Source:
- Finance, Investment and Risk Management Conference 2008
Annuities and aggregate morality risk: mountains out of molehills (handouts)
1 FINANCE, INVESTMENT & RISK MANAGEMENT CONFERENCE 15-17 JUNE 2008 HILTON DEANSGATE, MANCHESTER Annuities and Aggregate Mortality Risk: Mountains out of Molehills “Even actuaries recognize that longer life is a good thing – but, to the extent ... read more >>
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- Author:
- Ralph Frankland; Andrew Smith
- Source:
- Finance, Investment and Risk Management Conference 2008
Extreme events deriving tail probabilities for economic distributions relevant to individual capital assessents
EXTREME EVENTS DERIVING TAIL PROBABILITIES FOR ECONOMIC DISTRIBUTIONS RELEVANT TO INDIVIDUAL CAPITAL ASSESSMENTS Ralph Frankland and Andrew Smith Members of the LPEC Benchmarking Stochastic Models Working Party Extreme Events A game of two halves: ... read more >>
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- Author:
- Jon Palin; Nick Silver; Andrew Slater; Andrew Smith
- Source:
- Finance, Investment and Risk Management Conference 2008
Complexity economics. Application and relevance to actuarial work
Complexity Economics Application and Relevance to Actuarial Work A Report from the Agent-Based Modelling Working Party Jon Palin Nick Silver Andrew Slater Andrew D Smith Introduction The purpose of this paper is to introduce the ... read more >>
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- Author:
- Seamus Creedon; Iain Forrester; Parit Jakhria; Malcolm Kemp; Antoon Pelsser; Andrew Smith; Colin Wilson
- Source:
- Finance, Investment and Risk Management Conference 2008
Market consistent discounting. Interim report of the Market Consistent Valuation Working Party
Market Consistent Discounting Interim report of the Market Consistent Valuation Working Party to the Finance, Investment and Enterprise Risk Management Conference. June 2008. Working party members Seamus Creedon (chair) Iain Forrester Parit ... read more >>
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- Author:
- Alexander J McNeil
- Source:
- Finance, Investment and Risk Management Conference 2008
Economic capital models for Basel/Solvency II, Pillar II
Economic Capital Models for Basel/Solvency II, Pillar II 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 FIRM Conference 2008 ... read more >>