Risk,Capital, and Value Management–A Practical Case Study(38页)PPT.pdf
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Contents
Risk, Capital, Value Management – An Actuarial Control Cycle
Project Implementation – Methodology & Tools
Project Planning & Management – Objectives & Deliverables
Lessons from past assignments
Risk, Capital & Value Management – Regulatory Background
Economic capital theory and practice quickly developed under the pressure of
regulatory
changes – Solvency II in Europe
The Solvency II project was initiated by the European Commission in 2001.
Three pillar structure from Basel II is to be adopted for the insurance industry.
The new system is intended to offer insurance companies incentives to measure
and better
manage their risk situation
Risk, Capital & Value Management – Risk vs Capital
Capital Requirement
Aggregation / Benefits of diversification
Market
risk
Credit
risk
Liquidity
risk
Insurance
risk
Operational
risk
Equity and
property
Interest rates
Exchange rates
Reinvestment
Concentration
Corporate
bonds
Counterparty :
reinsurance,
Derivative
hedging
Certain illiquid,
or not very liquid
assets
Mortality
longevity
Morbidity
Lapse
Policyholder
behaviour
Underwriting
Catastrophe
Distribution
Process &
People
IT problems …
Internal Control
legal changes…
Following method of risk classification was determined by the UK regulator