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Using least squares Monte Carlo for Solvency II proxy modelling

A nested stochastic approach can prove difficult for many European life insurers implementing a Solvency II internal model, and some proxy modelling techniques such as replicating portfolios and curve-fitting have drawbacks. Mario Hörig and Michael Leitschkis describe an alternative approach that is growing in popularity: Least Squares Monte Carlo (LSMC)

Marine insurers struggle to model more extreme risks

Marine insurers struggle to model more extreme risks

The Costa Concordia disaster brought the issue of marine risk into sharp and tragic focus last month. Despite other similar accidents, insurers are struggling to model the impact of large loss events, Sarfraz Thind reports

French insurers shy away from internal models

French insurers shy away from internal models

Only a handful of firms will be ready to implement an internal model and the whole French market is struggling to prepare for Solvency II, with mutuals particularly badly hit by the proposed new regulations. Sarfraz Thind reports

Recognise importance of tax in pillar 1

Quantification of tax under pillar I of Solvency II poses challenges such as tax methodology, data quality and the need for a fully integrated tax process. Tax teams therefore need to be fully involved in the development of the Solvency II operating model, as Martin Bradley from Ernst & Young explains

An evolutionary approach to emerging and enterprise risks

An evolutionary approach to emerging and enterprise risks

By adapting phylogenetic analysis, Neil Allan and Neil Cantle argue that it's possible to achieve a risk DNA which could start to unlock some of the secrets of complex risk behaviour

Minority of Norway's insurers opt for internal model

Minority of Norway's insurers opt for internal model

And of those, most will be going for a partial one. But the biggest challenge for firms preparing for Solvency II will be pillar 3, as Sarfraz Thind reports

What to expect from cat modellers this year

What to expect from cat modellers this year

No surprises would be good after the model controversies of the past year. Lorna Davies provides a guide to the modelling firms' plans including a new 70-model platform and Australian bushfire and Asian typhoon models

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