Models Capital, Risk

Analysis

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)

Certainty, proportionality, common sense: what the industry craves from regulators in 2012

Certainty, proportionality, common sense: what the industry craves from regulators in 2012

Leading CROs and consultants give their views on how regulators and politicians may handle outstanding Solvency II implementation issues this year; on business strategy in response to this; and on the outlook for natural catastrophes. Here is a compilation of responses to the questions InsuranceERM asked experts just before Christmas

Insurers embrace curve-fitting for SCR calculations

Aviva, Legal & General and Prudential are among firms that have adopted this approach, but it brings challenges as well as benefits, as these excerpts from a paper released by risk solutions' provider Algorithmics describe

Solvency II shows the perils of not focusing on technical details

Solvency II shows the perils of not focusing on technical details

John Hibbert suggests that there are parallels between the way the Euro-zone debt crisis and Solvency II are being handled by Brussels

Building risk appetite into a risk dashboard

Risk appetite can now be extended into quantitative tools to assist decision-making on capital allocation, return on investment on allocated capital and balancing profitability against exposure, as well as providing the basis for the traditional risk tolerances. Peter Taylor looks at how insurers might exploit new stochastic data sources in business planning and performance monitoring through risk dashboards.

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