Asset management
News
FTSE350 IAS19 pension deficits increase to £67bn
Widening credit spreads have made IAS19 a weaker funding measure
Eurozone insurers insulated from debt crisis
Report finds firms have reduced their exposure to potential default
Conning and Phoenix reach insurance investment agreement
Conning will manage Phoenix’s $8bn insurance assets
Solvency II will drive asset reallocation
Insurers will use derivatives to match duration, says Fitch
Analysis
Coping with volatile assets and loss-making liabilities
Insurers are facing challenges on both sides of the balance sheet from the market environment and regulatory change. New approaches are needed but there are pitfalls. Helen Yates explains
Lloyd's insurers need to rethink their investment strategies
Despite contributing more than half the bottom-line profits, investments have always been the poor relation within syndicates compared to underwriting. However, with asset yields lower and regulations becoming stricter, that may need to change, says Yasheen Rajan
Using replicating portfolios to calculate capital
In the previous article in this series (A primer in replicating portfolios), Adam Koursaris explored a set of useful principles for replication -- general facts that govern the use of replicating portfolios in asset-liability modelling. Now he examines practical aspects of RPs in insurance capital calculation.
Balance-sheet volatility is next challenge for insurers
Solvency II's approach to valuing assets and liabilities presents additional challenges for insurers in managing the volatility this creates. Michael Faulkner reports.
A primer in replicating portfolios
In his previous three articles in this series, Adam Koursaris looked at different methods that could be used to calculate the solvency capital requirement (SCR) where companies face an inherently nested stochastic problem. He now focuses on the replicating portfolio (RP) technique.
Highlights
- Aegon and Deutsche Bank in €12bn longevity swap
- Deloitte hires Mike Sobers from Aviva
- A modular approach to the ORSA
- Actuaries embrace faster, more efficient A/LM models
- What Tohoku tells us about Japan earthquake risk
- "Cat modelling for the masses" planned by industry group
- Torus appoints new CFO
- IORP could make hundreds of UK companies insolvent
- NAIC: "If we respect the differences, we can make this work"
- Liberty returns to cat bond market
- One step closer to the new world of regulatory reporting
- Four-fifths of insurers in Bermuda use more than one cat model
- Insurers embrace curve-fitting for SCR calculations
- Sweden's insurers struggle to get ready for Solvency II
- AIR publishes simple cat model tests
- Solvency II and IORP directives need to be aligned
- Eiopa paper shows drawbacks of "one-size-fits-all" approach
- Moody's buys Barrie & Hibbert
- Applying complexity science to risk appetite and emerging risk
- Underwriting discipline "central challenge" for 2012
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