Insurance Risk - February 2014
Articles in this issue
Asset reallocation predicted as Dutch life companies move to Solvency 1.5
Firms expected to reduce exposure to equities and buy protection in response to transitional solvency regime.
Italian life insurers look to dynamic hybrids to reduce guarantees burden
Generali sets trend with innovative rebalancing mechanism
‘Unhedgeable’ risk-free curve extrapolation method implied in Omnibus II text
Controversial Smith-Wilson technique expected to be confirmed in level 2 implementing measures
Delta Lloyd to lead European insurers into private debt market
€750 million collective fund to invest in loans to mid-cap corporates to be launched next year
EIB credit enhancement lures UK insurers to project bond
Capital efficiency of A3 bond tempts insurers
Federal Insurance Office calls for enhanced role in group supervision
Long-awaited report proposes reforms to US state and federal practices
Poor risk analysis weighs on Dutch disability market
After an overhaul of legislation in 2006, Dutch insurers eagerly tapped the occupational disability market. But they grossly underestimated the risks and costs of providing cover and have been forced to increase their reserves in response to higher than…
New Solvency II capital charges still threat to ABS demand
European insurer demand for debt securitisations could vanish despite proposals for lower capital charges
France to require full Orsa as it rejects Solvency II interim measures on governance
Insurance supervisor will also allow XBLR reporting, says regulator's head of Solvency II
Insurers to ramp up private equity exposure in 2014
Insurers are rethinking their investment strategies and beginning to increase their exposure to private equity. Some are even looking at it from an asset-liability management perspective.
Commission urged to curb supervisors’ leeway on volatility adjustment
Delegated acts must set stringent conditions for calculating fundamental spread, insurers say
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
