Insurance Risk - May 2014
Articles in this issue
Aviva longevity swap raises questions for intermediaries
Insurer goes direct to reinsurers for £5 billion pension scheme risk transfer
Cap 'too high' on Solvency II credit risk adjustment
Proposed changes will fail to prevent balance sheet volatility, say experts
UK annuity reforms may squeeze insurers' appetite for illiquid assets
Allocations to infrastructure and property expected to reduce following Budget
Insurers urged to review data licence requirements
Negotiate with vendors now to secure best prices, say experts
Cuts to securitisation capital charges too small, say experts
But European Commission proposals can stop insurers becoming forced sellers of low-risk securitisations
Solvency II proposals cause confusion on non-euro extrapolation
Draft delegated acts suggest the last liquid point for non-euro currencies could shift
International capital standards expected to merge, say insurers
Insurers question whether one standard will eventually replace another
Insurers face tight deadline for matching adjustment
Firms urged to rush restructuring of portfolios for Solvency II long-term guarantee measure
Own funds rule will reduce reported solvency ratios, say insurers
Industry says European Commission proposal will have negative side effects
New York defies NAIC on principle-based reserving
Superintendant Lawsky introduces new formula-based methodology
Insurance risk managers draw on unstructured data
Latest analytical tools helping insurers to sift through their data
Insurers warm to risk factor diversification
Insurers are rethinking their investment process in terms of risk factors
Insurers to repackage assets for matching adjustment
Firms consider structured options for assets to meet Solvency II criteria
Concerns mount over periodical payment orders
General insurers embrace capital modelling and revised ALM strategies
Bulk purchase of enhanced annuities offers growth potential
Medically underwritten buy-ins offer opportunities but with unique risks
Progressive insurers revise approach to sovereign risk
Some supervisors pressing firms to risk weight sovereign bonds
At the mercy of politicians
UK Budget highlights insurers' vulnerability to political risk
Options for collateral options
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables independent, this can be simplified. Alexandre…