Insurance Risk - VOL. 6/NO. 8
Articles in this issue
Understanding the liquidity premium
The liquidity premium has moved from theory to practical reality, first in the market-consistent embedded value metric and then the Solvency II directive. Barrie & Hibbert’s Craig Turnbull explains the theory behind the liquidity premium and how to…
Understanding value at risk for insurers
Deborah Cernauskas, Gabriel David and Anthony Tarantino propose an amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture the bounded rationality of human decision-making
Mexico and Brazil on the road to risk-based regulation
Latin American economic powerhouses Brazil and Mexico are introducing new solvency regulations in their fast-growing insurance markets. But while Mexico has gone straight for a Solvency II-type approach, Brazil is emphasising gradualism and will not make…
Insurers prepare for M&A explosion
A number of drivers could push financial groups to dispose of life insurance assets in the near future. But a boom in M&A will also need buyers, which could prove difficult to find. By John Ferry
Dynamic future for post-Solvency II asset allocation
Solvency II is set to dramatically overhaul insurers’ approach to asset allocation – with potentially dramatic consequences for the bond markets. Aaron Woolner reports
Uncertain outcomes – insurers and pension funds tackle inflation risk
With central banks’ discount windows pouring money out at rock-bottom rates but economies still slow to use up excess capacity, the outlook for inflation has never been murkier. Uncertainty has created arbitrage opportunities for inflation risk managers…
Lack of credit for dynamic hedging in QIS 5 driven by ideology, not economics
Old Mutual questions the lack of capital credit for dynamic hedging in QIS 5
Aegon rescue aid contingent on VA hedging programme
EC makes variable annuity hedging a factor in Aegon bailout approval decision
Danish pension funds hit out at cross-subsidy regulation
PKA and Sampension say cross-subsidy regulation threatens Danish pension system
