Insurance Risk
Aegon looks to cost of capital to price optionality in VA liabilities
A proposed new modelling framework from the Dutch insurer's US arm uses cost of capital in an analogous role to the market price of risk in traditional pricing theory to value long-dated options embedded in VA liabilities
Unrealistic pricing expectations impede development of longevity swap market
Price expectations have played a crucial role for the relatively small number of longevity swap deals that have so far been completed
New year could see indemnification ILS deal
A new indemnification insurance-linked securitisation is under way and could put an end to a post-crisis dry spell in life ILS early next year
Longevity swaps and the bulk purchase annuity market: Video interview with Simon Gadd, Legal & General’s head of annuities
Longevity swaps have yet to move into the mainstream – but bulk buyouts could be set return to favour
Dutch pension funds take lead in LDI implementation
Survey indicates Dutch pension funds have all opted for LDI
Almost 70% of insurers completed QIS 5
Participation rates double for QIS 5
Coughlan exits JP Morgan
Global ALM advisory chief, co-head of European pensions advisory and key LLMA figure leaves bank
Coming inflation means UK pension funds should expand equity allocation
QE2 will spur above target inflation in 2011 and low real yields mean pension funds should look to shares
Tier 1 Vif will mean no additional capital needed under Solvency II
Consideration of VIF as Tier I will save insurers from financing increased solvency capital requirements, says head of Italian insurance association
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
Cluster modelling – better than replicating portfolios?
Cluster power
Agrica profile – risk managing SRI
Responsible change
Germany - liability-driven investment goes mainstream
Time for change
Life settlements – too good to be true?
Too good to be true?
Opinion: Senseless centralisation
Senseless centralisation
US public pension deficits driving muni yields
Untied states
Volatility in defined benefit schemes trumps deficit worries
Market exposures to FTSE 100 defined benefit schemes could result in a £100bn spike over one year in their total deficit, reports PensionsFirst
Swiss Re hits out at ‘counterproductive’ regulatory calibrations
Swiss Re argues current regulatory calibration proposals will slash policyholder returns
Three challenges to Solvency II implementation – Bernardino video interview
Three challenges to Solvency II implementation
Rising interest rates expose continental insurers to lapse risk
Rising interest rates expose continental insurers to lapse risk
Corporate bonds, not sovereigns, now the safe haven – L&G
Corporate bonds new safe haven – L&G
Pensions In-Depth: Video interview with Geoffrey Staines
In an interview with GP's sister title Professional Pensions, Daily Mail & General Trust pensions director Geoffrey Staines talks to Jonathan Stapleton about communications, risk management and in-scheme resource.
EC: We don’t sit in an ivory tower finding solutions to problems that don’t exist
Despite having no evidence the EC says lack of pension portability is a major barrier to labour market mobility
A focus on LDI counterproductive for pension funds – M&G Investments
Returns as important as risk management, say M&G Investments