Insurance Risk
Solvency II to curb renascent with-profit sector
Higher capital charges for with profits products under Solvency II
UK’s TPR issues FSD on Lehman Brothers
The Pension Regulator takes a tough line with Lehman Brother creditors over UK pension fund deficit
Scor eyes UK pension funds’ longevity risk
Reinsurer Scor becomes the latest firm to enter the longevity arena
Modelling the asset portfolio for Solvency II
Asset to the system
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
Validating interest rate models under Solvency II
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates…
Factors on demand
Linear factor models are commonly used by portfolio managers to capture sources of risk, traditionally split between systematic and idiosyncratic types. By using the conditional link between flexible bottom-up estimation, and top-down attribution, factor…
Capital levels for Sampension would have tripled under Solvency II without retreat from intentional guarantees
Longevity component of Solvency II drives Danish pension fund away from hard guarantees
Aegon UK strengthens its risk management capability
UK arm of insurer appoints two directors to join its risk team
Green light for new European insurance and pension supervisor
Deal reached on replacement for Ceiops
NAIC opts for macroeconomic based approach for CMBS
US insurance regulators turn their focus to CMBS
Nordic insurers’ interest rate mismatch significant but improving
Better ALM practice behind Nordic insurer's reduced exposure to interest rate mismatches
Basis risk no barrier to longevity securitisation say experts
Academics and JP Morgan team show how to mitigate exposure from differences between population mortality rates
Danish pension funds hit out at cross-subsidy regulation
PKA and Sampension say cross-subsidy regulation threatens Danish pension system
Aegon rescue aid contingent on VA hedging programme
EC makes variable annuity hedging a factor in Aegon bailout approval decision
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