Ahead of his time

(Feb 17, 2012)

I'm giving away rather too much information about my age when I say I started work in 1990 right after graduating from university.   Not long into my first job at a UK insurer, I was called to a meeting of the actuarial department.  At this meeting was a man with the job title of Research Actuary.  During the meeting he suggested that our employer's investment strategy should be set such as to target a "fixed probability of ruin".   The idea was to accept that insolvency was always a possibility, but to recognise this and pick the assets - and the business strategy - to match the liabilities to make sure this possibility was suitably unlikely.  As I was fresh out of university, I couldn't imagine running…

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Tags: Solvency II, use test, mortality projections

Getting used to Solvency II

(Mar 2, 2010)

Insurers and reinsurers throughout the EU are facing up to the implementation of Solvency II, a radical overhaul of regulatory standards for insurance business.  Recently we explored how much Solvency II demands stochastic models.  Another feature of Solvency II is the so-called "use test", which has been described as follows:

"Are the insurance firm's internal risk measurement systems closely integrated into its day-to-day risk management processes? [...] Put simply, the "use test" refers to the need for the risk-measurement judgements to play a key role in the management of a firm before they will be accepted also for regulatory purposes."

Source: John Tiner, then…

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Tags: Solvency II, use test, ICA

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