August 2010
Investment Solutions for New Products with Options and Guarantees
Joint Regional Seminar 2010
Craig Turnbull FIA
Craig.turnbull@barrhibb.com
Agenda
Trends in market risk measurement and management in the global insurance
sector
Market-consistent valuation in regulatory capital and financial reporting
Implications for risk management and product design
Implications for modelling requirements
Implementing risk management strategies for guarantee risks
Using stochastic models to implement hedging strategies…
…and to measure residual risk / return exposures
Case study
More on managing market-consistent risks in very illiquid markets
Market-consistent liability valuation in the real-world
Dynamic hedging in very illiquid markets
Trends in market risk measurement and management in the global insurance
sector
Global Context: Market Risk Assessment in Insurance
Last decade has produced a general global shift away from an ‘actuarial
funding’ approach to market risk…
Actuarial judgement, margins, long-term, prescription, net premium valuations
…to more market-based, analytic, economic approach
Principle-based, market-consistent, stochastic models, internal models
Many examples in regulatory capital assessment:
In European Union, the Solvency II program and its front-runners:
Swiss Solvency Test (2004)
UK’s Realistic Balance Sheet and Individual Capital Assessment (2003/4)
South Africa’s PGN-110 (2005-7)
Canadian regulatory capital for segregated funds business (2000 / 2002)
In US, C-3 Phase II for variable annuity products (2004-2006)
Countries such as Malaysia and Singapore using or considering the use of
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