Despite recent computational advances, internal/economic capital models remain time-consuming to run and often highly complex. We are currently researching into the use of proxy models in general insurance capital modelling, including a study into current market practice and evaluation of common techniques. We are planning to present our results and findings at actuarial conferences later… Continue reading>
by Alex Marcuson This question occurred to me at a seminar I attended recently. The speaker was arguing that cyber was a new category of insurance, distinct from traditional property and casualty insurance classes. On reflection, I felt unconvinced, but I thought it was worth setting out some of the arguments both ways. Why is… Continue reading>
Alex Marcuson presented on the work that his Peril-based reserving working party has been carrying out. This presentation was given at the annual GIRO Conference, this year held during September in Dublin. After providing a recap of some of the material delivered at previous GIRO Conferences, and the challenges that had been identified at that… Continue reading>
Alex Marcuson presented on machine learning at the annual GIRO Conference, this year held during September in Dublin. Speaking together with Alan Chalk, the popular workshop provided an introduction for actuarial newcomers to this field. The workshop provided a practical example of decision tree tools to analyse sample text. Using speeches given by US presidential… Continue reading>
It is still early days, but the recent Brexit vote presents us with uncertain times ahead. Below I have set out some practical ideas for insurers to consider while the dust settles. 1. Impact of FX movements on business plans, balance sheets and internal models. Whenever there is a significant FX swing, particularly between Sterling… Continue reading>
The recent political turmoil in Crimea and the resulting trade sanctions led to reports of significant movements in the Russian Rouble. The news prompted us to review the history of one-year foreign exchange rate movements for the Rouble along with a number of the high-growth economies to see whether they had proved more volatile on… Continue reading>
There are a lot of uncertainties inherent in the valuation and capital modelling of Periodical Payment Order (“PPO”) liabilities. Not only is there no perfect hedge for the inflation indices applied to them, there is also very limited data upon which to base mortality models. While much has been written on the challenges presented by… Continue reading>
Solvency II: calculation of technical provisions and the use of internal models for general insurers This consultation paper was issued by the PRA in March 2014. It is a short, accessible read and contains several helpful pointers to firms as they prepare for Solvency II. The scope of the note is the set of general… Continue reading>
There is a new paradigm evolving in energy requirements which will has potentially huge structural implications across several industries. This is illustrated in the graph below. We think insurance will be affected in several ways, here are just a few possible consequences: Acceleration in US economic recovery and resulting consequences of interest rate normalisation on… Continue reading>
We thought these two charts prepared using recent data from the UK Office for National Statistics tell an interesting tale: unstable and possibly declining inflation over the last few years coupled with a decline in real average weekly earnings over the period since the financial crisis broke. How best to capture this in pricing, reserving… Continue reading>