Insurance Solutions
Capital management
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OVERVIEW
To address the shortcomings of volatility control index product design for index-linked annuities, we introduce a forward-looking methodology anchored in option-implied risk.
We consider an insurer's $1 billion investment portfolio to show how the mechanics of prepayment behavior manifest under Virtual Manual (VM)-22.
As insurers boost their private credit allocations, we propose a method for projecting cash flows without bespoke modeling.
We explore the added value to insurers of incorporating a stochastic modelling approach for conducting multiyear solvency projections.
Insurance-linked securities can broaden reinsurance capacity, but insurers need substantial modelling expertise in the absence of liquid secondary markets.
Risk inventory and taxonomy and risk calibration
How insurers can include a liquidity score and liquidity stress scenarios as part of their asset liability management protocol
Recent trends, risk quantification and regulatory developments
Our paper analyzes capital redundancy in FIAs and argues that the use of principle-based methods would reduce the cost of capital in FIAs.
While 'sidecar' reinsurance vehicles have been a common structure in the U.S. property and casualty industry, their use has become more common in the life and annuity industry as well.
Solvency II changed capital requirements and how they are calculated for insurance and reinsurance undertakings. This paper addresses some of the key issues, including the need for a robust decision-making framework, how investment strategy fits in, and uses of reinsurance.
This paper describes several key areas that can serve as building blocks for a new analytical framework.
