Optimaliseren projectmatig werken

Transcription

Evaluatie QIS5
16 december 2010
 Out of the box actuaries and risk professionals
Agenda

Introduction

QIS5 results

Demo: manage QIS5 process using E2S

Appendix 1: detailed results non-life
2
Introduction
Planning and participation QIS5

April-June 2008: QIS4 in Europe (2007 figures)

June-August 2009: RiSK2008 in NL (2008 figures)

August-October 2010: QIS5 in Europe (2009 figures)
400
350
SII Proportioneel
Aantal verzekeraars
300
250
200
Onder
Richtlijn
150
100
50
0
QIS1
QIS2
QIS3
QIS4
RiSK
Deelname
aan QIS5?
Totaal
Source: presentation DNB on SII symposium December 2009
QIS5
3
3
Introduction
Three pillar approach
Solvency II
1
2
3
Pillar I
Pillar III
Calculations
on
quantitative
requirements
MCR / SCR
Report
to
supervisors
and
public
4
Introduction
SII activities
2010
Inrichten Risk
Mgmt Ctee (RMC)
2.
Reguliere risico
Rapportages
3.
Self Assessment &
Gap-analyse
4.
Implementatieplan SII
(nwe ontwikkelingen)
5.
Inrichten risicobeheersysteem en
risicobeheerfuncties
6.
Risicostrategie &
Risk appetite
7.
Documentatie
risicobeleid
8.
Generale repetitie
ORSA
9.
Sturen op waarde
en risico
10.
Definitief format
SFCR
RTS
10 juni &
2010
2012
Komt minimaal eens per kwartaal bijeen
2009
Q4
2010
Q4
2011
Q2
2011
Q4
2012
Q1
2012
Q2
2012
Q3
2012
Q2
2012
Q3
Ongoing business
1.
2011
De Kwalitatieve Vereisten
55
Introduction
Required risk reporting in pillar 1 and pillar 3
Risk Governance
Kwantitatieve risico’s

Risk Appetite

SCR solvency ratio

Risicolimieten

MCR solvency ratio

Risicostrategie

SCR per risicotype

Beleid per risicotype en
beheersingsinstrument

Stress tests
Kwalitatieve risico’s

Visie van management
op operationele en
strategische risico’s

Risk Maps met 3-5
jaars horizon
Risico rapportage (risk monitoring)
6
Introduction
Required risk management system in pillar 2
Incidenten &
Opgetreden
Gebeurtenissen
Rollen en
gedelegeerde
authoriteiten
Risicoprofiel &
Kwantificatie
Analyse
Beleid
Voorspellen
van
events
Commissies
QIS5
7
7
Introduction
Required reporting templates in pillar 3

All reporting templates in CP58 proposals that relate to Standard
Model will be fully supported by Easy2Solve platform

SFCR: Solvency & Financial Condition Report

RTS: Report to Supervisors

Executive summary

A. Business and performance

B. System of governance

C. Risk management

D. Regulatory balance sheet

E. Capital management

Undertakings with an
approved internal model
8
Introduction
Main challenges
Pillar 1 calculations
complex and
“error-sensitive”
Integrated RM on
every organisation
dimension (pillar 2)
Pillar 3 reporting
templates
not final yet

Pillar 1 calculations (QIS5) are “error-sensitive”, complex and time-consuming

QIS5 core sheet consists of 27 worksheets

Many functionalities not used

12 Helper tabs developed to support calculations (e.g. non-life CAT risk,
concentration risk, counterparty risk etc)

Insurance companies need to set up risk management system and
perform own risk and solvency assessments

Supportive tooling will be needed to monitor risk limit adherence and to
effectively operate risk management cycle on every dimension

Required reporting under pillar 3 not clear yet

For steering purposes insurance companies will need to construct
quarterly or monthly risk reports already using QIS5 methodology

Already report all output that is defined
QIS5
9
9
Introduction
Solvency II infrastructure
2009
Overview of the Solvency II Software Market: There Is
No One-Size-Fits-All Solution
“Unfortunately, no application on the market addresses
all the three pillars of Solvency II.”
2010
Unique integrated GRC platform in the market that
addresses all three pillars
Pillar 1
Pillar 2
Pillar 3
■ Triple A – QIS5 Tool to manage,
review or perform QIS5 / Pillar 1
calculations
■ Easy2comply platform with integrated
links to QIS5 templates to monitor risk
limits related to pillar 1 calculations
■ Used by roughly 40 Dutch insurers
to complete or review their QIS5 study
■ Globally used by firms to manage SOx,
operational risks, Basel II, local laws
QIS5
■ Enables high frequency reporting and
limit monitoring on QIS5 basis
■ Standard QIS5 and CP58 related
reporting templates included
10
10
Introduction
Demo 1
DEMO 1
http://www.youtube.com/watch?v=m8gNNKPysMU
Themasessie 16 juli 2010: Solvency II en QIS5
11
11
Introduction
How does Easy2Solve address the pillar 2 challenges?
Incidenten &
Opgetreden
Gebeurtenissen
Risicoprofiel &
Kwantificatie
Analyse
Voorspellen
van
events
Rollen en
gedelegeerde
authoriteiten
Beleid
Commissies
12
Introduction
Risks
Identification, planning, monitoring & reporting
Culture &
leadership
Legal
Change
Organization
Strategic, tactical
& operational
steering processes
Applications
Functions
Primary
& secondary
processes
Data
Roles
Planning, control
& reporting
processes
ICT infra
Controls
Organizational, process, data, application, ICT,
social, legal, physical, cultural & personal
13
Introduction
Financial and Operational Risks
Identification, planning, monitoring & reporting
Steering
Trans
actions
Strategic, tactical
& operational
steering processes
Primary
& secondary
processes
Data
Mngmt
reports
Planning, control
& reporting
processes
Output to
Pillar 3
RTS
/ public
Pillar 2 including ORSA
Controls
Organizational, process, data, application, ICT,
social, legal, physical, cultural & personal
14
Agenda

Introduction

QIS5 results


15
QIS5 scope
Available solvency components
16
16
QIS5 scope
Available solvency: changes compared to QIS4 / RiSK2008




Allowance for liquidity premiums in discount rates
Intangibles no longer fully set to zero
Adjust reinsurance recoverables for credit risk
Changes to risk margin methodology
 Allowance for diversification between homogeneous groups (mainly impact on
P&C business)
 Inclusion of risk margin for unavoidable market risks
 More strict limits for eligibility of hybrid capital (tier 2 / tier 3)
17
17
QIS5 scope
Calculation of SCR: required solvency
4 new sub risk types:
-Intangible Assets
-Lapse Non-life
-Lapse Health
-Illiquidity Premiums
18
18
QIS5 scope
Required SCR: changes compared to QIS4 / RiSK2008

Correlations
 More heavy correlations

Insurance risks
 Changes in parameters (e.g. lower longevity tests)
 More enhanced structure non-life risks to allow for impact of reinsurance
 Allowance undertaking specific parameters for non-life risks
 Allowance for lapse risks for non-life risks

Marktrisico
 Lower stress tests for interest rate risk and equity risk
 Including impact of liquidity premiums
 Treatment of mortgages

Counterparty risk
 Adjust methodology to allow for credit exposure on risk mitigation by reinsurers
 Other capital charges

Concentration risk
 Lower thresholds
 Avoid double counting with counterparty risk

Inclusion of intangible asset risk module

More room to include tax relief in SCR
19
19
QIS5 results
Non-Life
20
20
QIS5 results non-life
Scope

10 Small insurers:
GWP < € 10m

6 Medium insurers:
€ 10m < GWP < € 100m

8 Large insurers:
GWP > € 100m
QIS5
21
21
Premium figures small insurers
Breakdown gross written premium
(small insurers)
Other
Thi rd pa rty l i a bi l i ty
€ millions
Tra ns port
Fi re
Motor (l i a bi l i ty & other)
Hea l th (i ncl . di s a bi l i ty)
1
2
3
4
7
6
5
Small insurers
8
9
QIS5
10
22
22
Premium figures medium insurers
(medium insurers)
Other
€ millions
Tra ns port
Fi re
11
12
13
14
15
16
17
Medium insurers
QIS5
23
23
Premium figures large insurers
(large insurers)
Other
€ millions
Tra ns port
Fi re
18
19
20
21
22
Large insurers
23
24
QIS5
25
24
24
Solvency ratio QIS5 vs Wft
€ millions
Average solvency ratio
500%
450%
400%
350%
300%
250%
200%
150%
100%
50%
0%
SI ra tio
SII ra tio
Small insurers
Medium insurers
Large insurers

Decrease in solvency ratio of 150%-200% after moving from Wft to QIS5

Large insurers benefit from diversification, but have relatively low SII ratio under
QIS5 study because:
–
Prudence in reserves in most cases already included in Wft available solvency
–
Negative impact of deferred costs on available solvency due to “volmacht” business
–
More weighted towards more risky lines of business (e.g. GTPL)
–
Make more efficient use of reinsurance which results in higher SCR
QIS5
25
25
Solvency ratio QIS5 vs Wft (2)
Small
Medium
Large
Amounts relative to SI capital
Available Capital based on SII (%SI)
SCR (%SI)
MCR (%SI)
554%
176%
92%
331%
246%
95%
345%
211%
77%
Solvency ratio
SI solvency ratio
S2 solvency ratio
475%
271%
262%
146%
256%
144%
48%
38%
4%
10%
100%
62%
23%
5%
11%
100%
67%
22%
7%
4%
100%
9%
91%
5%
95%
9%
91%
SCR decomposition
SCR U/W risk
SCR market risk
SCR operational risk
SCR other risks
Adjustment
Net SCR

SCR as a percentage of Solvency I varies between 175% and 250%

Large insurance companies relatively more exposed to underwriting risks

Average tax relief (%SCR) varies between 5% and 10% but big variation
(see slide further on)
QIS5
26
26
Solvency ratio QIS5 vs Wft: small insurers
Solvency ratio (small insurers)
€ millions
2000%
1500%
1000%
SI ra tio
500%
SII ra tio
0%
1
2
3
4
5
6
7
8
9
10
Small insurers

Large decrease in solvency for insurance companies 4 and 8 related to:
 increase in SCR, as a result of
 “monoline” nature and limited ability to diversify their risks
QIS5
27
27
Solvency ratio QIS5 vs Wft: medium insurers
€ millions
Solvency ratio (medium insurers)
600%
500%
400%
300%
200%
100%
0%
SI ra ti o
SII ra ti o
11
12
13
14
15
16
17
Medium companies

Large decrease in solvency for insurance companies 12, 16 and 17 related to:
 increase in SCR, as a result of
 large exposure to industrial risks
QIS5
28
28
Solvency ratio QIS5 vs Wft: large insurers
Solvency ratio (large insurers)
€ millions
600%
500%
400%
300%
200%
SI ra ti o
100%
SII ra ti o
0%
18
19
20
21
22
23
24
25
Large insurers

QIS5 ratio relatively low compared to small/medium peers because many large
insurance companies already include prudence in Wft solvency

Deviation in solvency ratio is mainly due to the selected reinsurance coverage

Companies 21, 22 have selected relatively low top layer of their cat reinsurance
programmes
QIS5
29
29
Tax relief in SCR
Adjustment percentage
25%
20%
15%
10%
5%
0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
Insurers

Large variation observed in tax credit recognised in SCR

Huge impact on results
QIS5
30
30
Risk margin
20,00%
Risk Margin as % of BE liabilities
(all insurers)
15,00%
10,00%
5,00%
0,00%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
Small, medium and large insurers

Risk margin for large insurance companies varies steadily between 4%-7%

Risk margin (%BE) decreased by 1%-3% in absolute terms compared to RiSK2008
as a result of allowance for diversification between lines of business
QIS5
31
31
QIS5 vs RiSK2008
Solvency margin
500%
%
400%
300%
Risk 2008
200%
QIS5 2009
100%
0%
Small insurers
Medium insurers
Large insurers
Type of insurer

Solvency margin has not changed materially from RiSK2008 to QIS5

Available solvency increased due to retained earnings in 2009 and the combined
effect of the following changes in methodology (QIS5 vs RiSK2008)

–
Allowance for liquidity premium in discount rates (positive impact)
–
Allowance for diversification between lines of business in risk margin (positive impact)
–
Allowance for credit risk in reinsurance assets (negative impact)
SCR has increased on average by 10%-15% compared to RiSK2008
QIS5
32
32
QIS5 results
Life
33
33
QIS5 results life
Scope in terms of best estimate provisions
Breakdown total best estimate provisions (55 bn)
17,28%
Insurance with profit participation
39,41%
Index-linked and unit-linked
insurance
Other life insurance
43,30%

Benchmark based on 10 life insurance companies

Total reserve in scope equals € 55bn
QIS5
34
34
QIS5 results life
Breakdown of provisions
Allocation best estimate provisions
120%
Other lif e insurance
100%
80%
Index-linked and unitlinked insurance
Insurance with prof it
participation
60%
40%
20%
0%
1
2
3
4
5
6
7
8
9
10
Insurers

Different profiles of insurance companies may be used to benchmark outcomes

Companies 1 – 4: insurance companies with large diversified portfolios

Companies 6,7,8,10: mainly term insurance and unit-linked business

Company 5 has mainly written with profit business

Company 9: mainly group pension business
QIS5
35
35
QIS5 results life
Solvency ratio QIS5 vs Wft
Solvency ratio
700%
600%
SI ratio
SII ratio
500%
400%
300%
200%
100%
0%
1
2
3
4
5
6
7
8
9
10
11
Insurers

Average decrease in solvency ratio of 100% after moving from Wft to QIS5
–
Increase in available solvency for term insurance / UL portfolios
–
Decrease in available solvency for traditional business
–
Required solvency increases depending on nature of the business
QIS5
36
36
QIS5 results life
Solvency ratio QIS5 vs Wft (2)
Amounts relative to SI capital
Available Capital based on SII (%SI)
SCR (%SI)
MCR (%SI)
330%
224%
68%
Solvency ratio
SI solvency ratio
S2 solvency ratio
237%
138%
SCR decomposition
SCR Life Risk
SCR Market Risk
SCR Operational Risk
SCR Counterparty Risk
SCR Total
27,8%
64,6%
3,2%
4,4%
100,0%
Adjustment
Net SCR
19,8%
80,2%

SCR is more than twice required Wft solvency

SCR strongly dominated by market risks

Average tax relief (%SCR) around 20%
QIS5
37
37
QIS5 results life
Tax relief in SCR
Adjustment percentage
30,00%
25,00%
20,00%
15,00%
10,00%
5,00%
0,00%
1
2
3
4
5
6
7
8
9
10
Insurers

Tax relief (%SCR) much higher than for non-life insurance companies

Life insurance companies generally have higher deferred tax liabilities on
their market value balance sheet
QIS5
38
38
QIS5 results life
Available solvency QIS5 vs Wft
[Available Solvency QIS5 -/- Wft ] / Wft Available Solvency
60%
40%
20%
0%
-20%
1
2
3
4
5
6
7
8
9
10
-40%
-60%
-80%
-100%
-120%

Insurers
Movement in available solvency depends on type of business
 Increases in case of large exposure to term insurance / UL business
 Decreases in case of traditional and with profit business
QIS5
39
39
QIS5 results life
Required solvency QIS5 vs Wft
Required SCR / Wft required solvency
600%
500%
400%
300%
200%
100%
0%
1
2
3
4
5
6
7
8
9
10
Insurers
QIS5
40
40
QIS5 results life
SCR decomposition per risk type
SCR breakdown to risk
120%
100%
80%
60%
40%
20%
0%
Operational risk
Life risk
Credit default risk
1
2
3
4
5
6
7
8
9
10
Market risk
Insurers

Market risk is dominant risk type in most cases

Life risk is dominant for companies 7 and 8 as a result of their relatively large term
insurance portfolios
QIS5
41
41
QIS5 results life
Risk margin
Risk margin as % of BE liabilities
25%
20%
15%
10%
5%
0%
1
2
3
4
5
6
7
8
9
10
Insurers

Risk margin (%BE) varies between 2%-6% for majority of life
insurance companies
QIS5
42
42
QIS5 results life
QIS5 vs RiSK2008
Solvency ratio
250%
200%
150%
Risk 2008
100%
QIS5 2009
50%
0%
Average SCR Ratio

Available solvency increased materially due to the allowance for liquidity premium in
discount rates (positive impact)

SCR has increased on average by 20% compared to RiSK2008
QIS5
43
43
Agenda

Introduction

QIS5 results


44
Solvency II
1
2
3
Pillar I
Pillar III
Calculations
on
quantitative
requirements
MCR / SCR
Report
to
supervisors
and
public
How to complete
correct QIS5 template?
How to comply with legal requirements to set
up adequate Solvency II reporting process?
45
Steps used to check actuarial “soundness” of QIS5
1) Using QIS5 tooling to perform QIS5 study

Fill input variables in Triple A QIS5 tooling

Manage complexities with input variables

Perform all kinds of predefined analytical controls

Tool automatically exports data to QIS5 template of CEIOPS / EC
1. WFT accounts
2. Helpertabs
QIS5 tool
Output
3. Scenarios
4. Other inputs
2) Use QIS5 tooling for checking purposes

Import CEIOPS template into QIS5 tooling

Tooling will perform all kinds of analytical controls

QIS5 outcomes for risk monitoring in GRC environment
46
Use QIS5
46
Demo 2
DEMO 2
http://www.youtube.com/watch?v=BXXZd6ZR3wU
47
47
Steps used to check actuarial “soundness” of QIS5

All kinds of analytical controls performed

User of tooling gets immediate view about quality of the study
Analytical Controls
Overeenkomend
Bij benadering overeeenkomend
100%
90%
5%
20%
80%
70%
20%
20%
30%
10%
10%
15%
40%
30%
25%
10%
60%
20%
10%
50%
40%
30%
Niet overeenkomend
60%
70%
80%
60%
20%
65%
50%
50%
10%
0%
Huidige
grondslagen balans
vs balans WFT
staten
Ingevulde Premies
vs Premies WFT
staten
Solvency I
solvabiliteit vs
solvabiliteit WFT
staten
Marktwaarde balans Marktwaarde balans Marktwaarde balans Marktwaarde balans
vs input
vs input
vs input Renterisico vs opslitsing balans
Marktrisico´s
Tegenpartijrisico
en Spreadrisico
en best estimate
voorziening
48
Solvency II
1
2
3
Pillar I
Pillar III
Calculations
on
quantitative
requirements
MCR / SCR
Report
to
supervisors
and
public
How to complete
correct QIS5 template?
How to comply with legal requirements to set
up adequate Solvency II reporting process?
49
Demo 3
DEMO3
http://www.youtube.com/watch?v=48540_nkFWU
50
50
Appendix 1:
Detailed QIS5 results Non-Life
51
Available solvency
[Available Solvency QIS5 -/- Wft ] / Wft Available Solvency
60%
50%
40%
30%
20%
10%
0%
-10%
1
2
3
4
5
6
7
8
9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
-20%
QIS5
52
52
Available solvency: small insurers
€ millions
Available capital (small insurers)
SI a va i l a bl e ca pi ta l
SII a va i l a bl e ca pi ta l
1
2
3
4
5
6
7
8
9
10
Small insurers
QIS5
53
53
Available solvency: medium insurers
€ millions
Available capital (medium insurers)
SI a va i l a bl e ca pi tal
SII a va i l a bl e ca pi tal
11
12
13
14
15
16
17
Medium insurers
QIS5
54
54
Available solvency: large insurers
€ millions
Available capital (large insurers)
SI a va i l a bl e ca pi tal
SII a va i l a bl e ca pi tal
18
19
20
21
22
23
24
25
Large insurers
QIS5
55
55
Required solvency: small insurers
€ millions
Change in required capital
(small insurers)
S1 requi red ca pi ta l
S2 SCR
S2 MCR
1
2
3
4
5
6
8
7
9
10
Small insurers
QIS5
56
56
Required solvency: medium insurers
€ millions
(medium insurers)
S1 requi red ca pi tal
S2 SCR
S2 MCR
11
12
13
14
15
16
17
Medium insurers
QIS5
57
57
Required solvency: large insurers
(large insurers)
€ millions
S1 requi red ca pi tal
SCR
MCR
18
19
20
21
22
Large insurers
23
24
QIS5
25
58
58
SCR decomposition small insurers
€ millions
SCR breakdown to risk type (small insurers)
Opera tiona l ri s k
Underwri ting ri s k - Non-l i fe
Underwri ting ri s k - Hea l th
Counterpa rty defa ul t ri s k
Ma rket Ri s k
1
2
3
4
5
6
7
Small insurers
8
9
QIS5
10
59
59
SCR decomposition medium insurers
€ millions
SCR breakdown to risk type
(medium insurers)
Ma rket Ri s k
11
12
13
14
15
Medium insurers
16
17
QIS5
60
60
SCR decomposition large insurers
€ millions
SCR breakdown to risk type
(large insurers)
Ma rket Ri s k
18
19
20
21
22
23
24
25
Large insurers
QIS5
61
61

Optimaliseren projectmatig werken

Transcription

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