Life & Pension Risk - Risk.net

Cat bonds set for boom year as new investors eye market

Fri, 10 Feb 2012 10:05:32 GMT

Despite a subdued level of activity in 2011, the cat bond market is expected to boom this year as new investors pile in and rates harden in the traditional reinsurance market. Thomas Whittaker reports on how the cat bond market is evolving

Insurers must not be treated like banks in policies to tackle systemic risk – Geneva Association

Thu, 09 Feb 2012 00:09:00 GMT

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Insurance industry helps to stabilise money flows and should not be weakened by regulatory initiatives to address crisis in financial industry, says think-tank

US omitted from second wave of equivalence assessments

Mon, 06 Feb 2012 10:38:38 GMT

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New approach needed for US, says European Commission, as seven countries identified for assessment

Eiopa chairman raises concerns over Solvency II delays

Fri, 03 Feb 2012 00:05:00 GMT

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Bernardino urges rapid vote on Omnibus II and a clear Solvency II timetable

FSA outlines draft guidance on liquidity swap transactions

Thu, 02 Feb 2012 13:06:00 GMT

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Guidelines require notification of deals and improved risk management processes

Cash-rich insurers eye loan books of de-leveraging European banks

Wed, 01 Feb 2012 00:05:00 GMT

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Cash-rich insurers eye loan books of de-leveraging European banks High-quality portfolios could provide attractive long-duration assets, say bankers

FSA guidance on liquidity swaps imminent following meeting with banks and insurers

Tue, 31 Jan 2012 17:07:31 GMT

Risk.net

FSA guidance on liquidity swaps imminent following meeting with banks and insurers Regulator expected to avoid hard rules, but consultation may have been detrimental to market, say bankers

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Tue, 31 Jan 2012 16:23:00 GMT

Risk.net

Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and correlation. If stochastic volatility is introduced, skewness and fat tails can be included in the co-dependence but analytic tractability is lost. Alberto Elices and Jean-Pierre Fouque show how this analytic tractability is preserved through another copula derived from an asymptotic expansion of the correlated processes with stochastic volatility around the Gaussian copula case

American VA providers de-risk to combat market volatility

Tue, 31 Jan 2012 16:21:04 GMT

Risk.net

Staying steady Low interest rates and market volatility are unsettling variable annuity providers in the US. Blake Evans-Pritchard reports on how they are coping in this challenging environment

Economic turmoil taxes market risk models

Tue, 31 Jan 2012 16:12:50 GMT

Risk.net

Treading carefully Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response to the recent economic turmoil

Local regulators grapple with Solvency II implementation

Tue, 31 Jan 2012 15:25:35 GMT

Risk.net

Local solutions National European regulators are moving forward with Solvency II implementation at varying speeds. With Omnibus II still to be finalised, the uncertainties over the rules are creating additional pressures for local regulators. Thomas Whittaker examines the challenges for regulators and what this means for insurers

Market unrest prompts caution over commodities as diversifying asset class

Tue, 31 Jan 2012 15:19:00 GMT

Risk.net

Diverse strategies Life insurers and pension funds have been using commodities as a portfolio diversifier for years. Blake Evans-Pritchard reports on how the asset class is evolving

Strategic risk: RSA’s chief risk officer on applying Solvency II

Tue, 31 Jan 2012 15:14:25 GMT

Risk.net

Strategic risk UK insurance group RSA has embraced Solvency II. Last month, the group was awarded insurance risk manager of the year by Life & Pension Risk’s sister title Risk. Jon Macdonald, RSA’s chief risk officer, tells Laurie Carver how the insurer is using the new regime to guide the strategic direction of the business

Getting to grips with the Orsa challenge

Tue, 31 Jan 2012 15:11:00 GMT

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The Orsa challenge Across Europe insurers are reporting uneven progress in their preparations to meet the Orsa requirements, with many firms struggling to adapt their practices to the new regime. Ellen Davis reports

The volatility challenge

Tue, 31 Jan 2012 14:51:00 GMT

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The volatility challenge

Arguments on artificial volatility dampeners must focus on fundamentals, warns Skinner

Tue, 31 Jan 2012 00:05:00 GMT

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Arguments on artificial volatility dampeners must focus on fundamentals if political consensus is to be reached, warns Skinner Debate on matching and counter-cyclical premiums must not remain linked to needs of specific countries if political consensus is to be reached

Delay to Solvency II is ‘pure speculation’, says European Commission

Fri, 27 Jan 2012 14:51:00 GMT

Risk.net

But MEP Peter Skinner says European Parliament vote cannot be delayed again

FSA guidance on liquidity swaps imminent as meeting with institutions scheduled

Mon, 23 Jan 2012 00:05:00 GMT

Risk.net

Regulator expected to avoid hard rules, but consultation may have been detrimental to market, say bankers

Further delay to Omnibus II as European Parliament takes time for scrutiny

Tue, 17 Jan 2012 00:05:00 GMT

Risk.net

Concerns that Solvency II timetable could be delayed as a result

Rolls-Royce longevity swap highlights growing cross-border appetite of reinsurers

Fri, 13 Jan 2012 00:10:00 GMT

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Rolls-Royce longevity swap highlights growing cross-border appetite of reinsurers US insurers' mortality exposure encourages diversification with UK longevity risks

Solvency II reporting compliance is challenging insurers, survey finds

Thu, 12 Jan 2012 11:14:00 GMT

Risk.net

Reliance on third parties for critical data is key issue

Calls for standard formula calibrations to be reduced further

Thu, 12 Jan 2012 00:10:00 GMT

Risk.net

Calls for standard formula calibrations to be reduced further New risk parameters will increase capital requirements for some business lines

Solvency II asset charges will not stop insurers providing bank funding, say economists

Wed, 11 Jan 2012 00:10:00 GMT

Risk.net

Demand for covered bonds and shorter duration corporate paper likely to increase, according to exclusive analysis by economists at Dutch central bank

Sovereign risk poses greatest threat to European insurers

Tue, 10 Jan 2012 12:00:00 GMT

Risk.net

Sovereign risk poses greatest threat to Euro insurers Eiopa stress test shows threat to insurers of low interest rates

A historical-parametric hybrid VAR

Tue, 10 Jan 2012 11:59:00 GMT

Risk.net

A historical-parametric hybrid VAR