Information Matrix

The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union. 

Establishing the capital requirement for longevity trend risk is a thorny problem for insurers with substantial pension or annuity payments.

There are several ways of looking at longevity trend risk, as covered in our recent seminar. However, regardless of how you choose to look at this risk, there are some pitfalls to watch out for.

We previously ran a seminar on stochastic projection models for longevity risk. Our follow-up seminar focuses on specific aspects of ICAs and Solvency II.

When an insurer or reinsurer takes on a new insurance risk, there are two things of special interest: the best estimate of the risk and the tail risk.

Insurers need to have internal models for their major risks. Indeed, both the Individual Capital Assessment (ICA) regime in the UK and the pending Solvency II rules in the EU demand that insurers have good models for their risks.

In an earlier blog I wrote about how stochastic volatility in run-off increases with age. This applies when you exactly know (or think you know) the current and future mortality rates.

Insurers and reinsurers throughout the EU are facing up to the implementation of Solvency II, a radical overhaul of regulatory standards for insurance business.  Recently we explored how much Solvency II demands stochastic models. 

Solvency II is a major overhaul of the reserving rules for insurers throughout the European Union.  An important consideration for annuity writers is how it will relate to longevity trend risk.

In my previous post I illustrated the effects of over-dispersion in population data. Of course, an actuary could quite properly ask: why use ONS data?