For nylig deltog jeg i en diskussion om værdiansættelse af hensættelserne under Solvens II. Diskussionen kredsede om forskellen mellem P-mål og Q-mål – hvilket kræver en forklaring i sig selv – og hvad der egentlig er mest rigtigt at bruge. Selvfølgelig er det ikke forklaret i Solvens II-regelværket, så det er helt fair at blive Read more about P, Q og solvenshensættelser. Hvad er det egentlig vi snakker om?[…]
I recently attended a conference where the following question came up: when you calibrate an Economic Scenario Generator for computing Solvency II technical provisions, which risk-free interest do you calibrate it to? The risk-free rate as defined by Solvency II, or the one observed in the market? That turns out to be a tricky question… Read more about Regarding cake, your ESG shall (a) consume it, (b) retain it[…]
Most financial institutions are somehow constrained by a budget of risk or capital requirements. Since this in an overall requirement for the business as a whole, it can be hard to reflect the constraint in everyday decisions. Read on to learn how maths can help a lot, and how reality can give you a little Read more about Allocating capital should be beautifully simple. It just needs a slight adjustment to reality[…]
Two weeks ago, I wrote up a little piece on three ingredients to make Solvency II Technical Provisions – and a lot of similar problems – easier. One of those was to choose your random numbers right, which sounds like a contradiction in terms. It turns out, you can do some neat tricks without ruining Read more about Tired of running stochastic scenarios for your technical provisions? You can probably do with a lot fewer[…]
Admitted, technical provisions under Solvency II are never going to be easy. They require loads of data that often hardly exist, methodologies beyond the traditional actuarial curriculum, and technical solutions that are expensive whether bought or developed internally. However, there are ways to take away some of the headache. If your headache comes from delivering Read more about Are Solvency II technical provisions hard? Here are a few tricks to make your life easier[…]