This course provides a unique opportunity to obtain a broad view of the latest thinking on Solvency II through a hands-on analysis of key challenges and solutions. A combination of leading academics and top industry professionals will lecture on key aspects of the field and important new developments.
Day 1
Solvency II Framework, Latest Developments and the Way Ahead
Where have we come from?
Where has Solvency II come from? Firms’ and regulators’ dissatisfaction with the status quo
Three pillar approach: explaining the structure of Solvency II
Rules versus principles as viewed from the UK and continental Europe
Competitive pressures within the European insurance market and achieving a ‘level playing field’
Where we are now and where we’re going
How the proposals will affect the firms: Quantitative Impact Studies (QISs)
What to expect from QIS4
Comparisons with the Swiss Solvency Test and the FSA’s Individual Capital Assessment (ICA)
How the rest of the world does it
Internal Models
Regulators’ perspective
Determining the SCR and MCR
Obtaining approval of internal models: what supervisors are looking for
Why internal models are not a panacea
Costs and benefits of the models approach
Insurers’ perspective on compliance
Implementation issues: evidence and documentation
Risks and models for life insurers
Risks and models for non-life insurers
How will smaller insurers fit in
Day 2
Solvency II and Accounting Standards
Interplay between Solvency II and accounting standards
Is Solvency II in line with IFRS4 phase II?
Transparency requirements
Accounting volatility and capital requirements
Market-consistent accounting, SCR and MCR
Valuation of liabilities and recognition of profits
Impact of options and guarantees
How to implement IAS39 optimally
Asset Liability Management
ALM and Solvency II: presentation and exercise
MCR, SCR and optimal asset allocation
The role of liability-driven investment
Solvency II and risk transfer tools
Lessons from the recent market turmoil
Day 3
Capital Allocation: Tools and Challenges
Capital modelling tools
Models currently available in the life and non-life industry
Internal capital: group software exercise
How to assess capital
Model parameters, calibration and capital tuning
Admissible assets
Maintaining capital and monitoring its performance
Impact on new business and product performance
Capital Allocation: Opportunities
Reinsurance & ART
Raising capital under Solvency II
Treatment of reinsurance and ART
Risk transfer and hedging
Group supervision
Third country groups and third country operations
Group diversification and movement of capital
Key simplification for smaller groups
Results from QIS3