Séminaire – Petit déjeuner – Approximations dans le cadre du calcul de la probabilité de suffisance associée à la marge de risque dans un environnement S II et IFRS 17, par Yuriy KRVAVYCH

Date / Heure
Date(s) - 17/03/2020
8 h 30 - 10 h 30

Emplacement
BNP Paribas Site Bergère - Auditorium Gilles Glicenstein


APPROXIMATIONS DANS LE CADRE DU CALCUL DE LA PROBABILITE DE SUFFISANCE ASSOCI2E A LA MARGE DE RISQUE DANS UN ENVIRONNEMENT S II ET IFRS 17

PROBABILITY OF SUFFICIENCY OF SOLVENCY II RESERVE RISK MARGIN: PRACTICAL APPROXIMATIONS 

Présenté par Yuriy KRVAVYCH, Managing Director at Guy Carpenter

La nouvelle directive Solvabilité II et le futur régime IFRS 17 apportent des modifications importantes au reporting actuel des entités d’assurance, notamment en ce qui concerne l’évaluation des passifs d’assurance. Les assureurs sont tenus d’évaluer leurs passifs d’assurance sur une base corrigée du risque afin de tenir compte de l’incertitude inhérente aux flux de trésorerie découlant de la responsabilité des contrats d’assurance. Alors que la plupart des assureurs basés en Europe sont censés adopter l’approche du coût du capital pour calculer la marge de risque de réserve, l’IFRS 17 impose en outre une indication du niveau de confiance de l’ajustement pour risque.

En l’absence de directives spécifiques sur le calcul du niveau de confiance, le présent document a pour objet d’explorer et d’examiner des moyens pratiques d’estimer le niveau de confiance de l’ajustement pour risque mesuré par la probabilité de suffisance. Le document propose des formules pratiques d’approximation qui permettent d’estimer rapidement la marge de risque implicite de solvabilité pour un passif d’assurance non-vie donné, dont le profil de risque est spécifié par le type et les caractéristiques du passif.

This presentation is based on the award winning paper (2017 Bob Alting von Geusau Prize, AFIR-ERM):

  • Eric Dal Moro and Yuriy Krvavych. Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations. ASTIN Bulletin 47(3), 2017.

Abstract: The new Solvency II Directive and the upcoming IFRS 17 regime bring significant changes to current reporting of insurance entities, and particularly in relation to valuation of insurance liabilities. Insurers will be required to valuate their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the liability of insurance contracts. Whilst most European-based insurers are expected to adopt the Cost of Capital approach to calculate reserve risk margin — the risk adjustment method commonly agreed under Solvency II and IFRS 17, there is one additional requirement of IFRS 17 to also disclose confidence level of the risk margin.

Given there is no specific guidance on the calculation of confidence level, the purpose of this paper is to explore and examine practical ways of estimating the risk margin confidence level measured by Probability of Sufficiency (PoS).

The paper provides some practical approximation formulae that would allow one to quickly estimate the implied PoS of Solvency II risk margin for a given non-life insurance liability, the risk profile of which is specified by the type and characteristics of the liability (e.g. type/ nature of business, liability duration and convexity, etc.), which, in turn, are associated with

  • the level of variability measured by Coefficient of Variation (CoV);
  • the degree of Skewness per unit of CoV; and
  • the degree of Kurtosis per unit of CoV2.

The approximation formulae of PoS are derived for both the standalone class risk margin and the diversified risk margin at the portfolio level.

Link to the paper

 

Yuriy Krvavych, PhD

Managing Director, Guy Carpenter

Strategic Advisory EMEA, Risk Intelligence and Capital Solutions

Yuriy Krvavych is a Managing Director within the EMEA Strategic Advisory of Guy Carpenter, with specific responsibility for the Risk and Capital Advisory offering. His main areas of focus cover a wide range of ERM advisory services including internal capital model development and model use in supporting strategic capital optimisation.

Yuriy has over eighteen years of experience working in general insurance and has delivered a number of strategic risk and capital projects. Prior to joining Guy Carpenter, Yuriy was a Senior Manager at PwC’s Actuarial Services in London, UK providing consulting services to the Lloyd’s market and London company market in Enterprise Risk Management including Risk and Capital Modelling, Model Validation, Advanced Risk Analytics and Reporting, Capital Model Use and Solvency II.

Prior to PwC, Yuriy worked at Insurance Australia Group (IAG) in Sydney, Australia as a DFA and Capital Modelling Manager responsible for providing actuarial consulting services to the Group and its subsidiaries. Prior to IAG, he worked at Hollard Insurance Australia where he led the actuarial function.

He holds PhD in Mathematics from Kiev University and PhD in Actuarial Science from the University of New South Wales (Sydney). Author of several scientific publications, Yuriy is a frequent speaker at actuarial and mathematical conferences. He is also globally active in actuarial research and is currently serving on the ASTIN Board of the IAA.

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