Hostname: page-component-8448b6f56d-cfpbc Total loading time: 0 Render date: 2024-04-23T18:45:35.381Z Has data issue: false hasContentIssue false
  • English
  • Français

ERM for insurance companies – adding the investor's point of view

Published online by Cambridge University Press:  13 October 2011

A. N. Hitchcox ,
P. J. M. Klumpes ,
K. W. McGaughey ,
A. D. Smith  and
N. H. Taverner
Get access Rights & Permissions [Opens in a new window]

Abstract

A major outcome of ERM activities in insurance companies has been the bringing together of all of the key risks in the company, to be managed collectively in a holistic fashion. The authors of this paper believe that an ERM framework also needs to look beyond the company, and have regard to the risk management needs of investors, from the point of view of the contribution of the insurance company to the overall risk and reward of their total investment portfolios. To meet these needs, the ERM framework needs to provide sufficient information on topics such as systematic risk, potential correlations of earnings from future new business with macroeconomic trends, other risks to franchise value, and sources of model risk within the company. The paper does not provide solutions for the issues described above; but limits itself to describing and discussing the direction for some important new initiatives in ERM activities.

Keywords

Risk ManagementEnterprise Risk Management (ERM)Systematic RiskFranchise ValueBuffer CapitalCost of CapitalReplicating PortfolioParameter RiskModel RiskAgency RiskRisk GovernanceRisk Disclosure
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 16 , Issue 2 , 25 November 2011 , pp. 341 - 384
Copyright
Copyright © Institute and Faculty of Actuaries 2011

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Amlin (2008). Financial Statements. http://www.amlin.co.uk/aml/financial/financial_news/financial_reports/Google Scholar
CEIOPS (2009). CEIOPS Members will run EU-wide stress test in the insurance sector in December 2009. http://www.ceiops.eu/content/view/26/30/, then search for date 30/10/2009 [accessed December 2009].Google Scholar
COSO (2004). Enterprise Risk Management – Integrated Framework. www.coso.org/../ERM/COSO_ERM_ExecutiveSummary.pdf [accessed December 2009].Google Scholar
FRC (2009a). Financial Reporting Council (04 June 2009). Louder than Words. http://www.frc.org.uk/press/pub1994.htmlGoogle Scholar
FRC (2009b). Accounting Standards Board (29 October 2009). Rising to the challenge. http://www.frc.org.uk/asb/press/pub2148.htmlGoogle Scholar
Graham, B., Dodd, D. (1940). Security Analysis. Wiley.Google Scholar
Griffiths, J., Imam-Sadeque, F., Ong, A., Smith, A.D. (1996). Multi Factor Techniques in Active Quant Models. Report of the Quant Techniques Working Party.Google Scholar
Hancock, J., Huber, P., Koch, P. (2001). The economics of insurance, Swiss Re. http://media.swissre.com/documents/pub_economics_of_insurance_en.pdfGoogle Scholar
Hitchcox, A.N., Hinder, I.A., Kaufman, A.M., Maynard, T.J., Smith, A.D., White, M.G. (2006). Assessment of Target Capital for General Insurance Firms. British Actuarial Journal, 13, 81–183.CrossRefGoogle Scholar
IAA (2008). Practice Note on Enterprise Risk Management for Capital and Solvency Purposes in the Insurance Industry. http://www.actuaries.org.uk/sites/all/files/documents/pdf/iaapracticenote.pdfGoogle Scholar
Munich Re (2008). Financial Statements. http://www.munichre.com/en/ir/publications/reports/default.aspxGoogle Scholar
Oechslin, J. (2008). CRO, Munich Re. IIL Lecture on ERM, 13 February 2008. Private document.Google Scholar
Prudential (2008). Financial Statements. http://www.prudential.co.uk/prudential-plc/investors/financialreports/2008/Google Scholar
PwC 2009. “Making sense of the numbers”. http://www.ukmediacentre.pwc.com/content/, then search for date 25/11/2009 [accessed November 2009].Google Scholar
Rountree, B., Weston, J., Allayannis, G. (2008). Do Investors Value Smooth Performance? Journal of Financial Economics. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1105077CrossRefGoogle Scholar
Smithers, A. (2009). Wall Street Revalued: imperfect market and inept central bankers. www.smithers.co.uk/files/Wall_Street_Revalued_info.pdfGoogle Scholar
Swiss Re (2008). Financial Statements. http://www.swissre.com/pws/investor%20relations/corporate%20reporting/reports/annual%20reporting%202008/index.htmlGoogle Scholar
Varnell, E.M. (2009). Economic Scenario Generators and Solvency II. British Actuarial Journal, 16, 121–159.Google Scholar
Walker, D. (2009). A review of corporate governance in UK banks and other financial industry entities. HM Treasury. www.hm-treasury.gov.uk/d/walker_review_consultation_160709.pdfGoogle Scholar