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Life Insurance Risk Management Essentials / by Michael Koller
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: EAA Series | SpringerLink BücherPublisher: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011Description: Online-Ressource (XVIII, 360 p. 70 illus., 60 illus. in color, online resource)ISBN:- 9783642207211
- 330.015195
- 657.836
- HG8011-9999
- HG8835
Contents:
Summary: What is Risk Management -- The role of the Balance Sheets and of Capital -- Accounting Principles -- Risk Appetite and Tolerance -- Key Insurance Processes and their Risks -- Financial Risks and their Modelling -- Insurance Risks -- Operational Risks -- Capital Models and Integrated Risk Management -- Risk adjusted performance Metrics -- Risk Management in a Group and Intra-group Transactions -- Products and their Risks -- Emerging Risks -- Regulatory view on Risk Management: Solvency II -- Governance and Organisation -- A Stochastic Processes -- B Application of the Markov model to Life Insurance -- C Abstract Valuation -- D An Introduction to Arbitrage Free Pricing -- E An Introduction to Stochastic Integration -- F CERA Comparison.Summary: The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes and their risks are presented and analysed. This more general treatment is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central. Next, the risks of insurance companies and of special insurance products are looked at. The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and risk management from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g. probability theory, stochastic processes, Markov chains and a tochastic life insurance model based on Markov chains. Moreover, the appendices look at the mathematical formulation of abstract valuation concepts such as replicating portfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supported by tables and figures.PPN: PPN: 1650944527Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SXMS | ZDB-2-SMA
Introduction; Contents; List of Figures; 1 What is Risk Management; 1.1 Introduction; 1.1.1 Raison D'être of Risk Management; 1.1.2 The Role of Risk Management; 1.1.3 Three Lines of Defence in Risk Management; 1.2 Principles; 1.2.1 Risk Categories; 1.3 Risk Management Process; 1.4 Risk Management Policies and Risk Landscape; 2 The Role of the Balance Sheets and of Capital; 2.1 The Balance Sheet of an Insurance Company; 2.2 Role of Valuation; 2.2.1 Valuation Methods; 2.2.2 Principle of No Arbitrage; 2.2.3 Reconciliation of Balance Sheets; 2.3 Bonds; 2.4 Shares; 2.5 Other Assets
2.6 Insurance Liabilities2.6.1 Life Insurance Model; 2.6.2 Capital Insurance; 2.6.3 Pure Endowment; 2.6.4 Annuities; 2.6.5 Cash Flows and Valuation; 2.6.6 Primer on Life Insurance Risks; 2.7 Shareholders Equity and Capital; 3 Accounting Principles; 3.1 Statutory Accounting; 3.2 IFRS and US GAAP Accounting; 3.3 Embedded Value and Economic Accounting; 3.3.1 Economic Valuation / Market Consistent Embedded Value; 3.3.2 Valuation Methodology Revisited; 3.4 Formulae; 3.5 Examples; 3.5.1 Annuity; 3.5.2 Capital Protection; 4 Risk Appetite and Tolerance; 4.1 Risk Capacity and Risk Appetite
4.2 Limit Systems4.3 Hedging Strategies and Response Strategies; 4.4 Introduction: Use of Capital; 4.4.1 Definition of the Risk Factors Considered; 4.4.2 Probability Density Functions per Risk Factor; 4.4.3 Valuation Methodology; 4.4.4 Risk Measures; 4.5 Risk Measures; 4.5.1 Value at Risk (VaR); 4.5.2 Tail Value at Risk (TVaR); 4.5.3 Relationship Between Value at Risk and Expected Shortfall; 4.5.4 What Is a Stress Scenarios Mathematically; 5 Key Insurance Processes and Their Risks; 5.1 Capital Allocation and Planning Process; 5.2 Economic Capital Calculation Process
5.3 ALM and Bonus Setting Process5.4 Product Design Process; 6 Financial Risks and Their Modelling; 6.1 The Model Underlying Financial Risks; 6.2 Approximations; 6.3 Concrete Implementation; 6.4 Interpreting the Results; 6.4.1 Notation; 6.4.2 Scenarios; 6.4.3 What Can and What Cannot Be Done with This; 6.5 Reporting Example; 6.5.1 Summary; 6.5.2 Decomposition of VaR; 6.5.3 Figures; 6.5.4 Scenarios; 6.5.5 ICA Capital; 6.5.6 Stress Tests; 6.5.7 Limits; 6.6 Summary Reporting Example; 7 Insurance Risks; 7.1 Method for Allocation of Capital; 7.1.1 Steps Required
7.1.2 Probability Density Functions per Risk Factor7.1.3 Diversification; 7.2 Stochastic Models Used; 7.2.1 Mortality; 7.2.2 Longevity; 7.3 Concrete Example: An Annuity Portfolio; 7.3.1 Formulae; 7.3.2 Application to Insurance Linked Securities; 7.3.3 Statistics; 7.3.4 Allocation of Risk Capital in Proportion to Premium; 7.3.5 Reporting Templates; 8 Operational Risks; 8.1 Introduction; 8.2 Risk Appetite; 8.3 Risk Measurement and Exposure; 8.4 Controlling Process in General and Embedding Risk Policies; 8.4.1 Strategy & Planning; 8.4.2 Distribution Management
8.4.3 Brand & Marketing Communications
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