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Séminaire Solvabilité II - Solvency II Seminar

• Introduction
• Bernard Spitz

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Séminaire Solvabilité II - Solvency II Seminar

• Points de vue croisés sur la question du
  calibrage global et du degré dharmonisation des
  futures exigences prudentielles
• Exchange of views on the calibration and
  harmonisation of future prudential requirements
• Gabriel Bernardino
• Jean-Paul Gauzès
• Karel Van Hulle

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Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur la mise en uvre de Solvabilité
  II par les superviseurs nationaux
• Round table on the implementation of Solvency II
  at national market level
• Olivier Bäte
• Gérald Harlin
• Antoine Mantel
• Thomas Steffen

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FFSA Conference Paris Solvency II at national
level

• Dr. Thomas Steffen
• Chief Executive Director
• Insurance and Pension Fund Supervision
• BaFin

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Sol II implementation 3 Priorities
BaFin pillars
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Sol II implementation Training and cooperation
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Sol II implementation Qualitative standards
Riskidentification
Riskmonitoring
Risksteering
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Sol II implementation Internal models
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Solvency II implementation
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• Thank you

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Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur la mise en uvre de Solvabilité
  II par les superviseurs nationaux
• Round table on the implementation of Solvency II
  at national market level
• Olivier Bäte
• Gérald Harlin
• Antoine Mantel
• Thomas Steffen

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Conference Solvabilité IIde la FFSA
Oliver Bäte, CFO Allianz SE

• 3 décembre 2009

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Realignment of European financial supervision
for insurers
Business model Strong distinctions between banks
and insurers
European supervisorypackage
1
2
Supervisionofinsurers
Competent and qualified supervisors
3
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Business models of banks and insurers differ
significantly
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Business model has to be reflected in regulation
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Characteristics of local insurance business in
Germany and France
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Selected examples
Germany
France

• Equalization reserve (Property Casualty)
• RfB in participating Life business with equity
  character
• Significant and rising longevity risk (life
  insurer)
• Options and guarantees (life insurance) with
  very long maturity

• Minimum guarantees very low (Life)
• Segregated funds matched by books of assets
  (Life)
• Arbitrage option for customers (unit linked
  fund/guaranteed fund)
• Surrender option with no penalities (Life)

Peculiarities of national markets have to be
reflected in regulation
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Interdependencies of European Financial
Supervision
2

• President Europ. Central Bank
• 27 National Central Banks
• EU Commission (1 Rep.)
• Chair Persons of ESAs

European Systemic Risk Board (ESRB)
Europe (macro-prudential supervision)

• Emergency measures
• Settlement of disputes
• Enforcement ofEuropean Law

European Securities and Markets Authority (ESMA)
European Banking Authority (EBA)
European Insurance and Occupational Pensions
Authority (EIOPA)
ESA (micro-prudential supervision)

• group supervision (t.b.d.)
• Approval of internalmodels (t.b.d.)
• Reporting processes

Nations (micro-prudential supervision)
NationalInsurancesupervision
NationalBankingsupervision
NationalSecuritiessupervision
Realignment of European Financial Supervision
needs a strong international representation of
insurance supervisors National supervisor has to
consider the respective business model
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Solvency II requires specific regulatory skills
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Detailed knowledge of business model

• The approval of internal models requires detailed
  knowledge of business modeland individual risks
  of supervised companies
• Internal models have to be approved under time
  pressure
• Discussions on European level require experienced
  and qualified authorities

Knowledge of methodology

• Solvency II has been developed in accordance to
  Basel II
• Supervisory Authorities are experienced in
  methods and models
• Transferability of experience in methods and
  models must be recognized under specific aspects
  of insurers business models
• High qualification (and continuity) of staff and
  adequate compensation are required

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Backup
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Timeline for approval of internal model at Allianz
Activity
Year
2011
2010
2009
Q3
Q1
Q2
Q4
Q3
Q2
Q1
Q4
Q3
Q2
Q1
Q4
Finish calculation reporting platform
Calibration runs
SII model change approval
calculation reporting platformgoes live
Milestones
OE preparation

• 1st audit
• Internal audit focus on
• Group risk flagship OEs
• Focus on processes controls, models
• External auditer GAUD

Internal models
Credit Riskdata quality
Internal models
OE remediation of audit findings
Internal models
Credit Riskdata quality
2nd audit, incl. Wave 2
Aggregation
Life cash flow models
Market risk
Credit risk
BaFin internal model reviews
PL under-writing risk
2 years of audited results, including movement,
in preparation for BaFin final approval
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Risk Projects 2009 Activities
Group activity
S II project

• 4 Parallel runs of the enhanced framework
• Market data (valuation rates, vols, correlations)
  available
• Scenario generators real world, risk neutral to
  be set up
• Monte Carlo risk aggregation
• On-line reporting and ad hoc scenario analysis
• Well defined interface for feeder systems
• Including replicating portfolios for life
  insurance market risk

Risk Analysis Infrastructure Calculation
Reporting

• Extensions to model 1 year reserve / premium risk

Individual Risk Systems
PC Actuarial Risks

• Migrate credit portfolio modeling to calculation
  platform
• Improve data quality
• Develop a web-based credit risk reporting
  platform

Credit Risk

• In compliance with Risk Infrastructure interface
  requirements

Life Cashflow Models

• Define data loss collection standards
• Implement platform and capital modeling

Operational Risk
Pillar II

• Set up model validation parameter committee
• Finalize model control principles
• Enhance risk diagnostic scan for governance and
  use-test

Bulk of work in 2009 focused on Pillar 1 Pillar
2 activities
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Frankreich Aufsichtssysteme
European Union
Ministry of theEconomy Financeand
Industry (MINEF)
Deposit Guaranty Funds(FGDS)
General Directorof the Treasury
Board of FinancialSector Authorities (CACESF)
Bank of France (BDF)
Advisory Committeeon Legislation andFinancial
Regulation (CCLRF)
Insurance and MutualSocieties SupervisoryAuthori
ty (ACAM)
Financial MarketsAuthority (AMF)
BankingCommission (CB)
NoteGrey dotted lines indicatea cooperative
relationship
merger expected for 1H 2010
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Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur la mise en uvre de Solvabilité
  II par les superviseurs nationaux
• Round table on the implementation of Solvency II
  at national market level
• Olivier Bäte
• Gérald Harlin
• Antoine Mantel
• Thomas Steffen

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Implementing Solvency II
3 December 2009
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Solvency II Directive brings significant positive
features

• The Solvency II Directive incorporates a range of
  key features. AXA, which started to develop
  internal model from 2001, puts forward the
  following points

• Use of a transparent, risk-based economic
  approach
• Market-consistent approach for valuing all assets
  and liabilities with no implicit prudential
  margins
• Recognition of diversification, risk mitigation
  and risk absorbing items
• Embedding risk culture throughout the
  organization
• Fostering ERM and, in this context, encouraging
  companies to develop internal models accurately
  reflecting their risk profile
• Effective Group supervision which allows the
  assessment of consolidated risk profile in line
  with groups economic reality Predominant role
  of the Group supervisor
• Supervisory convergence among all European
  regulators to safeguard level playing field

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Outputs from internal models
Required Capital tailored to Risk Profile
Enhanced tool improving support to business
steering
Fostering Risk Management role

• Can be customised to an individual companys risk
  profile and risk management processes
• Inability for standard approach to reflect
  company specific data and underwriting processes
• Required capital consistent with internal
  economic capital

• Improved pricing and risk management
• Recognition of natural hedges within different
  parts of the business, individual hedging and
  reinsurance strategies
• Consistent risk adjusted return framework
• Enhanced focus on already implemented EEV models
  and their use as major KPI.
• Contributes to capital allocation process (lines
  of business / risk type)

• Enables implementation of consistent risk
  appetite framework and processes
• Serves increasing demand from shareholders,
  analysts and rating agencies
• Provides information about distribution of
  outcomes and not single reference point
• More effective Governance discussion with
  supervisors

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We are organised and committed to get AXA ready

• Project governance in place with Group local
  sponsors and project managers nominated,
  operating central local steering committees
• Harmonised work streams on all pillars with clear
  objectives and calendar
• Solvency II Board, chaired by Group CFO, setting
  pace and direction and promoting
  coordination/communication of local progress and
  issues

Solvency II Board
Frequency
8 weeks
Objectives of Solvency II Board
Sponsor
Group CFO
Global Project Follow-up
Information from entities
Information on Group SII Strategy
PMO
Global Group PMO
Global timeline, Budget consolidation, risks,
Next months agenda
Issues difficulties _______________ Progress
report, share of best practices
______________ Local authorities
requirements ________________

• Instructions / requirements
• Answer to CP
• GMS SII project information (STEC)

Attendees
Group
Local
Finance Control
Risk Management
Accounting
Finance team
Legal
Audit
IT
European Affairs
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Timely approval of our internal model is key

• Internal model developments initiated back in
  2001.
• Preliminary exchanges with supervisors on
  internal model started in Q4 2007. Regular
  meetings organised since then.
• Main Next Steps
• Organise and complete independent internal review
• Define and organise pre-approval steps with
  supervisors
• Define and Organise final approval procedures
• AXA Group challenges coordinate agenda between

2010 / 2011
2012
Group central functions Local operations
Group Supervisor Local Supervisors
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Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur la mise en uvre de Solvabilité
  II par les superviseurs nationaux
• Round table on the implementation of Solvency II
  at national market level
• Olivier Bäte
• Gérald Harlin
• Antoine Mantel
• Thomas Steffen

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Séminaire Solvabilité II - Solvency II Seminar

• Cocktail Déjeunatoire / Lunch break

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Séminaire Solvabilité II - Solvency II Seminar

• Conséquences pour la profession actuarielle
• Consequences for the actuarial profession
• Thomas Béhar
• Bruce Maxwell

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Solvency IIConsequences for the Actuarial
Profession

• Bruce Maxwell
• Chairman, Groupe Consultatif Actuariel Européen
• FFSA Conference          Paris, 3 December 2009

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Groupe Consultatif Actuariel Européen

• Established in 1978 to represent actuarial
  associations in the countries of the European
  Union (EU)
• 9 founding countries, 12 associations
  -Belgium Italy (2)Denmark LuxembourgFrance
  (2) NetherlandsGermany United Kingdom (2)
  Ireland

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Membership categories

• Full
• Member state of EU, or other European state,
  meeting professionalism criteria
• Observer
• Member state of EU, or other European state, but
  not meeting criteria for Full membership

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Criteria for membership - 1

• Full
• Code of conduct reflecting at least the Groupes
  Code of Professional Conduct
• formal disciplinary process (within 18 months of
  application)
• accessibility of complaint process to anyone
  affected by members work and his/her
  professional peers
• availability of due defence process
• independent and objective formal appeal process
• definition of appropriate sanctions

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Criteria for membership - 2

• If standards of practice are recommended by
  applicant association, an appropriate
  promulgation process must be in place meeting the
  following criteria
• exposure of proposed standards to members and,
  where relevant, to third parties for comment
• consideration of comments on the exposure draft
• promulgation of standards by an authority vested
  with adequate powers
• publication of standards and distribution to
  practitioners
• Must comply with minimum education standards
  (Core Syllabus)

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Membership - 1

• Current membership - 30 Full Member
  associations (27 countries)6 Observer Member
  countriesTotal 33 countries, 36
  Associations
• Represents nearly 18,000 actuaries

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Membership - 2

• Full Member AssociationsAustria Italy (2)
  Belgium Latvia Cyprus Lithuania Czech
  Republic Luxembourg Denmark Netherlands
  Estonia Norway Finland Poland
  France Portugal Germany Slovakia
  Greece Slovenia) Hungary Spain (2)
  Iceland Sweden Ireland Switzerland Unite
  d Kingdom (2)

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Membership - 3

• Observer MembersBulgariaChannel
  IslandsCroatiaRomaniaTurkeyUkraine

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Mission

• Originally -
• to provide advice and opinions to various
  organisations of EU (Commission, Council of
  Ministers, Parliament)

• Now more proactively -
• a focal point for communication on professional
  and technical matters among all European
  actuarial associations, but not restricted to
  European issues

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Who we relate to

• European Commission DGs -
• Internal Market
• Employment Social Policy
• Taxation Customs Union
• CEIOPS (EU Supervisors)
• European Pensions Forum
• CEA
• EFRP
• CRO Forum, CFO Forum
• Others

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In practice ...

• regular submissions and bilateral meetings with
  Commission on pensions, insurance and financial
  risk matters
• raising awareness of actuarial profession
• coordinating and promoting more pan-European
  actuarial profession -
• Mutual Recognition Agreement
• Code of Conduct
• Core Syllabus
• programme of Colloquia and Summer Schools

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Examples of significant Groupe material

• Solvency II (including Glossary of terminology)
• report on system of actuarial principles for
  valuation of assets/liabilities of institutions
  for retirement provision - requested by
  Commission in drafting IORP Directive
• advise on technical issues relating to pensions
  portability
• gender differentiation in insurance
• Groupe recommendations on actuarial principles
  and technical reserves for life assurance formed
  basis for 3rd Life Directive
• Note Groupe Consultatif is an independent
  professional organisation, not an industry lobby
  group

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Solvency II Governance Framework
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Solvency II Roles and responsibilities
System of governance
Well defined, transparent and consistent lines of
responsibilities, appropriate segregation of
duties
Criteria for key functions at all time fit and
proper
Internal control (three lines of defence)
Own risk and solvency assessment (ORSA)
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Solvency II Specified Functions
Board
Risk Management Function
Internal Control
Actuarial Function
Internal Audit
Risk Modelling Function
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Morgan / Olesen - December 2008

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Morgan / Olesen - December 2008

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Actuarial Function - Level 1 Text

• Article 48(1)
• Article 48 was previously article 47 but was
  renumbered in latest version of the Directive

(a) to coordinate the calculation of technical
provisions (b) to ensure the appropriateness of
the methodologies and underlying models used as
well as the assumptions made in the calculation
of technical provisions (c) to assess the
sufficiency and quality of the data used in the
calculation of technical provisions (d )to
compare best estimates against experience (e) to
inform the administrative or management body of
the reliability and adequacy of the calculation
of technical provisions (f) to oversee the
calculation of technical provisions in the cases
set out in Article 81 (g) to express an opinion
on the overall underwriting policy (h) to
express an opinion on the adequacy of reinsurance
arrangements (i) to contribute to the effective
implementation of the risk management system in
particular with respect to the risk modelling
underlying the calculation of capital
requirements and to ORSA
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Actuarial Function - Level 1 Text

• Article 48(2)

The actuarial function shall be carried out by
persons who have knowledge of actuarial and
financial mathematics, commensurate with the
nature, scale and complexity of the risks
inherent in the business of the insurance or
reinsurance undertaking, and who are able to
demonstrate their relevant experience with
applicable professional and other standards.
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CEIOPS Advice (Commission L2 Article 10)

• The advice addresses 3 areas
• Development of European Actuarial Guidelines
• Tasks to be undertaken by the Actuarial Function
• Reporting by the Actuarial Function
• But first when is an actuary not an actuary?

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When is an actuary not an actuary?

• Undertaking to decide?

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European Actuarial Guidelines
3.328 European actuarial guidelines shall be
developed. CEIOPS shall issue such European
actuarial guidelines with respect to the
actuarial methodologies and techniques to be used
in determining technical provisions 3.329 The
process of developing guidelines shall be
transparent and include the approval/endorsement
by CEIOPS of the guidelines developed by the
relevant expert groups and professional bodies,
following a period of consultation. 3.330 The
process shall involve participants with
appropriate knowledge and experience of actuarial
issues and shall represent in balanced
proportions the insurance industry, the actuarial
profession and the academic community.
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European Actuarial Guidelines

• The explanatory text refers to technical
  standards.
• The Groupe Consultatif developed a comprehensive
  paper titled Professional Standards for the
  Actuarial Function under Solvency II which it
  submitted to CEIOPS at end September espousing
• Public Interest Standards
• Qualification Standards
• Ethical Standards
• Governance Standards
• Communication Standards
• Technical Standards
• Interpretative Standards
• Technical Implementation Standards
• The Groupe Consulatif is meeting CEIOPS in mid
  December to discuss.

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Tasks to be undertaken
3.332. In coordinating the calculation of the
technical provisions the actuarial function shall
at a minimum a) Apply methodologies and
procedures to assess the sufficiency of technical
provisions ensuring that their calculation is
consistent with the underlying principles b)
Assess the uncertainty associated with the
estimates c) Produce judgement whenever this is
needed, making use of appropriate information and
experience of the persons that are in charge of
the function d) Ensure that problems related to
the calculation of technical provisions arising
from insufficient data quality are dealt with
appropriately and that, where it is impracticable
to apply common methods of calculating technical
provisions because of insufficient data quality,
the most appropriate alternatives to common
methods are found, taking into consideration the
principle of proportionality ... continued
overleaf
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Tasks to be undertaken
e) Ensure that homogeneous risk groups for an
appropriate assessment of the underlying risks
are identified f) Consult relevant market
information and ensure that it is integrated into
the assessment of technical provisions g)
Compare and justify any material differences
among the estimates for different years and h)
Ensure that an appropriate assessment of options
and guarantees embedded in liabilities is
provided.
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Tasks to be undertaken

• Other points addressed, which relate to technical
  provisions

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Tasks to be undertaken

• Underwriting
• Opinion required on adequacy of premium rates
• Similar to current life Appointed Actuary
  requirement
• Opinion should include consideration of
  inflation, legal risk, change of mix,
  anti-selection and adequacy of no claims bonus
  systems.
• Reinsurance
• Opinion required on
• Adequacy of reinsurance arrangements
• Expected cover under stress scenarios
• Adequacy of calculation of technical provisions
  arising from reinsurance
• Actuarial Function must be objective and
  independent

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Actuarial Function Reporting

• Must provide written report to Board at least
  annually
• Document tasks undertaken.
• Clearly state any shortcomings identified.
• Make recommendations as to how deficiencies could
  be remedied.
• Explanatory text points of interest
• CEIOPS does not intend to prescribe report
  structure or content.
• A full or partial integration of the Actuarial
  Function and the Risk Management Function is
  permitted.

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Summary

• Governance requirements are as important as
  quantitative requirements
• A lot of work is required in order to be ready
  for implementation
• Review organisational structure
  responsibilities
• Develop document various written strategies,
  policies procedures and plans required
• Review outsourcing arrangements
• Develop and embed risk management system into the
  organisation
• including ORSA
• On an ongoing basis
• Review written strategies, policies procedures
  and plans
• ORSA process

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Solvency II Role of the Actuary

• The role of actuaries is specifically recognised
  in the Level 1 text
• There is a danger that actuaries could be
  pigeon-holed (boxed-in) to discharge specific
  tasks
• but the Actuarial Function can be partially or
  fully integrated with Risk Management Function
• Big opportunity for actuaries to be become risk
  managers
• Development of European Actuarial Guidelines
• New area - the devil will be in the detail
• Role of local guidance remains to be seen

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Numbers of Actuaries GC Survey 2008

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Consequences for the Actuarial Profession

• Deliver Article 48
• Life / Non-Life / Health
• Insurance / Reinsurance
• European Standards
• Link to other professionals and experts
• Communication, Communication, Communication
• Opportunities to define Role of the Actuary or
  How actuarial skills, judgement and
  professionalism can add value to organisations
• Actuarial Function
• Risk Management
• Other areas

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Consequences for Users of Actuaries

• CHANGE MUST OCCUR
•  
• ACTUARIES WILL ADAPT TO THE NEW WORLD
•  
• USERS SHOULD TAKE THE OPPORTUNITY TO EXTRACT BEST
  VALUE FROM HIGHLY COMPETENT AND PROFESSIONAL
  RESOURCES
• DONT BOX THEM IN

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Groupe Consultatif Actuariel Européen
Thank you for your attention
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Séminaire Solvabilité II - Solvency II Seminar

• Conséquences pour la profession actuarielle
• Consequences for the actuarial profession
• Thomas Béhar
• Bruce Maxwell

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SEMINAIRE SOLVABILITE 2 de la FFSA

• Solvabilité II une (r)évolution sans précédent
• Une contribution proactive des Actuaires pour une
  réussite collective

Thomas BEHAR Président
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1. Chiffres clés
Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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1. Chiffres clés
Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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2. LInstitut participe aux travaux de
préparation du nouveau cadre prudentiel

• Objectifs
• - Contribuer à lédification des futures normes
  prudentielles sur les plans technique et
  professionnel
• Réalisations 2009
• - Le CEIOPS a émis 3 vagues de consultations sur
  le niveau 2 de la réglementation. LInstitut a
  créé des groupes de travail internes pour
  répondre directement à chaque consultation
  modèle interne, rôle des actuaires, TP SCR.
• - LInstitut participe aux réunions du Groupe
  Consultatif Actuariel Européen et contribue aux
  réponses du Groupe. Il vérifie que les réponses
  du Groupe reflètent bien une vision commune.
• - LInstitut relaie les positions techniques de
  la Place de manière indépendante (exemple le
  SCR equity).

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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2. LInstitut participe aux travaux de
préparation du nouveau cadre prudentiel le SCR
Equity
SOLVABILITE II
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2. LInstitut participe aux travaux de
préparation du nouveau cadre prudentiel

• Réalisations 2009 (suite)
• - LInstitut privilégie, dans ses réponses
• - la cohérence et lopérationnalité du
  dispositif prudentiel, notamment sur le sujet de
  la validation des modèles internes,
• - la clarté des responsabilités des acteurs
  dans le nouveau cadre prudentiel,
• - la reconnaissance des Actuaires comme
  titulaires naturels mais non exclusifs des
  fonctions risk management et actuarielles,
• - la possibilité de recourir à
  lexternalisation pour exercer ces fonctions.

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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3. LInstitut prépare la profession actuarielle
au nouveau cadre prudentiel

• Objectifs
• - Préparer la profession actuarielle à la mise
  en uvre dune fonction actuarielle et dune
  fonction risk management de qualité en quantité
  suffisante
• Réalisations 2009
• - Poursuite de la hausse du nombre dactuaires
  en réponse à la demande de la Place
• - 50 dactuaires formés en par an,
• - en respectant les standards de qualité
  internationaux,
• - en sappuyant sur les formations existantes
  et les partenariats,
• - et avec un besoin de soutien des entreprises
  dans un contexte universitaire tendu
• - Organisation de conférences et de formations
  autour de Solvabilité 2 (jusquà 400 participants)

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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3. LInstitut prépare la profession actuarielle
au nouveau cadre prudentiel les standards

• Réalisations 2009
• - Réflexion sur le rôle et les responsabilités
  des actuaires dans Solvabilité 2 en
  concertation avec lIndustrie et en développant
  des standards au niveau européen
• - LInstitut participe au groupe de travail du
  Groupe Consultatif en vue de créer des standards
  actuariels européens. Les standards seront
  techniques mais aussi dintérêt général
  gouvernance, communication, éthique et éducation.
  
• - Participation à léclosion dune fonction risk
  management avec des Actuaires parmi les Risk
  managers.

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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3. LInstitut prépare la profession actuarielle
au nouveau cadre prudentiel lERM

• Réalisations 2009
• - Formations et conférences courtes sur lERM
  Summer school, journées détude 2009 et 2010
• - Mise en place dune formation pour les
  actuaires ayant de 5 années dexpérience soit
  150 heures de cours assurées par des
  professionnels et des universitaires (10 sessions
  mensuelles de 2,5 jours) 15 Actuaires experts
  ERM formés en 2009 et 25 Actuaires experts ERM en
  2010
• - Création de lInstitut du Risk Management pour
  héberger la formation
• - Signature du traité international de
  reconnaissance mutuelle du titre CERA (Chartered
  Entreprise Risk Analyst), entre les principales
  associations dActuaires,

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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3. LInstitut prépare la profession actuarielle
au nouveau cadre prudentiel la formation
continue

• Réalisations 2009 (suite)
• - La formation professionnelle continue devient
  obligatoire pour les Actuaires à compter du 1er
  janvier 2010 avec un minimum de 3 jours par an
  observé sur 3 années glissantes (120 points)
• - LInstitut entend apporter des formations
  adaptées aux Actuaires (cible 10 des besoins
  des actuaires qualifiés dans le respect des
  autres acteurs) avec des formations courtes et
  des formations homologuées.
• - Lancement dune formation longue au Management
  et à la Communication pour 2010 spécialisée pour
  les Actuaires

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
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4. LInstitut se renforce pour réussir ses
objectifs

• Objectifs
• - Réduire lécart en termes de Moyens avec les
  principales autres associations dactuaires
  européennes pour réussir la mise en uvre de
  Solvabilité 2
• Réalisations 2009
• - Au démarrage du développement Allemagne 13
  salariés pour 3000 actuaires, UK 100 salariés
  pour 16 000 actuaires, France 2 salariés pour
  2500 actuaires
• - Recrutement de Régis de Laroullière comme
  directeur pour animer la contribution du
  mouvement actuariel à Solvabilité 2
• - Stade actuel Allemagne 18 salariés, UK
  100 salariés, France 8 salariés (6,2 ETP)
• - Poursuite des recrutements au fur et à mesure
  du développement avec lappui de tous les
  Actuaires

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
76
77
CONCLUSION

• Demain des actuaires plus nombreux, plus présents
  et encore mieux formés
• Lactuariat et le risk management, une profession
  aux standards internationaux
• au service de lAssurance

Séminaire Solvabilité 2 de la FFSA - 3 décembre
2009
78
Séminaire Solvabilité II - Solvency II Seminar

• Conséquences pour la profession actuarielle
• Consequences for the actuarial profession
• Thomas Béhar
• Bruce Maxwell

79
Séminaire Solvabilité II - Solvency II Seminar

• Points de vue croisés comment certains groupes
  européens se sont-ils déjà organisés pour adapter
  leur structure à un marché européen de
  lassurance ou de la réassurance ?
• Exchange of views how have european insurance
  groups structurally adapted to the future of the
  european insurance market ?
• Eric Lombard
• Helman Le Pas de Sécheval
• Philippe Brahin

80
Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur limpact de Solvabilité II sur
  les produits dassurance et de retraite
• Round table on the impact of Solvency II on life
  insurance and pensions products
• Janne Liponnen
• Antoine Lissowski
• Thaddeus Nyahasha
• Patricia Plas

81
Local knowledge. Global power.
Solvency IIImpact on life insurance and pensions
products
03 December 2009
Patricia Plas AEGON N.V. FFSA Solvency II
82
Table of contents

• Setting the scene from Solvency I to Solvency II
• Level II key issues
• Impact on existing products
• What does it mean in business terms
• Impact on the broader pension landscape
• Conclusion

83
Setting the scene from From Solvency I to
Solvency II

• Key features of the Framework Directive
• Introduce a market consistent approach to risk
  measurement and set robust risk management
  requirements across Europe
• A total balance sheet approach
• Two levels of capital MCR and SCR
• Internal models for assessing SCR (MCR will be
  set at a level of 25 - 45 of the modeled SCR)
• Enhanced role of the group supervisor.
• Solvency II is a revolution
• New Framework
• Imply a new type of relationship between
  supervisor and supervised.

84
Level II - key issues
Excess Assets
Available capital
Eligibility limits on capital instruments
Required capital
Heavy calibration
SCR
Cost of capital High end of range
Risk Margin
No allowance for product mix diversification
Best Estimate Liabilities
Choice of risk free rate and liquidity premium

• Centralized management
• Validation Internal models
• Role group/solo supervisors
• Treatment of non-EEA countries

• For Group solvency purposes

85
Impact on existing products?



under current economic conditions
86
What does it mean in business terms

• Within EEA
• Level playing field for technical liabilities and
  capital
• Potential market reactions (depending on final
  calibration)
• Adjust pricing gt higher prices for consumers
• Adjust product design including discretionary
  component
• Reduce risk exposure to avoid volatility in
  capital position
• Competition by non-insurance products?.
• Outside EEA (non equivalent regime)
• Local domiciled competitors may have a
  competitive advantage (short term)
• EEA players are not necessarily price setters in
  non EEA jurisdictions
• Will solvency regimes (non EEA) converge towards
  solvency II in the future?

87
Impact on the broader pension landscape
Different DB pension providers - main categories

DB pension providers

IORPs
Life Insurance Cos
EU-unregulated

DB no general EU definition! But Dir
2003/41/EC Art 17 sets solvency margins for IORPs
that themselves bear biometric risk, or guarantee
investment performance or a level of benefits
(Article 17 IORPs) Means that - those IORPs
operating schemes where risks either shared or
borne entirely by another party (e.g. an
employer) fall outside the IORP Directive
(non-Article 17 IORPs) - DB also includes
what are otherwise DC schemes - if they include
guarantees

• includes book reserves, funded systems offering
  DB but declared to be part of social security
  system,

AND there are increasingly other retirement
product providers (banks, assets managers)
88
Impact on the broader pension landscape
Different DB pension providers - main
categories (initial analysis)
DB pension providers
IORPs
Life Insurance Cos
EU-unregulated
Art 17 IORPs bears risk alone
LIC standard no options used from Dir
2003/41/EC / Dir 2009//EC
local rules
non-Art 17 IORPs 3P bears all risk / no risk
LIC variant 1 option Art 4 Dir 2003/41/EC
LIC variant 2 option Art 4 Dir 2003/41/EC and
Art 304 Dir 2009//EC
hybrid IORPs risk shared
LIC - variant 3 Art 304 Dir 2009//EC
89
Impact on the broader pension landscape
Different DB pension providers - main
categories (initial analysis)
DB pension providers
IORPs
Life Insurance Cos
EU-unregulated
Art 17 IORPs bears risk alone Solvency I
LIC standard no options used from Dir
2003/41/EC / Dir 2009//EC Solvency II
local rules no EU rules
non-Art 17 IORPs 3P bears all risk / no risk no
EU rules
LIC variant 1 option Art 4 Dir 2003/41/EC
Solvency II some IORP provisions
LIC variant 2 option Art 4 Dir 2003/41/EC and
Art 304 Dir 2009//EC domestic special EU
cross-border Sol IIIORP
hybrid IORPs risk shared unclear / no EU rules?
LIC - variant 3 Art 304 Dir 2009//EC domestic
special EU cross-border Solvency II
90
Conclusion

• Solvency II a complete change of framework
• Still an important number of uncertainties
• Level playing field issues
• Complex pension regulatory landscape
• Still high level of work needed and assessment of
  how these
• changes will impact the European landscape
  (insurance sector
• and wider)

91
Séminaire Solvabilité II - Solvency II Seminar

• Table ronde sur limpact de Solvabilité II sur
  les produits dassurance et de retraite
• Round table on the impact of Solvency II on life
  insurance and pensions products
• Janne Liponnen
• Antoine Lissowski
• Thaddeus Nyahasha
• Patricia Plas

92
Séminaire Solvabilité II - Solvency II Seminar

• Conclusion
• Karel Van Hulle