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Publications

Papers

 

Determination of Retirement and Eligibility Ages: Actuarial, Social and Economic Impacts - March 2016 - This Paper has been produced by the Population Issues Working Group of the Scientific Committee of the IAA.We extend our sincere thanks to the members of the drafting team: Morteza Aalabaf-Sabaghi, Yair Babad, Assia Billig, Sam Gutterman and Martin Stevenson

Joint Synthesis Paper by IOPS and IAA: The role of actuarial calculations and reviews in pension supervision. By Sherika L.L. Ellis, Esko Kivisaari and Dariusz Stanko - September 2015

  Joint Background Paper by IOPS and IAA: The role of actuarial calculations and reviews in pension supervision. By Sherika L.L. Ellis, Esko Kivisaari and Dariusz Stanko - September 2015
  Actuarial Aspects of ERM for Insurance Companies - The purpose of this paper is to provide assistance to actuaries or other practitioners in relation to Enterprise Risk Management (ERM). The objective is to assist practitioners, and to help to achieve greater consistency in relation to knowledge and awareness of various topics. This paper has been produced by the Enterprise and Financial Risk Committee of the IAA.
 

IAA Risk Book - Governance, Management and Regulation of Insurance Operations - This is a collection of papers that has been produced and approved by the Insurance Regulation Committee of the International Actuarial Association (IAA) - Published 30 September 2015

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Deriving Value from ORSA -  Board Perspective - An Executive Board has a significant role to play in  overseeing management's assessments of risk and solvency and in challenging ORSA results as they are communicated by management. The purpose of this paper is to provide members of the Board insight into the value of the ORSA process, regardless of the specific implementation and requirements for ORSA in a given regulatory environment and to establish Board expectations for the information that senior management should routinely communicate to them.

  Analysis on the Risk of Ebola — This is an analysis on an evaluation of the mortality and morbidity risk of Ebola to life and health insurance companies1 . The actuarial profession has played an active role in developing models and advising on the impact of epidemics on mortality and morbidity risks, particularly in the context of the HIV/AIDS epidemic in the 1980s and beyond. Whilst this does not go into the same level of detail or sophistication, the aim of this high-level analysis is to assist actuaries working for or consulting with life or health insurance companies on evaluating the risk of an Ebola epidemic to their companies or clients.
 

Addressing the Gap in Actuarial Services in Inclusive Insurance Markets —This paper outlines the current context and challenges in providing qualified actuarial resources in microinsurance markets and proposes a number of suggestions intended to address these challenges. The paper also explores avenues for further development and collaboration between the IAA and IAIS in this area. The paper identifies a number of key issues in inclusive insurance markets, such as:

  • A need for suitably qualified or experienced professionals;
  • Limited supply of actuarial capacity in microinsurance markets;
  • A lack of understanding of the contribution that actuaries can make to microinsurance programmes; and
  • The importance of balancing supply and demand for actuarial services.

 

Intra-Group Reinsurance Transactions — This paper is intended to help readers understand the rationale behind Intra Group Reinsurance Transactions including some of the issues faced in their execution. The paper describes the role of Intra-Group Reinsurance Transactions in managing and steering a (re)insurance group. Intra-Group Reinsurance Transactions, consistent with any reinsurance transactions between two separate legal entities, impact the level and emergence of profit within the two entities as well as the strength of the respective two balance sheets. (Japanese)


 

Stress Testing and Scenario Analysis — This paper provides an actuarial perspective on scenario analysis and stress testing. As part of the analysis of risks to the financial condition of a firm, these methods are essential tools for effective risk management and macro prudential oversight. They can enhance the understanding by its stakeholders of the financial vulnerability of the firm. (Japanese).


 

Actuarial Viewpoints on and Roles in Systemic Risk Regulation in Insurance Markets — The purpose of this paper is to provide actuaries with the background to address conditions and tools to identify, assess, monitor and mitigate systemic risks.  The scope of this paper is limited to global insurance market operations and risks of systemic events in those markets.  From the global context, a macro-prudential approach towards the regulation for systemic risk is assumed.  The role of actuaries in assisting systemic risk regulators with respect to insurance markets is identified and discussed in a global market context. (Japanese)


 

Stochastic Projections of the Financial Experience of Social Security Programs: Issues, Limitations and Alternatives — For well over a century, actuaries have projected the financial experience of social security programs around the world. Policymakers – and actuaries themselves – have debated various aspects of these financial projections, such as: (a) the key economic and demographic assumptions, including mortality improvement and fertility trends, on which the projections are based, (b) the duration of the projections, which have ranged from just a few years to 75 or more years, and (c) the treatment of uncertainty by deterministic and stochastic methods. This paper focuses on this last aspect, highlighting key issues related to the application of stochastic models, although the paper also touches on the first two aspects due to their interrelated nature.


Measurement of Liabilities for Insurance Contracts: Current Estimates and Risk Margins  
Measurement of Liabilities for Insurance Contracts: Current Estimates and Risk Margins — The ad hoc Risk Margin Working Group (RMWG) of the International Actuarial Association (IAA) has conducted research into the measurement of liabilities for insurance contracts that has resulted in this paper. The issues addressed are those that will help determine future practice for measuring liabilities for insurance contracts for both regulatory and general purpose financial reporting. It focuses on current estimates and risk margins, which the RMWG believes to be an appropriate basis for the measurement of liabilities for insurance contracts. During the course of this research the RMWG has sought and incorporated input from various stakeholders in the measurement of these liabilities. (Online Order Form)

 

Blue Book: A Global Framework for Insurer Solvency Assessment — This paper has been prepared for the International Association of Insurance Supervisors (IAIS) to explore the elements needed for an international capital standard for insurers and to provide a “best practices” approach available to all supervisors. It deals with methods the supervisor might use to assess the current financial position as well as to understand the range of possible future financial positions of insurers. Its primary focus is on capital requirements for insurers.(Online Order Form)

   

 

Note on Enterprise Risk Management for Pensions This paper provides an important summary of the pension industry's perspective on Enterprise Risk Management for capital and solvency purposes in the insurance industry, noting that:

  • in pensions the sponsoring company is generally not an insurance company and therefore pension issues should, in the sponsoring employer, be dealt with in the general framework of ERM, not just in a framework adapted to insurers; and
  • while pensions have much in common with insurance contracts, there are quite a few differences, meaning that the framework adapted to insurers is not directly applicable to pension funds.

 

Note on the Use of Internal Models for Risk and Capital Management Purposes by Insurers This note provides educational material for those responsible for constructing, using and approving the use of models to assess and manage risk and capital within insurance enterprises (insurers). This material is also useful to those who rely upon the information derived from models, as an aid to understanding the derivation, uses and limitations of this information.  Internal models are primarily relied upon by boards of directors and senior management for strategic planning, regular monitoring of risk and managing an insurer’s corporate capital. Internal models are also coming into use for determining regulatory required capital, usually subject to supervisory approval based upon satisfaction of specific conditions required by the supervisor.