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From Principle-Based Risk Management to Solvency Requirements
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In an international well diversified reinsurance company, the ability to model properly the different types of risks is central for the strategic management and the key business decision processes.
SCOR has put this modelling skill at the heart of its organisation and is actively developing a coherent and complete Enterprise Risk Management framework based on its internal modelling capabilities.
Diversification of risks and optimal capital allocation are key for our com- pany and has been central during the elaboration of the strategic Dynamic Lift Plan. The diversification of risks has been one of the main triggers for the mergers with Revios in 2006 and Converium in 2007.
SCOR’s own way in the development of appropriate tools and sound methodology has been fertilized through the intense development of aca- demic papers and practical developments on capital allocation and risk mea- surement in regard with the new European insurance regulation schemes, namely the Swiss Solvency Test in Switzerland and the Solvency II project in the European Union.
The merger with Converium gave to the SCOR Group the benefit of all the studies, actuarial, financial and information technology investments implemented in order to fulfill all the requirements of the Swiss Solvency Test regulation. It offers to the entire Group the opportunity of acquiring a concrete experience of the implementation of the Asset Liabilities Manage- ment process in line with the Solvency II project in 2012.
For the sake of transparency, it has been decided to disclose the entire documentation regarding the methodologies used for the needs of financial and risks modelling. It is the main reason for the publication of this book which is a testimony of the talent and the skill of the teams in charge and which will give to any expert the possibility to understand the way SCOR has chosen to take into account every risk and the dependencies between risks. I shall not go into the different chapters of the book, the executive summary chapter helps to understand the general architecture and the key points. I will just put some emphasis on the Economic Scenario Generator (ESG) which has been created and developed by the modelling team itself using a resampling methodology through the bootstrap techniques. Usually, modellers make use of economic scenario generators developed by software firms or economic information providers. In our case this innovative ap- proach is crucial as a masterpiece in the modelling scheme and is entirely embedded in the algorithms, which gives an additional efficiency to the ALM process.
We are particularly proud to have been able to extend this internal model through an integrated group organisation which allows now the entire group to benefit from the intellectual and technical skills which had been invested in the past.
After this first success, new projects are already launched in order to maintain state-of -the-art modelling approaches in our company. We are to- day happy and proud to share this information with different communities: academic, regulators, actuaries and clients of SCOR.
SCOR Switzerland AG - Organizational Body
2nd Edition
NONE
Management
English
2008
1-505
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