© 2008 Towers Perrin ERM 1 – Basic ERM Primer for Reserving Actuaries 2008 Casualty Loss Reserve Seminar Washington, DC September 18, 2008 Tom McIntyre.

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Presentation transcript:

© 2008 Towers Perrin ERM 1 – Basic ERM Primer for Reserving Actuaries 2008 Casualty Loss Reserve Seminar Washington, DC September 18, 2008 Tom McIntyre

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 1 Speakers Michael Angelina Chief Actuary & Chief Risk Officer Endurance Specialty Holdings, Ltd. Al Schulman Vice President, Enterprise Risk Management Nationwide Insurance Company Steve Hazelbaker Vice President, Director of Corporate Enterprise Risk Management State Auto Insurance Companies

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 2 Economic views of capital adequacy Global shift toward “principles-based” solvency monitoring S&P has begun reviewing insurer’s internal capital models A.M. Best expects “ratings pressure” on highly rated firms that lack strong ERM and EC capabilities NAIC - Solvency Modernization Work Plan

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 3 Economic Capital is the Foundation of ERM Why is Economic Capital so important? Capital management/Financial strength ratings Conservatively calibrated existing models (e.g., RBC, BCAR) Ratings credit for well founded internal models is coming Business planning/Risk appetite Enhanced risk/return decision-making, examples include: Product mix Reinsurance program design Strategic asset allocation EC as a springboard to economic performance measurement

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 4 Economic capital in risk appetite statements As expected, large insurers are leading adopters of EC. * 2008 Towers Perrin ERM Survey Worldwide Life & P/C Results

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 55 Internal Models must be integrated into an ERM Framework Policy risk strategy, risk appetite Annual activity Strategic planning, target setting, budgeting Day-to-day activity Risk mitigation, e.g reinsurance Strategic, e.g. product pricing, acquisitions External Factors Market movements, competitive environment Risk Monitoring and Reporting Governance accountability, committees Economic Capital Model

© 2008 Towers Perrin Proprietary and Confidential Not for use or disclosure outside Towers Perrin and its clients 6 Thank You Thomas S. McIntyre, FCAS, MAAA Principal Towers Perrin 175 Powder Forest Drive Weatogue, CT Direct: Mobile: