Gilts. Vs Swaps – What’s Going Down?

Gilts and swaps are both important hedging instruments for insurers and pension funds, but the basis between them can be volatile and in 2015 gilts significantly underperformed. We look at the drivers behind this.
• Solvency II
• International developments
• Regulatory pressures on other investors e.g. banks
• How same pressures are creating disclocations and opportunities in other markets e.g. cross-currency.
Speakers: Paul Fulcher and Richard Boardman, Nomura International plc

June 1, 2016

Presentation

Banking

Prudential Regulatory Developments with Respect to Financial Risk Management

In this webinar hosted by Banking Virtual Forum (BVF) held on 28 October 2025, the speakers will provide an overview of the key changes to the capital requirements for banks under finalized Basel III – their background, implications and considerations going forward. Speakers: Monique de Waal and Stephen Scott Moderator: Michael Tichareva

Members Only

Financial Risks

IFRS 17 Report — Actuarial Best Practices for Non-Life Insurance Companies

ASTIN's Working Party on IFRS 17 Actuarial Best Practices has now accomplished its target objectives. The report with the results of the study is published in the IAA's website Access is restricted to ASTIN members. The ASTIN webinar will present the results of the study performed by this Working Party. With this working party, we hope to contribute to a better understanding of how the (re)insurance industry, from the perspective of actuaries working in non-life (re)insurance, applies the IFRS 17 Standard in practice and which should be best practices to consider. It will make this project worth it if the responses and conclusions in this report aid in validating current approaches and serve as basis for validation of future decisions. As a departing note, we would like to show our appreciation for all the respondents to this survey, for the underlying (re)insurance entities and particularly for the actuaries who have taken their time to provide us with the responses. We also thank all the members of the Working Party for their efforts and personal time dispensed to prepare the survey, promote it worldwide and disclose this report and the upcoming presentation of results

Members Only

ERM

Exploring the Asian Solvency Framework: Japan and Korea

In this concluding session of our three-part series, our speakers will explore recent developments in insurance solvency regulations across Asia, focusing on Japan’s Economic Value-Based Solvency Regulation (ESR) and Korea’s K-ICS. We will examine the design, implementation status, and key challenges of each framework. In Japan, preparations are underway for the implementation of ESR in the fiscal year ending March 2026, with key issues including strengthening governance, managing interest rate risk, and enhancing disclosure practices. In contrast, Korea has already adopted K-ICS, facing practical challenges such as alignment with IFRS 17 and disparities in company readiness. The session will also discuss how both systems align with international capital standards (ICS) and the strategic responses required from insurers. It will provide practical insights for industry professionals navigating this period of regulatory transition.

ERM

Probability of Sufficiency of the Risk Margin for Life Companies under IFRS 17

Members Only

AI / Data Science

How gaming technology is revolutionizing actuarial work – An actuarial use of GPU Technology

The same processors that once fueled the Bitcoin gold rush and now train cutting-edge AI like ChatGPT are quietly revolutionizing actuarial science. While cryptocurrencies harnessed GPU power to mine digital coins, and AI uses it to process billions of data points, actuaries are discovering these chips can run complex mortality simulations in minutes instead of days. What began as hardware for gaming graphics has become our most powerful tool - turning overnight batch processes into real-time analytics and making trillion-scenario modeling suddenly practical. This presentation will explore how this transformative technology is reshaping our field, and why the actuaries who master GPU computing will lead the next wave of insurance innovation.

Members Only

ERM

Retrospective and Prospective Liabilities, Probabilistic and Stochastic Process in Discrete Time for a policy portfolio (I)

This paper is an extension of the “Insurance Risk with Markov Chain Monte Carlo (MCMC) and Method of Moments (MM)”, the method is applied to a portfolio of insurance policies with guaranteed profitability and surrender option. Retrospective valuation is associated with the debt that is reported to the policyholder by the insurer. On the other hand, the insurer performs the prospective valuation of the cash flow that must be discounted with a yield curve, and which must contain the surrender option by the insured. For discrete-time stochastic scenarios, it is feasible to determine the structure of the probability distribution of future flows, which is not necessarily a normal distribution. It will be demonstrated by MM that for insurance with a surrender option, such as endowment or whole life, the expectation of future flows E(BEL) and its respective future variance V(BEL), can be obtained, both in present value, and as a consequence, calculate the contractual insurance margin (MCS) of the insurer. It will also be shown that by MCMC the convergence of the mean (BEL) and sample variance σ^2 (BEL), the probability distribution of future (MCS) flows will be graphed in 2 and 3 dimensions as a function of time. Likewise, it will be demonstrated that there is no single scalar statistic that, when multiplied by the σ(BEL) standard deviation, results in a standardized risk adjustment.