Members Only
Banking
ESG Risk – Learnings from the Banks
ESG Risk – Learnings from the Banks
As global stakeholders intensify their focus on environmental, social, and governance (ESG) performance, financial institutions are emerging as both catalysts and case studies in the ESG transition journey. This webinar, "ESG Risk: Learnings from the Banks", explores how leading banks have navigated the complex shift from ESG intention to execution. Drawing on real-world strategies, governance structures, and disclosure practices, we will unpack key lessons from the sector—ranging from integrating ESG risk into credit assessment and capital allocation to tackling data gaps and aligning with regulatory frameworks like the ISSB and EBA Guidelines. Join us to uncover what the banks have done right, where challenges remain, and what these insights mean for your organization’s ESG roadmap.
Speakers: Andries Schutte and Lizette Strauss
As global stakeholders intensify their focus on environmental, social, and governance (ESG) performance, financial institutions are emerging as both catalysts and case studies in the ESG transition journey. This webinar, "ESG Risk: Learnings from the Banks", explores how leading banks have navigated the complex shift from ESG intention to execution. Drawing on real-world strategies, governance structures, and disclosure practices, we will unpack key lessons from the sector—ranging from integrating ESG risk into credit assessment and capital allocation to tackling data gaps and aligning with regulatory frameworks like the ISSB and EBA Guidelines. Join us to uncover what the banks have done right, where challenges remain, and what these insights mean for your organization’s ESG roadmap.
Speakers: Andries Schutte and Lizette Strauss
Members Only
ERM
Accessible and Practical Risk-Based Capital Systems: IFRS17 PAA in Focus
Advanced solvency frameworks, such as Solvency II, require both a regulatory balance sheet separate from a statutory one and a standardized solvency capital model, imposing high demands that are very challenging in both setup and oversight for regulators and operators in non-mature insurance markets. This paper proposes a simplified risk-based capital scheme based on the Premium Allocation Approach (PAA) under IFRS 17, aligned with the International Association of Insurance Supervisors (IAIS) Insurance Core Principles (ICPs), to provide an accessible and practical solvency framework tailored for such markets. This approach streamlines capital calculations, minimizes data demands, and simplifies compliance processes, making it feasible for insurers and regulators in developing countries to adopt a risk-based regime without the extensive rigor of mature frameworks. As a simpler alternative, the framework is flexible enough to accommodate additional accounting standards, such as GAAPs, making it suitable for a range of regulatory environments. The framework facilitates faster implementation of risk-based regulatory systems, supporting financial stability and growth within different insurance markets. It offers a balanced solution that maintains alignment with key principles of capital adequacy and solvency, while addressing the specific constraints faced by developing nations or small insurers.
Members Only
Consulting
Cyber Insurance-Linked Securities
In this webinar we investigate the feasibility of cyber risk transfer through insurance-linked securities (#ILS). On the investor side, we elicit the preferred characteristics of cyber ILS and the corresponding return expectations. We then estimate the cost of equity of insurers and compare it to the Rate on Line expected by investors to match demand and supply in the cyber ILS market. Our results show that cyber ILS will work for both cedents and investors if the cyber risk is sufficiently well understood. Thus, challenges related to cyber risk modeling need to be overcome before a meaningful cyber ILS market may emerge.
Members Only
AI / Data Science
Measuring Non-Exchangeable Tail Dependence Using MTCM and ATCM
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC) is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal.
To overcome these issues, two novel tail dependence measures called the maximal tail concordance measure (MTCM) and the average tail concordance measure (ATCM) are proposed.
Both measures are constructed based on tail copulas and possess clear probabilistic interpretations, where the MTCM evaluates the largest limiting probability among all comparable rectangles in the tail, and the ATCM is a normalized average of these limiting probabilities.
Members Only
AI / Data Science
IFRS 17 The actuary as a story-teller
IFRS 17: the actuary as a story-teller
In late 2022, European headquartered insurance groups held investor education events to explain the expected impact of IFRS 17 transition on their future results and financial position.
Insurers reaffirmed their previously disclosed strategic direction and targets but indicated some rebasing of key performance measures. Risk appetite and capital management (including solvency ratios) are not affected but changes are expected in return on equity, leverage, and combined ratios. The range of the expected change in key ratios is relatively wide and depends on each insurer’s business mix and the degree of alignment between accounting policy choices and approaches to asset-liability management (ALM).
This webinar session will explore observations from recent non-life IFRS 17 investor disclosures addressing key messages, policy choices, and impact on KPIs.