Life Assurers, Market Risk and Internal Stochastic Models
Document ID: 2005-801 (previously Report 75)
Published on: 31st August 2005
Insurance groups across the globe are investing significantly in the development of more rigorous and powerful market-risk measurement frameworks. This paper discusses how these modelling frameworks are being applied to develop market-coherent assessments of the costs, risks, and capital requirements of insurance business and the practical implementation choices and challenges that arise in this process. We also discuss how the information produced by these frameworks can be used to inform management decision making in a number of areas that are crucial to the effective financial management of insurance groups.
