Barrie & Hibbert

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Insurance

Regulatory and market pressures are creating new risk and capital management challenges for the global insurance industry. Whether managing of closed life books, setting up annuity providers, or developing group wide economic capital models, Barrie & Hibbert models help life and general insurance companies manage critical business issues. Value complex liabilities for regulatory and accounting requirements. Project liabilities into the future, for solvency risk and capital allocation. Identify capital management strategies in with-profits, annuities and other contingent guarantees. Gain group wide economic capital assessment for ratings, analysts or internal measurement. Understand new asset strategies and product design.

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2010

May 2010 Real-world credit modelling: multi year RW municipal bond calibration at end-Sep 2009

2009

Dec 2009 Displaced Diffusion LMM - Addressing Lognormal Blowup

Dec 2009 Liquidity Premium Conference – 12 November 2009

Dec 2009 End December 2009 Market Consistent Correlation Calibration

Nov 2009 Barrie & Hibbert Insurance Conference - 6 Nov 2009

Oct 2009 Time Varying Term Premium - Targeting the Slope of the Unconditional Yield Curve

May 2009 Techniques for market-consistent valuation of contingent claims

May 2009 Libor Market Model:  Market Consistent Calibration Methodology

Feb 2009 Targeting Expected Interest Rates in E2FBK:  Time Varying Deterministic Market Prices of Risk

Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?

2007

Oct 2007 Annuity Business: Shareholder Returns and Profitability

Oct 2007 Projecting the Solvency Capital Requirements for Annuities

Oct 2007 A Comparison of Traditional Embedded Value and Market Consistent Embedded Value

Oct 2007 130/30 Funds: The Optimal Investment Solution?

Oct 2007 Projecting the TEV and MCEV

Sep 2007 Defined Contribution Pension Saving: Part 2 -Managing Investment Choice in DC Pension Schemes

Aug 2007 Variable Annuity Style Investment Products

Aug 2007 Defined Contribution Pension Saving: Part 1 - Using Behavioural Economics to Promote Retirement Saving

Mar 2007 Annuity Risk Management: Mortality ICA Analysis

Feb 2007 Annuity Risk Management. One-year VaR Decomposition: A case study

2006

Nov 2006 Credit Risk and Annuity ICAs: A Comparison of Alternative Approaches

Sep 2006 Valuing and Hedging Complex LPI Liabilities

Aug 2006 Market Risk Capital Definitions and Market Risk: Capital to do what?

Jul 2006 Mortality Risk Capital for Different Annuity Types: Quantifying the Relative Impact of Longevity Unc

Jul 2006 Least Squares Monte Carlo: Application to Nested Simulation

Jul 2006 Annuity Pricing Risk from a Funding Perspective: Quantifying the Impact of Longevity Uncertainty

Jun 2006 The Barrie & Hibbert UK With-Profit Risk Survey

Jan 2006 Standard Errors in Run-Off RBC Calculations

2005

Sep 2005 Developing Closed-Form Approximations for Realistic Liability Valuations

Sep 2005 Life Assurers, Market Risk and Internal Stochastic Models

Sep 2005 Managing Duration Risk in Continental European With-Profits

May 2005 Allowing for Yield Curve Twist Risk in RBC and ICA Calculations

May 2005 Treating Customers Fairly - A Framework for Product Design and Targeting

Apr 2005 Defined Benefit Pension Funds: Identifying, Quantifying and Managing Asset-Liability Risks

Mar 2005 A Discussion of Alternative Approaches to Calculating the ICA

Jan 2005 Using Equity Options In Market-Consistent Calibration

Jan 2005 Managing Long-Term Equity Option-Implied Volatility Risk

2004

Aug 2004 Gilts or Swaps?

Apr 2004 Selecting Stress Test Scenarios

2003

Sep 2003 Minimising the CP195 Risk Capital Margin

Jun 2003 Annuity Pricing Update

Mar 2003 Realistic Valuations and Shareholder Risks

Jan 2003 Calculating Deflators

Jan 2003 Risk-Based Capital and the Equity Risk Premium

2002

Oct 2002 Risk Capital and Economic Value for Insurers

Jun 2002 Understanding Investment Policy Choices for Individual Pension Plans: An Update

Apr 2002 Assessing Risk-Based Capital Requirements: VaR and run-off approaches

Apr 2002 Risk-neutral methods or deflators?

Mar 2002 Risk-Neutral Pricing of With-Profits Policies in the Presence of Contingent Bonuses

2001

Apr 2001 Some Basic Annuity Pricing Formula

Jan 2001 Comparison of Historic & Predicted Death Rates

2000

Jul 2000 Calibrating a Multivariate Model for Stock Specific and Portfolio Risk

1999

Mar 1999 GAO Breakeven Interest Rate

Mar 1999 Notes on the Aggregation of With-Profits Policy Data

1997

Aug 1997 Calculation of the IRR on a WP Policy Using Newton-Raphson

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
  • Product Communication & Advice
  • Product Design & Governance
  • Risk & Capital Management

• Sectors
  • Retail Distribution
  • Asset and Wealth Management
  • Consultancy
  • Insurance
  • Pension Fund

Other categories

• Calibration Methodology & Techniques
• Calibration Notes
  • Market Consistent
  • Real World
• Calibration Targets
  • Target Methodology
  • Target Updates
  • Target Validation
• Events
• Insights
• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
  • Random Number Generation
  • Variance Reduction
• Numerical Methods
• Outputs & Validation
• Archive

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