Barrie & Hibbert

Research & Insights » Global Markets

Read our Research:

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  Solvency II and DB funds: new thinking for assessing capital adequacy

  With a more rigorous and quantitative approach to regulating DB pension funds on the horizon, what are the implications for fund sponsors, scheme managers and insurers? In this Insight Note, Craig Turnbull introduces an approach to analysing capital adequacy of DB pension funds consistent with the capital assessment system being implemented in Solvency II.

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  ‘PIT’falls of ‘Through-the-Cycle’

  In this white paper we consider the implications for policyholders, regulators and companies of ‘Point-in-Time’ and ‘Through-the-Cycle’ capital measures.

  We also demonstrate that VaR capital measures conditioned on current available information can demand lower average capital as well as simultaneously delivering lower average policyholder losses in default, when compared to TTC measures.

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  The Collateral Damage of Today’s Monetary Policies: Funding Long-Term Liabilities

  The actions of the world’s major central banks over the last three years have been focused on short-term economic stimulus and the support of financial institutions with short-term liability funding structures.

  The economic balance sheets of life and pensions sectors have suffered major collateral damage as a consequence of aggressive monetary policies that has driven long-term interest rates to once-in-a-lifetime lows. 

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  Economic considerations for Property & Casualty Insurers

  In this article James Norman sets out to demonstrate the ways in which smart Property & Casualty companies can benefit from viewing investment risk management in combination with their underwriting. This article addresses claims inflation, natural disasters and market catastrophes from the perspective of a holistic investment strategy.

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  Capturing the interest rate risk in MBS investments

  Mortgage-Backed Securities (MBS) issued by Freddie Mac, Fannie Mae and Ginnie Mae are common holdings in US insurers’ fixed income portfolios. Over the past few years the annual issues of MBS securities by these three agencies has averaged close to a trillion dollars per year. During the credit boom annual issue of MBS directly by commercial banks became increasingly common, often as complex ‘structured’ Collateralised Mortgage Obligations (CMOs). While commercial CMO annual issues have effectively ground to a halt following the credit crisis, great efforts have been made to keep the agencies operating and providing liquidity within the US mortgage market.

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  A market consistent valuation for India?

  Whilst the basics of market consistent calibration are the same, developing economies present greater challenges for market consistent valuation techniques, since, generally speaking, there is less market information available for the purpose. This Insight Note looks at the methodology of preparing market consistent valuations for India.

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  Inflation risk for P&C insurers

  Any firm with assets or liabilities linked to prices within a particular region or sector will be able to improve its understanding of the risks it faces by explicitly modelling the inflation rates of those prices. This note focuses on the potential divergence of country specific inflation rates in the Eurozone and Medical cost inflation in the US from their aggregated counterparts.

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  Chinese 50 year bond: how does it perform against extrapolated values?

  Extrapolation can have a major impact on the market-consistent value of certain classes of liability and in countries where long-term bonds are unavailable. Issues of bonds at previously untraded maturities provide a test of Barrie & Hibbert's extropolation methods.

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  New requirements for principle-based statutory reserving for US Variable Annuity business

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  Proposed regulatory changes by Monetary Authority Singapore

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  Lessons for commodity investors