Media One SCR to Rule Them All - Assessing the Approriateness of the Standardised Formular SCR

One SCR to Rule Them All - Assessing the Approriateness of the Standardised Formular SCR

uploaded December 1, 2021 Views: 83 Comments: 0 Favorite: 1 CPD
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Description:

The SCR is core to assessing the financial soundness of South African insurers, but it’s not a one-size-fits-all solution: despite the SCR’s sophistication and risk-based nature it cannot accurately capture the nuances and complexities that are unique to each insurer. This is what we address in this presentation, which includes a panel discussion consisting of seasoned life, non-life and group Heads of Actuarial Function, as well as a senior supervisor from the Prudential Authority.

We will start by summarising a framework to assess the appropriateness of the Standardised Formula SCR relative to an insurer’s own risk exposures. The framework consists of practical principles and also considers steps to take should there be a shortfall in the SCR. The presentation will also touch on selected aspects of the SCR that are likely to lead to shortfalls within the South African context. For example, insurers might find that some risks are missing from the SCR, while other risks could be understated or overstated.

An understanding of this topic is critical for risk management purposes, including economic capital modelling, stress testing and the broader Own Risk and Solvency Assessment (ORSA) process. It is also directly relevant to the Actuarial Function, which needs to provide advice to the Board on the appropriateness of the SCR (as per GOI 3). Finally, it impacts on insurance pricing through the allowance for the cost of risk.

The presentation will be followed by a practical unpacking of this topic by a panel of experts.

Practical outcomes:

  • Learn about a framework to assess the appropriateness of the SCR
  • Understand how shortfalls in the SCR could be treated
  • Learn about selected shortfalls of the SCR
  • Gain a practical understanding of how HAFs may assess the appropriateness of the SCR
  • Appreciate how the appropriateness of the SCR is viewed by regulators
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Categories: AFIR / ERM / RISK
Content groups:  content2021

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