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Scottish Financial Risk Colloquium addresses Solvency II topics

The sessions were presented by Professor Alexander McNeil, the SFRA director, who looked at solvency requirements, followed by Professor Antoon Pelsser of the 
University of Maastricht, who presented ‘Limits to Market Consistent Valuation’, 
Mark Cathcart, a PhD student from 
Heriot-Watt University part-funded by 
Barrie & Hibbert, presented ‘Monte Carlo Valuation of Liabilities’ and Dr Hansjorg Furrer who described the Swiss Solvency test.

The keynote address was given by 
Tom Wilson, Allianz CRO. He felt that Solvency II complemented his view of good risk management and highlighted the current unprecedented market volatility (with Q3 2011 seeing similar market dislocation as Q4 2008 implying the latter was not a one-in-200 year event).

Two separate panel sessions followed; looking at the Business and Regulatory implications of Solvency II respectively, expertly chaired by John Hibbert of 
Barrie & Hibbert. For the first panel, 
Tom Wilson was joined by Raj Singh 
(pictured), the founding chairman of the CRO Forum, and Tim Edwards (PwC). The second panel included Seamus Creedon from the 
Groupe Consultatif, Douglas Anderson (Hymans Robertson), Ross Gardiner (FSA) and Hansjorg Furrer (FINMA).

Topics covered in the panels included the risk free rate, illiquidity premia, the implications for product design, the impact on reinsurers, the extension of Solvency II 
beyond the EU and the implications for customers. The consensus was that risk management would be improved but it was likely that insurers would be less inclined to provide long-term guarantees without setting charges that customers would be unlikely to pay for. Customers would therefore have risk transferred to that, exacerbated by Governments’ reluctance to take this on.

The fourth colloquium is still at the planning stage and is expected to take place next Spring. For further details, visit 
http://tinyurl.com/3gmab4l

This autumn, SFRA is providing new training in topics relevant to actuaries with interests in Solvency II and enterprise risk management. For more, see www.sfra.ac.uk