Solvency II. SII Engine

Transcription

1 Solvency II SII Engine Bucharest, October 2012

2 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL Deloitte Actuarial & Insurance Solutions

3 Deloitte Solution architecture for Solvency II Handled by SII Engine supported by SII Engine

4 We source data from any system in the clients IT landscape Reporting mart Browser User Interface AAE Service Core - & support Systems BI and MIS Oracle/Hyperion, SAS, Microsoft, IBM, Others Co-exists with client DW & reporting systems and other data sources Web based interface for manual input incl. Excel upload Actuarial kernels Asset man., ALM systems, automated Excel uploads Other Client systems Datawarehouse IBM, Oracle, SAS, Others Oracle, SAP, Microsoft ERP, etc. Other Client systems

5 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution SCR calculation SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL

6 Continous calculation of SCR

7 Manual input Add a currency 6

8 Helper tabs 7

9 Manual and automated input from Excel 8

10 Automated data sourcing Web based interface for manual input incl. Excel upload Actuarial kernels Asset man., ALM systems, automated Excel uploads Other Client systems Datawarehouse IBM, Oracle, SAS, Others Oracle, SAP, Microsoft ERP, etc. Other Client systems 9

11 Workflows for both calculations and QRTs Can include an approval process 10

12 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution - Reporting SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL

13 All 63 QRTs and XBRL is in place All 63 QRTs is implemented (Solo & Group) Templates for: Standard formula Full internal Partial internal Create new reports using MS Excel

14 Example report Solo.15.SCR B2A 13

15 Example report Solo.27.Assets D1 Which is one of the sample XBRL reports Reports can be exported to Microsoft Excel XBRL as defined by EIOPA is in place 14

16 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution - Simulations SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL

17 Ability to change a model parameter Given the appropriate controls/access rights, you can make change to a model parameter e.g. Equity shock, Global category

18 Ability to change a formula Given the appropriate controls/access rights, you can make change to the calculation formulas e.g. mortality risk charge

19 Full transparancy Compare any two versions of a result All changes to formulas or model parameters will be traced and can be retrieved in the future and used for comparisons etc. The same goes for new data input and entering of new results

20 Very sophisticated audit trail

21 Audit summary keeping track on any changes to the configuration Original standard formula configuration can be found in the audit summary Any changes to the original standard formula configuration is shown in the Online updated elements 20

22 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution Support of ORSA SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL

23 Simulations & ORSA Describe the connection between your business strategy for the next 3-5 years and your capital planning Develop and maintain a catalogue of scenarios to be used in your stress tests of the impact of adverse events on your business Set up and maintain a risk registry, where your company s risk committee can identify, assess and quantify the impact of risks faced Quantify and comment on own risk while maintaining the required audit trail Set up a process for handling internal or external approvals of own risk information and set up expiry dates on own risk information 22

24 Strategy, forecast & simulations Base year 3-5 year Strategy & Growth forecast

25 Strategy, forecast & simulations Base year 3-5 year Strategy & Growth forecast Forecast wizard Year +1 Year +2 Year +3 SII Engine is cloned, starting from a base year. Subsequently a forecast wizard is configured, based on elements from the company's strategy and growth forecast. Then an update of the SCR and the underlying risk modules in the clones for year 3-5 takes place ie. a 3-5 year SCR forecast is created. In SII Engine direct relationships between strategy and forecast can be documented (and / or specific passages in the strategy documents). There is automatically created an audit trail of all results, formulas and textual input in the SII Engine forecast wizard.

26 Strategy, forecast & simulations Adjustments Adjustments to the calculated SCR forecasts can be handled in the indivual year. All adjustments can be commented and there is a full audit trail to all changes and adjustments Base year 3-5 year Strategy & Growth forecast Forecast wizard Year +1 Year +2 Year +3 SII Engine is cloned, starting from a base year. Subsequently a forecast wizard is configured, based on elements from the company's strategy and growth forecast. Then an update of the SCR and the underlying risk modules in the clones for year 3-5 takes place ie. a 3-5 year SCR forecast is created. In SII Engine direct relationships between strategy and forecast can be documented (and / or specific passages in the strategy documents). There is automatically created an audit trail of all results, formulas and textual input in the SII Engine forecast wizard.

27 Strategy, forecast & simulations Adjustments Base year 3-5 year Strategy & Growth forecast Forecast wizard Year +1 Year +2 Year +3 Scenario wizard Using the SII Engine Model parameter module one or more stress scenarios can configured. The Scenario wizard is subsequently used for stress testing of the results in the selected year(s) of the forecasted period. Reporting analysing the results before and after stress testing can be created.

28 Analysis & Decision Pillar I Pillar II Pillar III Calculate & report Solvency II Solution - Summary SII Domain Expertise Field-Tested Best Practices Proven Delivery Capabilities Property & Casualty Stress test and Life, Pensions & Annuities Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Reinsurance sensitivity analysis Scenario based calculations to support the company s ORSA process 63 QRTs SFCR & RSR XBRL Deloitte Actuarial & Insurance Solutions

29 Solvency II calculation & QRT reporting solution Pillar I Pillar II Automated calc of SCR and MCR (standard formula, QIS5) from day 1 Results from internal models can be aggregated in the standard formula Stress and sensitivity analysis Pillar III SFCR and RSR the 63 QRTs Co-exists with clients reporting and BI systems via standard webservice interface Full traceability in accordance with EIOPA requirements Audit Data verification Data sourcing guidelines has been analysed and documented Datasources: Manual, Core systems, DW Excel, CSV, DB, std. webservice Spreadsheet flexibility for Risk Management Dep. Flexible formulas, parameters, data Rolebased (using e.g. your security infrastructure) Change data sources dynamically Everything is traced and documented Full transparency Results, formulas, data, traceability Compares calculations over time and reverts easily to preferred version Online drill down capability From helicopter view to detailed data information and across your organization Aggregates risk and solvency information across clients organization Reuses relevant reporting information Production and distribution of standard reports is automated Maintenance and support of EIOPA Formulas and QRTs

30 Fits any system environment and no additional SW investments is needed The solution is built as a standard web application and fits easily into any system and technology landscape. No major investments is needed since the solution can be embedded in exisiting system environment and co-exists with the organization s DW and reporting platforms. Is service oriented Offers easy integration Works stand alone On any device 29

31 Installation and data sourcing 30

32 Group level Solvency II one scenario Entity 1 Entity 2 Group QRTs Entity 1 SCR QRTs Entity 2 SCR Group QRTs Group SCR =Adjustments Sum of sources for all entities in group =Calc data =Calc data Summation layer Entity 1 Data warehouse/ods Entity 2 Data warehouse/ods Solvency II Group Data mart/ods

33 Group level Solvency II 2nd scenario Entity 1 Entity 2 Group QRTs Entity 1 SCR QRTs Entity 2 SCR Group QRTs Group SCR Adjustments Sum of sources for all entities in group Summation layer Entity 1 Data warehouse/ods Entity 2 manual inputs and/or flat files etc.

34 Group level Solvency II co-existence scenario Entity 1 Entity 2 Group QRTs Entity 1 SCR QRTs Entity 2 SCR Group SCR & QRT IBM Oracle SAP Abacus SAS Inst. Others Adjustments =Calc data =Calc data Sum of sources for all entities in group Summation layer Entity 1 Data warehouse/ods Entity 2 Data warehouse/ods Solvency II Group reporting mart/ods

35 Sample Timebox plan for engine installation assuming 2 week timeboxes Timebox 1 Timebox 2 Timebox 3 Timebox 4 Installation Workshop and documentation Manuel upload 1 st SCR Calculation 1 st QRTs Deployment Specific Operation Model Deployment to TEST environment Physical deployment, connectivity Deployment Users and roles specifications Access controls Workshop and documentation Deployment Deployment to PRODUCTION environment Physcical deployment Initial workshop Datasource analysis Datasource analysis Market Risk Counterparty Risk Operational Risk Datasource analysis Spread Risk Concentration Risk Life Risk Datasource analysis Non Life Risk Non Life CAT Risk Health Risk Datasource analysis tasks covers ½-1 day workshops. Engine Configuration tasks cover 1½-2 days work configuring the engine side of the data sources; They can then be switched between the default manual source and the configured automated source. Workflows and company specific validations must be estimated. Engine Configuration Market Risk Counterparty Risk Operational Risk Datasourcing projects covers the dataware-house project, core system extract project, or definition of manual sourcing processes. They may run in parallel, and deliver data to the running engine at such time as they complete. Engine Configuration Spread Risk Concentration Risk Life Risk Datasourcing projects Life risk Non life risk Market risk Spread risk Counterparty Risk Operational risk Concentration risk Engine Configuration Non Life CAT Risk Non Life Risk Health Risk

36 Sample Timebox plan for engine installation Timebox 1 Timebox Client 2 Timebox 3 Timebox 4 Installation Workshop and documentation Manuel upload 1 st SCR Calculation 1 st QRTs Initial workshop Datasource analysis Business resources Deployment Specific Risk Operation Model Deployment to TEST Actuarial environment IT Finance Investment Physical deployment, connectivity IT Architect Deployment Datasource analysis Market Risk Market Risk Counterparty Risk Operational Risk Deployment Users and roles specifications Access controls Workshop and documentation Datasource analysis Spread Risk Concentration Risk Non Life Risk Non Life CAT Risk Asseco & SII business partner SII Engine expert Deployment Deployment to PRODUCTION environment Physcical deployment Datasource analysis Life Risk Health Risk Datasource analysis tasks covers ½-1 day workshops. Engine Configuration tasks cover 1½-2 days work configuring the engine side of the data sources; They can then be switched between the default manual source and the configured automated source. Workflows and company specific validations must be estimated. Engine Configuration Market Risk Counterparty Risk Operational Risk Datasourcing projects covers the dataware-house project, core system extract project, or definition of manual sourcing processes. They may run in parallel, and deliver data to the running engine at such time as they complete. Engine Configuration Spread Risk Concentration Risk Non Life Risk Solvency II Expert Datasourcing projects Life risk Non life risk Market risk Spread risk Counterparty Risk Operational risk Concentration risk Engine Configuration Non Life CAT Risk Life Risk Health Risk

37 Sample Timebox plan for engine installation assuming 2 week timeboxes Timebox 1 Timebox 2 Timebox 3 Timebox 4 Installation Workshop and documentation Manuel upload 1 st SCR Risk Calculation 1 st QRTs Client Business resources IT Actuarial Finance Initial Investment workshop Datasource analysis IT Architect Deployment Deployment Specific Operation Model Deployment to TEST environment Physical deployment, connectivity Datasource analysis Market Risk Counterparty Risk Operational Risk Deployment Users and roles specifications Access controls Workshop and documentation Datasource analysis Spread Risk Concentration Risk Life Risk Deployment Deployment to PRODUCTION environment Physcical deployment Datasource analysis Non Life Risk Non Life CAT Risk Health Risk Asseco & SII business partner Datasource analysis tasks covers ½-1 day workshops. SII Engine expert Solvency II Expert Engine Configuration tasks cover 1½-2 days work configuring the engine side of the data sources; They can then be switched between the default manual source and the configured automated source. Workflows and company specific validations must be estimated. Engine Configuration Market Risk Counterparty Risk Operational Risk Datasourcing projects covers the dataware-house project, core system extract project, or definition of manual sourcing processes. They may run in parallel, and deliver data to the running engine at such time as they complete. Engine Configuration Spread Risk Concentration Risk Life Risk Datasourcing projects Life risk Non life risk Market risk Spread risk Counterparty Risk Operational risk Concentration risk Engine Configuration Non Life CAT Risk Non Life Risk Health Risk

38 SII Engine For further information Bo Ørskov Koldenborg Director of Sales, Partner