Copyright © 2010 SAS Institute Inc. All rights reserved. ERM Svenska aktuarieföreningen...

Copyright © 2010 SAS Institute Inc. All rights reserved.

ERM

Svenska aktuarieföreningen 2011-04-26

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Copyright © 2010, SAS Institute Inc. All rights reserved.

Vem är jag och varför är jag här?

SAS Institute AB Mjukvaruföretag Riskhantering växande

KTH Adj Prof Industriell ekonomi – tillämpning av finansmatematiska

modeller ERM utbildning start VT- 2012 del i CERA eventuellt

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SAS Institute

A Global Company The worlds largest privately owned

software company Between 20-25 % of annual turnover

is invested in R&D each year A leader in Business Analytics –

proactive decision making 11000 employees in 130 countries Financial industry is the largest

industry Risk is a focus area Combines technology and solutions Solves business specific challenges

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ERM kurser KTH – HT 2011 och VT 2012 - Measurement vs. Management

Class room ERM MR CR OR/GRC LR/ALM UR Aggregering

Gästföreläsare Dan Masfeld (Vattenfall) Catharina Lagerstam Joakim Jansson (HB) Ivan Thompson

(Swedbank) Gunnar Andersson??

(Folksam)

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CERA - In 2007, the Society of Actuaries developed the Chartered Enterprise Risk Analyst (CERA) credential in response to the growing field of enterprise risk management.

This is the first new professional credential to be introduced by the SOA since 1949.

Focus on how various risks, including operational, investment, strategic, and reputational combine to affect organizations.

CERAs work in environments beyond insurance, reinsurance and the consulting markets, including broader financial services, energy, transportation,….

It takes approximately three to four years to complete the CERA curriculum which combines basic actuarial science, ERM principles and a course on professionalism.

To earn the CERA credential, candidates must take five exams, fulfill an educational experience requirement, complete one online course, and attend one in-person course on professionalism

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Sirius årsredovisning 2009:The objectives of Sirius’ work with ERM are

Secure existing high profitability through better risk management.

Obtain better information for strategic management decisions.

Demonstrate strong risk management vis à vis rating agencies and other interested parties.

Provide stakeholders with transparent risk management information.

Comply with Solvency II requirements.

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Solvency I I

Market Value of Assets

Reserves

Solvency Capital Requirement (SCR)

Free AssetsMarket Risk

Credit Risk

Operational Risk

Underwriting Risk

Valuation of assets and liabilities based on the total balance sheet

approach

Risk Management

ApproachDecision Making

and Strategy

Risk Identificationand

Assessment

RiskMitigation

and Control

Reportingand

Monitoring

Old Mutual Group - Management Information DashboardSummary

Cost of cap. 10%

Triggers (% of limit)Red 100% Green 75%

Amber 90% Blue 50%

Market Consistent Profit

0

100

200

300

400

Q4 Q1 Q2 Q3 …Market Consistent EV Profit Budget

Economic Profit

050

100150200250

Q4 Q1 Q2 Q3 …

0.0%

2.0%

4.0%

6.0%

8.0%

Economic Profit Budget (LHS)RoC (RHS)

Economic Capital

01,0002,0003,0004,0005,0006,000

Q4 Q1 Q2 Q3 …ALM Market Credit

Liability Bus. Oper.

Ccy Budget

EaR

0200400600800

1,000

Q4 Q1 Q2 Q3 …

Risk Appetite Limit

Budget

BudgetBudget Limit

Sales by product vs. budget

P1

P2

P3

…YTD Budget

Lapse rates for life business

0.0%2.0%4.0%6.0%8.0%

10.0%

Q4 Q1 Q2 Q3 …Target

Target

Status

103%

79%

97%

Solvency II- ERM – Management Information dashboard

Developing a risk management system

Pillar 1 Pillar 2

Pillar 3

Risk margin

Best estimate

Copyright © 2010 SAS Institute Inc. All rights reserved. ERM Svenska aktuarieföreningen...

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