Solvency II - Matching Adjustment Portfolios in practice
An overview of the practicalities of managing a Matching Adjustment Portfolio (MAP) and lessons from recent MAP applications in the UK.
This presentation explores the key benefits and costs of a MAP application.
- Comparison of different approaches to the MAP calculation
- Benefits of the various optimisation methods for the hypothecation step
- Practicalities of developing a liquidity plan
- Issues around the P&L attribution process and identification of the tools required
To access podcasts please contact the Society: info@actuaries.ie
James Sharpe is an independent actuarial consultant based in the UK. James has almost 20 years’ actuarial experience with the last six year working on Solvency II Internal Models and Matching Adjustment Portfolios. James is a member of the Institute and Faculty of Actuaries Extreme Events Working Party.
Gus Williams is an independent actuarial consultant based in Ireland. Gus has 20 years of international experience working in consulting, life reinsurance and reinsurance.