Abstract - Climate change represents a significant financial risk to the insurance industry, but research has yet to assess whether the industry is managing this risk. Through the application of scale as a vertically nested hierarchy of relationships, this paper seeks to evaluate whether insurers are ‘rescaling’ risk management practices to accommodate the temporal and spatial uncertainty associated with climate change. This framework is applied to a content analysis of 178 (183) responses to the 2012 (2015) U.S.

This report discusses why climate change is a risk facing defined contributions pensions - in terms of physical risk, transition risk and liability risk. It discusses two case studies - HSBC Bank (UK) Pension Scheme & NEST.

Update from the Wealth Management Sub-Committee of the Life Insurance and Wealth Practice Committee of the Institute of Actuaries of Australia

Having watched the growing politicisation of banking, aggressive media handling of the issues, and the continuing inability of the banks to push back, I am keen to offer a personal view of what banks might do to handle these problems. I am doing this partly out of frustration: I spent 13 years as CEO of a major domestic bank in Australia and since witnessed a deterioration in public trust and the seeming inability of bank boards and their executives to respond.

Slides from the Society of Actuaries in Ireland 2016 ERM Conference

The general management literature has long focused on the agency risks involved in the relationship between general managers and shareholders. Shareholders can deploy contractual and noncontractual mechanisms to reduce these inefficiencies. This study examines—based on a broad international sample of investment contracts—how the use of contractual and noncontractual mechanisms is related to the degree of risks associated with the venture’s development stage as well as how these practices differ across countries.

We revisit the evidence on real effects of uncertainty shocks in the context of interest rate uncertainty, which can readily be hedged in the interest rate swap market. We document that adverse movements in interest rate uncertainty predict significant slowdowns in real activity, both at the aggregate and at the firm-level. To understand how firms cope with interest rate uncertainty, we develop a dynamic model of corporate investment, financing and risk management and test it using a rich dataset on corporate swap usage.

In this paper, the question addressed is as to whether the Solvency II standard formula provides a good measure for the interest rate risk an insurer is facing. In order to answer this question, several simplifications of the standard formula are considered and an alternative method is proposed to simulate the future term structures of interest rates to provide a better insight in the interest rate risk of an insurer.

Hedge accounting of interest rate risk according to IAS 39 is applied to avoid P&L volatility resulting from accounting mismatch, and it is a common practice. However, issues concerning hedge accounting have not ceased to be items of topical interest. This analysis will show that hedge accounting of interest rate risk relies upon modern approaches of financial economics which are related to the pricing of interest rate derivatives. Derivative markets play a fundamental role for hedge accounting and are used to derive the valuation model used under IAS 39.

A common way of quoting a swaption price is referring to its 'implied volatility' rather than the price itself. The implied volatility for the swaption is the volatility parameter required in a benchmark pricing model, which allows for closed-form prices, for the modelled price to replicate the market price of the swaption. The benefit of this method of quotation is that it removes the effect of the parameters not related to volatility that are contributing to the swaption price, such as the underlying yield curve, its strike, maturity, and tenor.