SAM QRT Workshop Non-life Technical Provisions Templates
September 2013 SAM
Pill
ar
3 –
Non-life T
P Q
RTs
1
Agenda
• Welcome and introduction
• Background and guiding principles to the development of QRT’s
• Segmentation (Non-Life Insurance)
• Non-Life Technical Provisions QRT’s
• General
• Questions and closure
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
2
“Renewed market confidence requires accurate valuation and the prompt disclosure of relevant risk information.”
Source: CRO Forum – Insurance Risk Management Response to the Financial Crisis
Background and guiding principles to the development of the QRT’s
3
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
DISCUSSION POINTS
• Reporting Task Group (RTG) Initiatives
• Formation of FIRe Working Group
• Guiding principles used by FIRe
• Output of FIRe
• Consultation with industry experts
• Interaction with RTG
• Questions
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
4
RTG INITIATIVES
• RTG Terms of reference:
“……..To deliberate and advise on the implementation of reporting requirements and standards based on Pillar III of the Solvency II Directive …….”
• RTG “feeds” into Pillar III sub committee as part of the
SAM structures
• RTG membership: representatives from Industry,
Consultants & FSB SAM
Pill
ar
3 -
Non-life T
P Q
RTs
5
RTG INITIATIVES (Cont)
• Used Solvency II templates as a starting point (terms of
reference)
• Working Groups made excellent progress
• But then, decisions were required to progress further
• FSB input and guidance became critical
• FIRe was formed
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
6
FIRe • FSB and Industry Reporting Working Group
• Smaller group; Industry and Consultants from across the sector
• FSB – HoD’s, Pillar chairs, and others
• Guiding principles when FIRe commenced:
• Separate and Combined FIRe meetings
• What information the FSB would require and why
• What is the best format in which to receive info
• To use output of RTG as much as possible
• Output of FIRe back to RTG
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
7
FIRe (Cont)
• Commenced by grouping required information into sections:
Solvency, Liquidity, Volume, etc.
• Discussed and agreed in FIRe (Combined) meeting
• Then scanned various jurisdictions for format of reporting (Sol
II, APRA, SARB, QIS II, etc.)
• For the Life Technical Provisions templates, the best fit was SA
QIS II
• Then we mapped RTG output into QIS II format and feel and
debated fit against FSB requirements
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
8
FIRe (Cont)
• Guiding principles in refining templates:
• Risk based supervision
• What to do with information
• How to sort or filter information
• Standardisation: closed lists, drop down boxes, segmentation
• One return for life and non-life
• Attempt to link with Pillar I stresses & calculations
• Comparatives – only Balance Sheet at this stage
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
9
FIRe (Cont)
• Reconciliation – Balance Sheet format, valuation differences only
• Standardised vs. Customised sheets; Company information will
customise to some extent
• Log files; possibly to be augmented at later stage
• Mindful of software package functionality
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
10
FIRe (Cont)
• Work in progress
• Segmentation of classes of business for reporting purposes
• Definition for foreign business
• Findings of the SAM Reinsurance Project
• Actual thresholds still to be defined
• Numbering of columns; Sequence of templates
• Formulae
• Public comment following Steerco will be channelled back to
RTG / FIRe as appropriate
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
11
Segmentation
12
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
Segmentation
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
13
• Discussion Document 29 (v5) defines Non-Life insurance and section 7.2 sets out the proposed authorisation classes and sub-classes for non-life insurance
• Proportional reinsurance may be written under the same authorisation classes as apply to direct insurance
• Re(insurers) wanting to accept non-proportional reinsurance will have to be specifically authorised for the non-proportional reinsurance class, as well as the classes of business from which the non-proportional reinsurance originates
Definition of Non-Life Insurance
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
14
Non-life insurance - means any arrangement under which a person against direct or indirect, or partially or fully subsidised, payment of any consideration, accepts a risk from another person;
(a) by undertaking to -
(i) restore that other person or that person’s estate or another identified person to the actual financial position (or a part thereof) that person would have been in if not for the happening of a specific uncertain future event; or
(ii) make good the actual financial loss or liability for actual financial loss (or a part thereof) of that other person or that person’s estate or another identified person;
(b) on the happening of a specific uncertain future event, excluding events relating to disability, life or death, in which that other person or that person’s estate or another identified person at the start of the arrangement and at any time thereafter has an insurable interest in respect of the non-occurrence of that event;
and includes a renewal or variation of that arrangement.
(DD29)
Segmentation
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
15
Main Class Sub Class
1) Accident and Health
2) Motor a) Personal b) Commercial
3) Aircraft
4) Marine
5) Rail
6) Transport
7) Agriculture
8) Engineering
9) Property a) Personal b) Commercial
Segmentation
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
16
Main Class Sub Class
10) Liability a) Motor b) Aircraft c) Marine d) Rail e) Transport f) Engineering g) Other
11) Trade credit, suretyship and guarantees
12) Consumer credit
13) Legal
14) Travel
15) Miscellaneous
16) Non-proportional reinsurance
SAM Balance Sheet
17
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
Overview and key elements
Pillar 1
Assets
Liabilities
Technical Provisions
MCR
SCR
Own Funds
Pillar 2
Governance Framework
Control Functions
Risk Management
System
ORSA
Stress testing
Pillar 3
Private Reporting
Public Disclosure
Qualitative reporting
Quantitative reporting
Quarterly and annual
Insurance Groups
Definition
Scope
Supervision
Methods of calculation S
AM
Pill
ar
3 -
Non-life T
P Q
RTs
18
SAM Balance Sheet
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
19
C D
B
A
Free assets
Assets Covering Technical
Provisions, MCR & SCR (including
financial instruments)
SCR
Technical Provisions (including financial
instruments)
A - MCR
B - Risk Margin
C - Market consistent valuation for hedgeable risk components
D - Best Estimate
B & D are for non-hedgeable risk components
SCR reflects risk of the Total Balance Sheet • Market Risk • Counterparty Default
Risk • Life Underwriting Risk • Non-life Underwriting
Risk • Health Underwriting
Risk • Operational Risk
Other liabilities
Assets include • Goodwill • Intangibles • PPE • Owner occupied
property • Participations • Asset holding
intermediaries • Investments • Derivatives • Deferred and current
tax • Current and other
assets
Other Liabilities • Deferred and current
tax • Contingent liabilities • Employee benefits
Non-Life Technical Provisions QRTs
20
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
Analysis of the gross technical provisions and reinsurance recoveries distinguish between direct business and inwards reinsurance by type of reinsurance.
Overview
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
21
1. Technical provisions & Reinsurance and SPV recoveries
Details of the best estimate assumptions used in the valuation of Other Technical, Premium and Claims provisions and Risk margin.
2. Assumptions
Claims information in the form of run-off triangles by accident/underwriting and development quarter.
3. Triangles
Analysis of the actual and expected best estimate assumptions used in the previous valuation.
4. Sufficiency
Movements in the number of policies/contracts, premiums, claims volumes over the reporting year.
5. Movements
TP1S – Non-Life Technical Provisions
Non- Life Technical Provisions QRTs
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
22
TP1.1S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries
TP1.11S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Proportional)
TP1S_F – Non-Life Technical Provisions (Foreign Only)
TP1.12S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Non-Proportional)
TP1.13S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Non-Traditional and SPV)
TP1.14S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Proportional)
TP1.15S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Non-Proportional)
TP1.16S – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Non-Traditional and SPV)
TP1.1S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Foreign Only)
TP1.11S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Proportional, Foreign Only)
TP1.12S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Non-Proportional, Foreign Only)
TP1.13S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Treaty Non-Traditional and SPV, Foreign Only)
TP1.14S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Proportional, Foreign Only)
TP1.15S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Non-Proportional, Foreign Only)
TP1.16S_F – Non-Life Technical Provisions – Reinsurance and SPV Recoveries (Facultative Non-Traditional and SPV, Foreign Only)
TP2.1S – Non-Life Technical Provisions – Other Technical Provisions Assumptions
Non- Life Technical Provisions QRTs
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
23
TP2.2S – Non-Life Technical Provisions – Premium Provision Assumptions
TP2.3S – Non-Life Technical Provisions – Claims Provision Assumptions
TP2.4S – Non-Life Technical Provisions – Risk Margin Assumptions
TP3.1S – Gross of Reinsurance and SPV Recoveries Claims Triangles
TP3.2S – Net of Reinsurance and SPV Recoveries Claims Triangles
TP3.3S –Claims Number Triangles
TP4.1S – Non-Life Technical Provisions – Other Technical Provision Sufficiency
Non- Life Technical Provisions QRTs
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
24
TP4.2S – Non-Life Technical Provisions – Premium Provision Sufficiency
TP4.3S – Non-Life Technical Provisions – Claims Provision Sufficiency
Non- Life Technical Provisions QRTs
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
25
TP5.1S – Policy and Premium Movement - Direct Business
TP5.1S_F – Policy and Premium Movement - Direct Business (Foreign Only)
TP5.2S – Contract and Premium Movement - Inwards Reinsurance Business
TP5.3S – Claims Movement
TP5.2S_F – Contract and Premium Movement - Inwards Reinsurance Business (Foreign Only)
TP5.3S_F – Claims Movement (Foreign Only)
Technical Provisions Purpose
• TP1S and TP1S_F provides a breakdown of the components of technical provisions calculated in the valuation
• Enable the FSB to assess the risk profile of the business and an analysis of sufficiency of claims provisions
• Split loss adjustment expenses (LAE) to ensure adequate provision is made for all expense cash flow items
• Undiscounted amounts are disclosed to assess the impact of discounting
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
• Contracts should be unbundled into the appropriate lines of business, where risk covers across different classes of business
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
26
TP1S and TP1S_F
Technical Provisions Data fields (continued)
• Best estimate liabilities (BEL)
• Other technical provisions (Cash back/loyalty, contingent commissions, other contingent payments)
• Premium provisions
• Claims provisions (OCR & IBNR) split between claims amounts and allocated and unallocated loss adjustment expenses
• Reinsurance and SPV recoveries
• Risk margin (RM)
• Technical provisions as whole
• Gross and net of reinsurance
• Total provisions undiscounted
• Disclose foreign only and if certain threshold TP1S_F needs to be completed
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
27
TP1S and TP1S_F
Reinsurance and SPV recoveries Purpose
• TP1.1S to TP 1.16S_F provides a breakdown of the components of reinsurance and SPV recoveries associated with the gross technical provisions by segment and sub-segment
• Recoveries from reinsurers and SPV’s should be stated after adjustment for expected losses due the possibility of default of the reinsurer
• Enable the FSB to to understand the impact of reinsurance and counterparty risk from reinsurance
• Undiscounted amounts are disclosed to assess the impact of discounting
Data fields
• Reinsurance recoveries on direct business and inwards reinsurance business by segment and sub-segment
• TP 1.1 S and TP 1.1S_F summarises the results for TP1.11S to TP1.16S_F respectively
• Disclose foreign only and if certain threshold TP1S_F needs to be completed
• Contracts should be unbundled into the appropriate lines of business, where risk covers across different classes of business.
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
28
TP1.1S to TP1.16S_F
Reinsurance and SPV recoveries Data fields (continued)
• Reinsurance and SPV recoveries are analysed separately as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
• Best estimate for reinsurance and SPV recoveries
• Other technical provisions (Cash back/loyalty, contingent commissions, other contingent payments)
• Premium provisions
• Claims provisions (OCR & IBNR) split between claims amounts and allocated and unallocated loss adjustment expenses
• Technical provisions as whole
• Total reinsurance and SPV recoveries
• Total reinsurance and SPV recoveries undiscounted
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
29
TP1.1S to TP1.16S_F
Other Technical Provisions Assumptions Purpose
• The template splits the assumptions into three sections:
• Cash-Back and Other Loyalty Provisions
• Contingent Commission Provisions
• Other Contingent Payment Provisions
• No prescribed basis under SAM to value these provisions
• Need to analyse homogenous risk groups (HRGs) according to nature of the risks underlying the contract
• Enable the FSB to better understand the valuation, give an overall indication of the duration of liabilities used in the calculation and monitoring of risks and actuarial judgement applied
• Due to non-standard nature of the Contingent Commission and Other Contingent Payment structures key assumptions need to be provided
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
30
TP2.1S
Other Technical Provisions Assumptions Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
31
TP2.1S
∙HRGs ∙How many HRGs ∙Pay out depending on claim status ∙Vesting period ∙Ave duration to payout ∙Ave benefit as % of premium ∙ Lapse rates ∙Claims frequency ∙Actuarial judgement
Cas
h b
ack
& lo
yalt
y ∙HRGs ∙Profit commission structures ∙Sliding scale commission structures ∙Other ∙Actuarial judgement
Co
nti
nge
nt
com
mis
sio
ns ∙HRGs
∙Other commission payment structures ∙Actuarial judgement
Oth
er c
on
tin
gen
t p
aym
ent
Premium Provision Assumptions Purpose
• The template provides details of the best estimate assumptions
• No prescribed basis under SAM to value these provisions
• Need to analyse homogenous risk groups (HRGs) according to nature of the risks underlying the contract
• Enable the FSB to better understand the valuation, give an overall indication of the duration of liabilities used in the calculation and monitoring of risks and actuarial judgement applied
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
32
TP2.2S
Premium Provision Assumptions Data fields
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
33
TP2.2S
∙HRGs ∙How many HRGs ∙Ave contract boundary ∙Ave policy term ∙Discounted mean term ∙Assumed lapse rates ∙Ave RI commission ∙Ave inflation rate ∙Actuarial judgement
∙Ave annualised premium per policy ∙Other cash flows as a % or premium
Gro
ss c
ash
infl
ow
s ∙Ultimate LR net of non-RI recoveries ∙Ultimate expense ratio ∙Ave initial expenses per contract ∙Ave commission rate ∙Other cash flows as a % of premium G
ross
cas
h o
utf
low
s
Claims Provision Assumptions
Purpose
• The template provides details of the best estimate assumptions as follows:
• Best Estimate Claims Provision
• Best Estimate ALAE
• Best Estimate ULAE
• No prescribed basis under SAM to value these provisions
• Need to analyse homogenous risk groups (HRGs) according to nature of the risks underlying the contract
• Assumptions used should be representative of grouping as a whole
• Enable the FSB to better understand the valuation, give an overall indication of the duration of liabilities used in the calculation and monitoring of risks and actuarial judgement applied
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
34
TP2.3S
Claims Provision Assumptions
Data fields
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
1. Best estimate claims provisions – Ranking of methods used
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
35
TP2.3S
∙HRGs ∙How many HRGs ∙Discounted mean term ∙Allowance for RI explicitly
∙DFM ∙BF ∙ LR ∙ACPC ∙% Premium ∙Simplifications ∙Other ∙Description
Paid
cla
ims
Incu
rred
cla
ims ∙DFM
∙BF ∙ LR ∙ACPC ∙% Premium ∙Simplifications ∙Other ∙Description
Claims Provision Assumptions
1. Best estimate claims provisions – Gross assumptions
1. Best estimate claims provisions – Cumulative development factors
• Paid, Incurred or Numbers triangles
• Provide information for 10 development years
• Tail factor if > 10 years
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
36
TP2.3S
∙Ave claim amount ∙ Initial expected loss ratio ∙% Premium ∙Key assumptions for other methods ∙Actuarial judgement
OCR & IBNR ∙Assumed annual frequency ∙Assumed severity
First simplification
∙OCR – Ave case estimate ∙ IBNR - Factor
Second simplification
Claims Provision Assumptions
2. Best estimate ALAE assumptions
• Implicit/explicit
• Method used (i.e. triangle, % premiums, % claims, other)
• Description if other
• Actuarial judgement used
3. Best estimate ULAE assumptions
• Items allowed for (e.g. rent, salaries)
• Portion of total ULAE
• Actuarial judgement used
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
37
TP2.3S
Risk Margin Assumptions
Purpose
• This template provides details of the projected SCR run-off used in the risk margin calculation
• Will give the FSB an understanding of the drivers of the risk margin and how it will run-off over time
Data fields
• Method for calculating (i.e. full or partial internal model or standard formula)
• Method for allocating to line of business (i.e. premiums, BEL, SCR or Other)
• Full Calculation or Risks Approximation (SCR Runoff in years) and allocated by driver
• SCR Approximation (Runoff years)
• Duration approach – complete the total projected SCR run-off and duration
• Other method plus a description
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
38
TP2.4S
Claims triangles
Purpose
• The template provides information in the form of run-off triangles by accident/underwriting and development quarter and split as follows:
• Gross of reinsurance and SPV recoveries
• Net of reinsurance and SPV recoveries
• Claims numbers
• Will provide the FSB with granular data to assess whether the provisioning is sufficient and for other supervisory purposes (e.g. monitor claims management and collation of industry data)
• Enable comparison between the BEL and development of claims experience
• To monitor and recalibrate, if necessary, the non-life premium and reserve risk sub-modules of the standard formula S
AM
Pill
ar
3 -
Non-life T
P Q
RTs
39
TP3.1S to TP3.3S
Claims triangles Data fields
• Direct business and inwards reinsurance business by sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
• Data per quarter for 10 prior years
• Exclude:
• Natural catastrophe claims resulting from events with an estimated return period of longer than 10 years
• Claims relating to events allowed for under the man-made catastrophe section of the SAM standard formula
• Non-RI recoveries such as salvages
• ULAE
• Include:
• ALAE
• Claims from foreign business
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
40
TP3.1S to TP3.3S
Claims triangles
Data fields
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
41
TP3.1S to TP3.3S
Gross cumulative paid claims
Gross projected ultimate claims
TP3
.1S
Gross cumulative incurred claims
Net cumulative paid claims
Net projected ultimate claims
TP3
.2S
Net cumulative incurred claims
Cumulative number of claims paid
Projected ultimate claim numbers
TP3
.3S
Cumulative number of claims incurred
Other Technical Provisions Sufficiency Purpose
• The template analysis of the actual and expected best estimate assumptions used in the previous valuation into three sections:
• Cash-Back and Other Loyalty Provisions
• Contingent Commission Provisions
• Other Contingent Payment Provisions
• Provide the FSB with an indication of the suitability of the assumptions used in the valuation
• Assumptions used should be representative of grouping as a whole
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
42
TP4.1S
Other Technical Provisions Sufficiency Data fields
1. Cash back & loyalty
2. Contingent commission provisions
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
43
TP4.1S
Ave benefit as a % of premium
Ave duration to pay-out (months)
Assumed Annual Lapse Rate
Assumed Annual claims frequency
PY Expected, PY Actual and Actual/Expected
Sliding scale commissions
Profit commission Other contingent commissions
Key assumptions (up to 5)
PY Expected, PY Actual and Actual/Expected
Other Technical Provisions Sufficiency Data fields
3. Other contingent payment provisions
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
44
TP4.1S
Other contingent payment provisions
Key assumptions (up to 5)
PY Expected, PY Actual and Actual/Expected
Premium Provisions Sufficiency Purpose
• The template analysis of the actual and expected best estimate assumptions used in the previous valuation
• Provide the FSB with an indication of the suitability of the assumptions used in the valuation
• Assumptions used should be representative of grouping as a whole
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
45
TP4.2S
Premium Provisions Sufficiency Data fields
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
46
TP4.2S
Previous year actual/ previous year expected
Lap
ses Previous year
actual
Previous year expected O
ther
cas
h in
flo
ws
as %
of
pre
miu
ms
Ult
imat
e LR
net
of
reco
vera
ble
s
Ult
imat
e ex
pen
se r
atio
Ave
init
ial e
xpen
ses
Ave
an
nu
al in
flat
ion
rat
e
Oth
er c
ash
ou
tflo
ws
as %
of
pre
miu
ms
Gross cash outflows
Claims Provisions Sufficiency
Purpose
• The template provide an analysis to assess claims provision sufficiency for the previous financial year
• Provide the FSB with an indication of the suitability of the assumptions used in the valuation
Data fields
• Direct business and inwards reinsurance business by segment and sub-segment
• Reinsurance inwards is analysed further as follows:
• Treaty (proportional, non-proportional and non-traditional &SPV)
• Facultative (proportional, non-proportional and non-traditional &SPV)
• Requires gross and net of reinsurance and SPV recoverables information as well as for the past 10 accident/underwriting years
• Gross and net
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
47
TP4.3S
Claims Provision Sufficiency
Data fields
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
48
TP4.3S
∙Earned premiums where claims triangles are provided ∙Earned premiums for all business ∙% of business where triangles exist ∙Current estimate of ultimate loss ratio
∙Claims paid until previous FY ∙ULAE paid until previous FY ∙Previous FY best estimate ∙ OCR incl. ALAE ∙ IBNR incl. ALAE ∙ ULAE ∙ Total ∙PY projected ultimate claims at the end of each year
Pre
vio
us
fin
anci
al y
ear
dat
a ∙Claims paid during current FY ∙ULAE paid during current FY ∙Best estimate at the end of current FY ∙ OCR incl. ALAE ∙ IBNR incl. ALAE ∙ ULAE ∙ Total ∙Projected ultimate claims at the end of current FY ∙Sufficiency of total claims provision
Cu
rren
t fi
nan
cial
yea
r d
ata
Pre
miu
m d
ata
Premium movements – Direct business Purpose
• The template provide an analysis of movements in the number of policies and premium volumes over the reporting year per
• Provide the FSB insight into the activities during the period and the changes in the insurer’s mix of business and risk profile
• Will help to assess the appropriateness of the estimates used in the premium risk sub-module of the standard formula
Data fields
• Requires information per segment and sub-segment for direct insurance business only
• Split between Monthly, Annual and Term (using the SAM contract boundary definition)
• TP5.1S_F requests the same information as TP5.1S in respect of foreign business provided that it exceeds a threshold to be determined by the FSB
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
49
TP5.1S & TP 5.1S_F
Premium movements – Direct business Data fields
1. Number of policies
2. Premiums
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
50
TP5.1S & TP 5.1S_F
Split between Annual, Monthly and Term
In force at start of
year
New Cancelled by P/H
Portfolio transfer in
Renewed Cancelled by insurer
Portfolio transfers
out
In force at end of year
Split between Annual, Monthly and Term
Written Earned Written Earned Written Earned Written Earned
Current Year Previous Year Current Year Previous Year
Gross Net
Premium movements – Inwards reinsurance business Purpose
• The template provide an analysis of movements in the number of policies and premium volumes over the reporting year
• Indicate percentage Lead reinsurer or a Follow reinsurer
• Required to gain an understanding of the systemic significance to the industry amongst other factors
• Provide the FSB insight into the activities during the period and the changes in the insurer’s mix of business and risk profile
• Will help to assess the appropriateness of the estimates used in the premium risk sub-module of the standard formula
Data fields
• Requires information per segment and sub-segment for inwards reinsurance business only
• TP5.2S_F requests the same information as TP5.1S in respect of foreign business provided that it exceeds a threshold to be determined by the FSB
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
51
TP5.2S & TP 5.2S_F
Premium movements – Inwards reinsurance business Data fields
1. Weighted average percentage share
2. Number of contracts
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
52
TP5.2S & TP 5.2S_F
Split between Lead or Follow
In force at start of
year
New Cancelled by cedant
Portfolio transfer in
Renewed Cancelled by
reinsurer
Portfolio transfers
out
In force at end of year
Lead Follow Lead Follow
End of current Year End of previous Year
Premium movements – Inwards reinsurance business Data fields
3. Premiums
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
53
TP5.2S & TP 5.2S_F
Split between Lead or Follow
Written Earned Written Earned Written Earned Written Earned
Current Year Previous Year Current Year Previous Year
Gross Net
Claims movement
Purpose
• The template provide an analysis of movement in the number and amount of open claims over the reporting year
• Provide insight into the claims management activities during the period and the changes in the insurer’s claims settlement patterns
• Will help to assess the appropriateness of the outcome of the reserve risk sub-module of the standard formula
Data fields
• Requires information per segment and sub-segment for direct insurance and reinsurance business
• Split between Monthly, Annual and Term (using the SAM contract boundary definition)
• TP5.3S_F requests the same information as TP5.1S in respect of foreign business provided that it exceeds a threshold to be determined by the FSB
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
54
TP5.3S & TP 5.3S_F
Claims movements
Data fields
1. Number of claims
2. Claim amounts
• Provide information for claims amounts in the same level of detail as number of claims above
• Split between Gross and Net
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
55
TP5.3S & TP 5.3S_F
Open at start of
year
Reported during the
year
Settled without payment
Portfolio transfer in
Reopen during the
year
Settled Portfolio transfers
out
Open at end of year
Request for industry comment
• Comments due by XX September 2013.
• Self containing formulas still to be finalised as the templates are still under construction.
• QRT, item, cell and log file references or general comment.
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
56
THANK YOU
SAM
Pill
ar
3 -
Non-life T
P Q
RTs
57