Insurance Asset Risk 2015

KEYNOTE ADDRESS

Vidur Bahree, Head of Financial Management Group, PHOENIX GROUP

Working with the rules: ALM and asset allocation strategies for a Solvency II compatible balance sheet

• Allowing for asset risk in the internal model and the implications for ALM strategy
• How does ALM fit into the wider risk management framework under Solvency II
• How has the use of the internal model driven changes in asset allocation and the approach to liability-matching
• Constructing capital efficient portfolios - matching adjustment
• Maximising the universe of eligible assets
• Embedding management processes around on-going compliance
• Capital optimisation
• Constructing capital efficient portfolios - other portfolios

Iain Forrester, Head of ALM, STANDARD LIFE

PANEL DISCUSSION: Absolute return: addressing asset risk and improving yields by better diversification in a low interest rate environment:

• Coping with low yields whilst preparing for rising rates – defining a long-term investment strategy to meet and exceed your goals
• Pushing the boundaries – how insurers can broaden their portfolios across sectors and geography in the search for good yield?  
• Putting risk first in a volatile investment environment – the role of absolute return within the risk budget.
• Managing correlations across the investment spectrum – where will the opportunities lie for insurers to diversify in the future?
• The importance of transparency, liquidity and robust risk controls – can an unconstrained investment approach be compatible with the requirements of Solvency II?
• Insource or outsource – who is best placed to implement an absolute return strategy?

This session will include a 20 minute introduction looking at the theoretical side of asset risk diversification, followed by a 30 minute panel discussion looking at the applied practicalities of implementing such a strategy within a SII framework.

Panellists: 
- Erkki Kautto, Chief Risk Officer, LocalTapiola Mutual Life Insurance Company
- Marieke van Kamp,Head of Real Estate & Alternatives, NN Group Investment Office, NN GROUP
- Simon Armand-Smith, Head of Investment Risk, BEAZLEY
- Vincent Chailley, Chief Investment Officer, H2O ASSET MANAGEMENT

Moderator: 
- Alex Wharton, Director, UK & Ireland Institutional Business, NATIXIS GLOBAL ASSET MANAGEMENT

Investment strategy in a low yield environment

• Asymmetric risk-return trade-off and implications for ALM
• Optimal use of risk and liquidity capacity when designing asset allocation

Michael Christen, Head of ALM & Strategic Asset Allocation, ZURICH INSURANCE GROUP

Asset allocation can be done in the context of enterprise risk management from the perspective of senior management.

This session looks at how the same ERM approach for identifying risks, and measuring and controlling those risks is cascaded down into the investment process.
It looks at how management and investment teams intertwine to achieve true enterprise risk management.
For example: Asset allocation decisions are taken in the context of possible profit and loss, who therefore takes responsibility for asset allocation decisions? Investment team or management?
How do you aggregate data for management so that it is both meaningful and accurate?

Chris Myers, GR-NEAM Ltd
Tobias Gummersbach, GR-NEAM Inc

PANEL DISCUSSION: The changing face of retirement strategies: impact on the business model and the asset liability profile

• 2014 budget shake up: impact of a reduced annuities market on:
  • product choice and development – how do you broaden your offering to retain retirement money
  • risk appetite for insurers
• The annuity resale plan: the next big challenge to contend with?
• how feasible is the creation of a 2nd hand annuities market?
• obstacles to the creation of such a market?
• what is likely to drive this becoming a reality in the face of these obstacles?
• who stands to gain and who stands to lose?
• how would the plan be implemented in practice – analysis of the scenario if this type of market really did exist
• is it achievable with the current stock of annuities or does it necessitate a new system for new lives? can a market be set up for new annuities?
• where does this leave the matching adjustment?
• what does this mean for investing in illiquid assets?

• IORP Directive and EIOPA stress testing on pension schemes – how will these affect IORPs' approach to risk and asset allocation.

Panellists: 
- Miriam Arntz, Senior Manager, Group Actuarial and ALM, OLD MUTUAL GROUP
- Joseph Lu, Director Longevity Science, LEGAL & GENERAL
- Kevin O'Regan, Head of Longevity and Portfolio Reinsurance, PARTNER RE
Moderator:
- Simon Erritt, Managing Director, Finance, COVENTRY CAPITAL

Asset data reporting under Pillar 3 - addressing the gaps and challenges

• Solvency II raises the bar for Asset data quality
• Challenges of managing data within the Solvency II distribution chain
• Identifying key gaps and 'new' data requirements
• Assessing the impact of Implementing Technical Standards (ITS) & guidelines
• Who performs the data 'heavy lifting?'
• Deriving value through innovative collaboration

Darren Marsh, Senior Product Manager, SIX FINANCIAL GROUP

KEYNOTE: Market and regulatory conditions driving investment decisions over the next 12 months

• As an introduction: an international comparison:
• Japan and Switzerland: the extreme cases
• Euroland: the new comers in a low rate environment, in solvency 2 with huge disparities from Germany to peripherals
• UK and US: at the end not so low?

• Some solutions:
• Selling liquidity
• Barbellising risk
• Leveraging?

Bruno Charlin, Chief Investment Officer, AXA UK

Solvency II - what about derivatives

• Incorporating derivatives into your investment strategy
• Managing counterparty and collateral
• Qualifying for risk mitigation hedging benefits
• Sourcing data and managing reporting

Lindsey Matthews, Managing Director, UBS DELTA

Use of efficient frontier analysis in strategic asset allocation

• What information should be captured in an Efficient Frontier SAA analysis
• The selection of risk and reward metrics
• How to develop optimal investment strategies under Solvency II requirements
• Important issues when considering today's investment environment

Ken Griffin, Managing Director | Risk & Capital Management Solutions, CONNING
Dan MacKenzie, Director | Risk & Capital Management Solutions, CONNING

PANEL DISCUSSION: The allure of illiquid assets - a bonanza of infrastructure and private placement opportunities in the EU?

• How the capital markets union and the Juncker plan could create a liquid pan-European market in infrastructure and corporate debt - getting the conditions right for investment
• Why this is good news for insurers
• What expertise do you need to access these markets?
• Addressing regulatory capital treatment of illiquid assets
• What percentage of your portfolio should be held in less liquid assets?
• How should the pricing be impacted by the liquidity premium?

Panellists:
- Edouard Jozan, Head of Asset Liability Management & Investment Strategy, ALLIANZ FRANCE
- Mrs Emmanuelle Nasse Bridier, Group Chief Credit Officer, AXA GROUP
- Andreas Viljoen, Policy expert, DG FISMA, EUROPEAN COMMISSION
- Munawer Shafi, Insurance LDI Fund Manager, AVIVA INVESTORS

Moderator:
- Peter McGloughlin, Executive Director, Insurance & Pensions Solutions, BNP PARIBAS