Own Risk Solvency Assessment (ORSA)

Recent Moody's Analytics ORSA Insight

Webinar  InsuranceERM Frontrunner Video Interview
In this video, Colin Holmes, MD Insurance Solutions, discuss how Moody's Analytics has helped, and is helping, insurers meet the challenges of Solvency II and beyond.

Date: February 16, 2016
   
Insight Icons White paper  Multi-year Modeling of Greeks Using Least Squares Monte Carlo: An Exotic Option Case Study 
In this paper we extend the analysis contained in a previous case study by considering a more complex example: a lookback option. We show that the methodology can produce a similar quality of fitting performance for the lookback option as in the vanilla option case. We also discuss the methodology adjustments necessary for the Greeks fitting strategy in order to accurately fit to forms of path-dependent, exotic options such as lookbacks.
   
Insight Icons White paper  Efficient Asset Allocation with Least Squares Monte Carlo 
Asset optimization which focuses only on the distributional characteristics of an investment portfolio will fail to achieve an optimal portfolio from the perspective of value creation for a life insurance firm. In this paper we show how this issue can be resolved through the application of Least Squares Monte Carlo techniques.

Authors: Romain Lombard, Alexis Bailly
Date: January 13, 2014 
   
Insight Icons White paper  Multi-year Projection of 1-yr VaR Capital Requirements and Free Surplus
A recent research report presented methodologies and case studies for the development of proxy functions for use in an efficient multi-year projection of the market-consistent liability values of complex life liabilities. This report further extends the applicability of these methodologies to a third application: the multi-year projection of one-year VaR capital requirements.

Authors: Steven Morrison, Craig Turnbull, and Naglis Vysniauskas
Date: November 8, 2013
   
Insight Icons White paper  Multi-year Projection of Run-off Conditional Tail Expectation (CTE) Reserves
In this paper, we describe and demonstrate how the capability to efficiently produce robust and accurate proxy functions for CTE(70) run-off reserve behavior across a wide range of multi-timestep, multi-risk-factor scenarios can significantly enhance a firm's forward solvency projection analytics.

Authors: Steven Morrison, Craig Turnbull, and Naglis Vysniauskas
Date: July 17, 2013 
   
Insight Icons White paper  ORSA: Prospective Solvency Assessment and Capital Projection Modelling
Insurers need a modelling capability that meets two key requirements: to determine appropriate multi-year scenarios (deterministic stress tests or stochastic) in which to project the insurer’s business and to accurately assess the capital requirements that would be created within these scenarios.

Authors: Craig Turnbull and Andy Frepp
Date: June 7, 2013
   
Insight Icons Powerpoint slide  ORSA and Multi-period Capital Projection  
This presentation offers an overview of ORSA and the quantitative modeling requirements needed. You will learn more about the Least-Squares Monte Carlo (LSMC) approach, which is an important component of a firm’s ORSA in the context of solvency capital projection. In addition, it examines multi-year proxy function applications based on stochastic projections, reverse stress testing, and scenario testing.

Author: Gavin Conn
Date: May 24, 2013
   
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