Risk Management and ICAAP

Adam Searle

© Actuaries Institute

This presentation has been prepared for the Actuaries Institute 2016 Managing Extreme Events (In an Uncertain World).The Institute Council wishes it to be understood that opinions put forward herein are not necessarily those of the Institute

and the Council is not responsible for those opinions.

• Purpose of the ICAAP• ICAAP requirements

Risk identification, measurement,

monitoring, and

management

Target capital level

determination

Strategy for managing

capital level

Capital monitoring

Reporting to the Board and

Senior Management

ICAAP Summary Statement

and Annual ICAAP Report

Adequate documentation

Board ownership of

process

Level 2 requirements

Robust independent

review at regular intervals

ICAAP Components

Topics• ICAAP Survey (select outputs)• ICAAP Independent reviews• Public data / benchmarks

KPMG ICAAP Survey

© KPMG Actuarial Pty Ltd

This presentation has been prepared for the Actuaries Institute 2016 Managing Extreme Events (In an Uncertain World).The Institute Council wishes it to be understood that opinions put forward herein are not necessarily those of the Institute

and the Council is not responsible for those opinions.

Mix of Profile of Respondents

Mono-line

insurer

2 to 5 LOBs written

6 or more LOBs

written

Lines of Business (LOBs)

Company registered in Australia

Branch

Domicile status

Direct

ReinsurerPosition

Yes

No

Part of a conglomerate that also offers Life Insurance and/or

Banking

© KPMG Actuarial Pty Ltd

Target capital level (multiple of PCR)

© KPMG Actuarial Pty Ltd

Board’s involvement in ICAAP

© KPMG Actuarial Pty Ltd

Number of ICAAP stress test scenarios presented to Board

© KPMG Actuarial Pty Ltd

Stress/scenario test features

© KPMG Actuarial Pty Ltd

Reverse stress test scenarios presented to Board

© KPMG Actuarial Pty Ltd

ICAAP Independent Reviews

- Common themes

This presentation has been prepared for the Actuaries Institute 2016 Managing Extreme Events (In an Uncertain World).The Institute Council wishes it to be understood that opinions put forward herein are not necessarily those of the Institute

and the Council is not responsible for those opinions.

• Overall Comments• Maturity• Documentation• Board Involvement• Capital restoration• Future?

Public data / benchmarks(APRA General Insurance Institution-level statistics)

This presentation has been prepared for the Actuaries Institute 2016 Managing Extreme Events (In an Uncertain World).The Institute Council wishes it to be understood that opinions put forward herein are not necessarily those of the Institute

and the Council is not responsible for those opinions.