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Risk Based Capital Modelling at Lloyds
© Lloyds2 Lloyds Market Structure SEE: Source: Lloyds Annual Report 2011 How the marketworks Getting covered Thepolicyholder The brokers The coverholders Members Managing agents Syndicates Corporation of Lloyds 2
© LloydsMF - introduction to ICAs3 Credit risk addresses the risks posed by all counterparties Reinsurance credit risk makes up the majority of syndicates credit risk and allows for the risk of downgrade, duration of recoveries and concentration of reinsurers Insurance risk covers underwriting risk and reserving risk Underwriting risk considers the risk of loss arising from prospective underwriting, reflecting the current point in the cycle and considering catastrophe, large and attritional losses separately Reserving risk considers the adequacy of set reserves, addressing the possible effects of changes in legislation, emergence of latent claims and making allowance for trends such as inflation All FSA risk groups are addressed within syndicate ICAs Increase in market risk ICAs are driven primarily by insurance risk
© LloydsMF - introduction to ICAs4 Syndicate ICAs are essential element of capital setting process at Lloyds Syndicate risk information to Stochastic model and other risk information 35% Uplift applied to reach Economic Capital level desired ICAS agreed Syndicate ICA Submissions Allocated to members Lloyds ICA and desired Central Fund established Funds at Lloyds Reviewed by Lloyds RDS returns Business Plans Other data
© Lloyds Successful implementation at Lloyds represents a unique challenge Lloyds internal model 5
© Lloyds Lloyds planning for total capital to be similar under Solvency II to now Total 1:200 asset stack Solvency II Technical Provisions UK GAAP Technical Provisions ICA SCR (one year risk) Ultimate Risk Uplift and Central Assets NowSolvency II Adjust for premium debtors moving to TPs 6
© Lloyds Six year summary (2001 – 2006) Pre-tax result £bn(3.1) (0.1)3.7 Combined ratio (%) Investment return (%) Gross written premiums £bn Net resources £bn Pre-tax return on capital (%)(70.8) (0.9)31.4 7
© Lloyds Six year summary (2007 – 2012) Pre-tax result £bn (0.5)2.7 Combined ratio (%) Investment return (%) Gross written premiums £bn Net resources £bn Pre-tax return on capital (%) (2.8)14.8 8
© Lloyds 2012 Thank You 9
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