Individual Capital Assessment
How EMB Can Help
EMB have supported some of the UK’s largest insurers in constructing ICA models for their non-life businesses. In fact, approximately 60% of the UK non-life market (by premium income) are using EMB software and expertise to help them design, build and review these models.
EMB’s approach is to construct what is known as a stochastic model – where distributions of possible outcomes are specified, giving the relative probability of occurrence of certain events. A practical way to implement these models is to use simulation techniques, and to produce what is known as a Dynamic Financial Analysis (DFA) model.
“The FSA places credence in approaches to financial models to aid assessment of capital adequacy which involve the production of a DFA model.”
Extract from the FSA’s Integrated Prudential Sourcebook
Through working with a wide range of clients on a variety of risk modeling projects, EMB consultants have developed a wealth of experience in implementing ICA models. Recent projects include:
- Assisting a large UK-based non-life insurer to develop a capital model for their global business.
- Helping a major Bermudan insurance/reinsurance with a large London market presence, to construct an ICA and group capital model
- Peer reviewing a proposed design for a Lloyd’s managing agent’s ICA model
- Peer reviewing the parameterization of a Lloyd’s managing agent’s ICA model
Typical EMB services include:
- Training on EMB software and risk modeling techniques
- Advice on model design, maintainability and efficiency
- Providing resource to reduce model construction time
- Assistance with model documentation
- Peer review of model parameters, model integrity and output
- Benchmarking of model parameters and results
Individual Capital Assessment - Introduction
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