29 November, 2013

Shell Scenarios

Shell: Shell Scenarios
Shell has been developing scenarios to explore the future since the early 1970s. Scenarios are stories that consider “what if?” questions. Whereas forecasts focus on probabilities, scenarios consider a range of plausible futures and how these could emerge from the realities of today. They recognise that people hold beliefs and make choices that lead to outcomes. Our scenarios team considers changes such as in the global economic environment, geopolitics, resource stresses such as water, greenhouse gases, and energy supply and demand to help business leaders make better decisions.

28 November, 2013



  • 平成24年5月17日,企業会計基準委員会から「退職給付に関する会計基準」及び「退職給付に関する会計基準の適用指針」が公表され,平成25年4月1日以後開始する事業年度から,連結財務諸表において,退職給付会計の未認識数理計算上の差異及び未認識過去勤務費用に係る処理方法等が改正されたところ。
  • 上記の改正を踏まえ,平成26年3月31日から,連結ソルベンシー・マージン比率のみ退職給付に係る額をマージン総額に算入するものとします。

20 November, 2013

Bodoff, "Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"

Neil Bodoff "Reinsurance Credit Risk: A Market-Consistent Paradigm for Quantifying the Cost of Risk"
ABSTRCT: Property-casualty insurance companies tend to by reinsurance; when they do, they must address reinsurance credit risk. This paper advocates that companies should evaluate reinsurance credit risk with a market-consistent paradigm, which manifests tow salient features; a probabilistic view of credit risk that assigns costs to low probability events, and a willingness to use market-based instruments for the purpose of quantifying the cost of risk. The proposed market-consistent paradigm facilitates a company's ability and willingness to measure, hedge, and optimize reinsurance credit risk.
KEYWORDS: Reinsurance credit risk: credit default swap; CDS. 
  • 持ち株会社レベルの債券のデフォルトリスクは,実際の再保険カウンターパーティーのデフォルトリスクと大いに異なる可能性がある
  • すべての再保険者が(パブリックな)債券を発行しているわけではない,すなわちすべての再保険者にたいしてCDSの指標が得られるわけではない
  • CDSのプライスが得られたとしても,そのilliquidityからミスリーディングな指標が得られる可能性がある

03 November, 2013

[本]ジョン・ケイ『想定外 なぜ物事は思わぬところでうまくいくのか』ディスカヴァー・トゥエンティワン

想定外 なぜ物事は思わぬところでうまくいくのか
ジョン ケイ
売り上げランキング: 64,530



Lowe, et al. "An Integrated Dynamic Financial Analysis and Decision Support System For a Property Catastrophe Reinsurer"

Stephen P. Lowe, James N. Stanard "An Integrated Dynamic Financial Analysis and Decision Support System For a Property Catastrophe Reinsurer"
ABSTRACT: This paper describes the dynamic financial analysis model currently being used by a property catastrophe reinsurer to manage its business, The model is an integral part of the day-to-day operations at the Company, and is used as a decision making tool in the underwriting, investment, and capital management processes. The paper begins by describing the framework that the Company uses for risk management. This includes a classification of the risks facing the Company, which is used to define and prioritize their implementation in the model. Also included is a description of the conceptual approach the Cornpany takes to evaluate the tradeoff between risk and return. The paper then goes on to describe the structure and operation of the dynamic financial analysis model and provides examples of its use at the Company, along with illustrative examples of the various types of output it produces. 
KEYWORDS: Asset/Liability management; Capital adequacy; Dynamic financial analysis;  Expected policyholder deficit; Modern portfolio theory; Property catastrophe reinsurance; Risk management; Simulation models; Underwriting cycles.
 このペーパーは,とあるプロパティCat再保険者(以下,再保険者)がそのビジネスを管理するために現在使用しているDFA(Dynamic Financial Analysis)モデルについて説明する。そのモデルは再保険者の日々のオペレーションにおいて重要な一部となっており,アンダーライティング,資産運用,そして資本管理のプロセスにおける意思決定用ツールとして用いられている。