Insurance Consulting » Financial Risk Management

Capital Modelling and Management

Internal Capital Models (also known as Dynamic Financial Analysis or DFA models) can contribute invaluable insights into the risk profile of a general insurance company. These models are used in a number of areas, including:

to gain a better understanding of risk exposure and profile with a view to better articulating risk appetite and tolerance;
to help in the assessment of capital requirements and allocated capital to different lines of business;
to optimise reinsurance arrangements;
to optimise strategic asset allocation;
to demonstrate the potential for actual performance to differ from plan and the potential for extreme results; and
to understand the potential impact of new products or opportunities on risk profile and capital requirements.

Quantium consultants have worked with a range of insurers to help them develop their internal capital models and modelling capabilities. We have helped insurers design and construct, parameterise and use their models. We have also peer reviewed various model structures and calibrations. Through our relationship with EMB, the world's leading capital modelling firm for general insurance companies, we also have access to the latest thinking and developments in the area of capital modelling.

EMB's EMB Igloo software is the market leading stochastic financial modelling tool and enables us to build comprehensive and flexible models in an efficient and effective manner.

Our key focus in all of the capital modelling work that we do is ensuring that our client's own internal modelling capabilities and/or their understanding of the benefit of capital models is continually enhanced.

As well as capital modelling, we have also worked closely with our clients to help them better manage capital, whether this be in the development of Capital Management Plans or the design and deployment of risk-based capital frameworks.

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