Twenty Third Floor

Figuring out the future and the now

Category: Actuarial and Risk

Actuarial and Risk, alternative investments, capital, capital structure, credit risk, economics, Emerging Markets, insight, market risk, measurement

Does Business Rescue count as default?

5 December 2019

David Kirk

What does Business Rescue mean for credit risk, ratings and cross-default? Business Rescue precludes creditors from applying for liquidation of the business. This is the removal of an existing right of lenders: “a temporary moratorium on the rights of claimants against the company or in respect of property in its possession” From what I gather…
Read more: Does Business Rescue count as default?
Actuarial and Risk, alternative investments, capital, credit risk, financial risk, hedging, insurance, investments, life insurance, liquidity risk, market risk, Solvency Assessment and Management, Solvency II, valuation

Capital implications of infrastructure assets for insurers under SAM

10 September 2019

David Kirk

Infrastructure as an asset class is hardly a new idea. Retirement funds are attracted to the promise of higher turns, long-dated cash flows, and consistency with increasingly important ESG factors. Insurers, unlikely retirement funds, have to hold risk-based capital against the risks inherent in their investments. This makes it more difficult to underestimate the risks…
Read more: Capital implications of infrastructure assets for insurers under SAM
Actuarial and Risk, complexity, future studies, news, statistics

Why gender at birth is not a coin toss

26 August 2019

David Kirk

I love analogies. As analogies go, many things are well approximated by the “toss of a coin”. Gender at birth is not. And it’s not for two reasons, only one of which you can probably guess. The sex ratio at birth is not 1 boy to 1 girl. As of 2017, according to World Bank…
Read more: Why gender at birth is not a coin toss
Actuarial and Risk, creating value, Equity Risk Premium, financial risk, managing uncertainty, market risk, valuation

Unbelievable Risk Discounts Rates

23 May 2019

David Kirk

Setting discount rates is a crucial and subjective exercise. This is true for life insurance embedded values too. Many researchers are comfortable with a range for Equity Risk Premiums of between 3% and 5%. Many corporate finance practitioners use a range from 5% to 8% or even higher. My nearly eight-year-old blog post on mis-estimating…
Read more: Unbelievable Risk Discounts Rates
Actuarial and Risk, healthcare, news, valuation

The future is not as old as we thought

16 May 2019

David Kirk

Expectations of future UK life expectancy have declined for several years now. This is not to say that current life expectancy has decreased, but rather than estimates of future mortality improvements are being lowered, pushing down future estimated life expectancy. One report indicates this change may roll back a year of expected mortality improvements. So…
Read more: The future is not as old as we thought
Actuarial and Risk, communication, complexity, measurement

Not this old outcry again

15 May 2019

David Kirk

Life expectancy is one of those funny measures with a cavernous gap between those who think they understand it and those who do. The latest controversy arose a few days ago a year ago (this post has been in draft for a long time…) because Russia is planning to increase the normal retirement age from…
Read more: Not this old outcry again
Actuarial and Risk, capital structure, financial reporting, financial risk, insurance, life insurance, market risk, measurement, Solvency Assessment and Management

Just what are ancillary own funds?

7 May 2019

David Kirk

Reading the Financial Soundness Standards for Insurers (FSIs) is an exercise that can only end in madness. I’m sufficiently familiar with them now that I mostly refer back to them for particularly tricky or thorny issues. Without fail, the words fail to clearly communicate exactly what was intended. Take ancillary capital as an example. To…
Read more: Just what are ancillary own funds?
Actuarial and Risk, complexity, insurance, life insurance, managing uncertainty, modelling, Solvency Assessment and Management, Solvency II, systemic risk

Downwards counterfactual analysis

30 October 2017

David Kirk

Stress and scenario testing are important risk assessment tools. They also provide useful ways to prepare in advance for adverse scenarios so that management doesn’t have to create everything from first principles when something similar occurs. But trying to imagine scenarios, particularly very severe scenarios, isn’t straightforward. We don’t have many examples of very extreme…
Read more: Downwards counterfactual analysis

About David Kirk

Featured Posts

Value at Risk – not always a monster, but normally it is.
by David Kirk
Nassim Taleb is not a fan of Value At Risk (VaR) “You’re worse off relying on misleading information than on not having any information at… Read more: Value at Risk – not always a monster, but normally it is.
One answer could be pet insurance
by David Kirk
I firmly believe major demographics shifts are going to have massive social, political, economic, financial market and commercial impacts in the coming decades. The balance… Read more: One answer could be pet insurance
A piece of the failure puzzle – decreasing insurer failure rates through Skilled Person Reviews
by David Kirk
Every failure hits policyholders’ savings or cover, impact their lives and their livelihoods. They destroys shareholder value and decrease confidence in the entire financial sector.… Read more: A piece of the failure puzzle – decreasing insurer failure rates through Skilled Person Reviews
How and why insurers fail
by David Kirk
I’ve been updating my presentation from 2021 on “How and Why Insurers Fail”. I now estimate the annual failure rate (or at least getting into… Read more: How and why insurers fail
The hidden dangers of opinion shopping and trusting good news.
by David Kirk
I had a recent discussion on the value of getting a second opinion. There’s the old line that “if you want five opinions, ask three… Read more: The hidden dangers of opinion shopping and trusting good news.
40,000
by David Kirk
40,000. That’s the ballpark figure I usually work with as the minimum number of micro insurance policies required for scale. The expenses of running even… Read more: 40,000
IFRS17 may not kill off EV
by David Kirk
Will IFRS17 kill off Embedded Value (EV) reporting in Africa? Or will it finally bring Market Consistent Embedded Value (MCEV) to life? I gave a… Read more: IFRS17 may not kill off EV

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