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ROLE OF THE REINSURER IN ERM
(ENTERPRISE RISK MANAGEMENT)
II. Istanbul Insurance Conference, 30 September 2010
Joachim Mathe, Executive Client Manager
Jürgen Brucker, Client Manager
Agenda
Overview
Munich Re Risk Management Model
Financial Crisis: How Munich Re weathered the Storm
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Preparation for ERM in Europe: Munich Re’s Support
Overview
Added value within the group
Diversified structure – more security
Munich Re (Group)*
Reinsurance
Munich Health
Primary insurance
Belgium
Asset management
*The above is a selection of companies operating in the relevant field of business.
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Overview
Munich Re: key figures as of 31.12.2009
41.4 bn. € gross premiums written
182 bn. € investments
47,249 staff
2.6 bn. € net profit
22.3 bn. € equity
Risk is our business
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Agenda
Overview
Munich Re Risk Management Model
Financial Crisis: How Munich Re weathered the Storm
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Preparation for ERM in Europe: Munich Re’s Support
Munich Re Risk Management Model
The Risk Management Manual of Munich Re provides
an overview of risk management
Objectives
(Chapter 2)
Principles
(Chapter 3)
Risk
Classification
(Chapter 4)
Risk
Management
Components
(Chapter 5)
Risk
Management
Governance
(Chapter 6-8)
Published in MR Internet
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Munich Re Risk Management Model
Integrated Risk Management at Munich Re
Structure aligned with risk management process
Group IRM
Risk Identification
& Control
Risk Analytics &
Reporting
 Emerging risks
management
 Accumulation control
 Operational risk
management
 Risk disclosure
 Development and
maintenance of risk
models
 Legal entity models
 Risk capital calculations
 Allocation of risk capital
for steering purposes
Risk Strategy /
Asset & Liability
Management
Solvency Consulting
 Risk Strategy
 Limit and Trigger
System
 Risk governance
 Risk reviews and new
product approval
 Enable operational
units to display the
value of reinsurance
 Strengthen client
relationship through
Solvency II-related
advice and service
De-centralized Risk Management with a mandate provided by Group IRM
Segment & Division:
Property & Casualty, Life,
Health, Credit
Legal Entity:
e.g. ERGO-IRM, Munich Re
America-IRM
Asset Management:
MEAG Investment-Controlling
Independent risk controlling und business enabling
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Munich Re Risk Management Model
Regulation requires a clear segregation of risk taking
responsibilities and controls
Board of Management
 Sets business targets and risk strategy
 Defines risk limits based on risk-bearing capacity
 Monitors business and risk profile (e.g. based on risk report)
First “line of defense” - Risk takers
 Business planning
 Identify and evaluate risks
 Take steps to manage / mitigate all risks associated
with their business
 Manage and own risks of all transactions
regardless of ultimate approval level
 Report exposures to independent risk function
“Second line of defense” – Independent Risk
management functions
 Independent risk analysis and monitoring
 Challenge and provide input for risk strategy
 Recommend limits and monitor adherence to
limits
 Design and implement risk control processes
 Act as a risk consultant to Business Units
“Third line of defense” - Internal audit
Independent verification that effective controls are in place and functioning properly
Specific nature of independent oversight may vary by business and risk type
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Munich Re Risk Management Model
Risk Management is performed at several levels in
Munich Re
Munich Re
Integrated Risk Management (IRM)
Reinsurance
Munich Health
ERGO
Segmental RM: IRM
Segmental RM: IRM
Seg. RM: ERGO-IRM
Specialized
risk mgmt.
functions
Local risk
mgmt.
functions
Specialized
risk mgmt.
functions
Local risk
mgmt.
functions
MEAG
MEAG KAC
Specialized
risk mgmt.
functions
Local risk
mgmt.
Functions
Segmental RM Functions
are embedded in all
business segments, i.e.
IRM for Reinsurance and
Munich Health, ERGO
IRM for Primary
Insurance (ERGO), and
MEAG-KAC for asset
management, which have
a dotted-line reporting
relationship to the CRO.
The CRO also has a
defined formal
relationship with certain
Specialized Risk
Management Functions
as well as with Local Risk
Management Functions
in certain legal entities in
the IO.
Many risk management functions embedded in business units
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Munich Re Risk Management Model
Risk management components at Munich Re are
designed to achieve Munich Re’s objectives
 All types of risks are explicitly
addressed by risk
management tools
 All regulatory requirements
are explicitly addressed by
Munich Re’s risk
management tools
 The various risk management
components are consistent
and build upon each other
 Tools take into account
Munich Re’s complex
business taking a group
perspective
Balance regulatory requirements with business objectives and culture
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Agenda
Overview
Munich Re Risk Management Model
Financial Crisis: How Munich Re weathered the Storm
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Preparation for ERM in Europe: Munich Re’s Support
Financial Crisis: How Munich Re weathered the Storm
Historical Analysis: Munich Re managed three major
economic crises in Germany in the 20th century
Economic environment
Impact on Munich Re
 Default of German government and corporate
bonds
 Depreciation of saving accounts and life insurance
policies
 Collapse of economic life (salary depreciation,
increasing unemployment)
 Initially, claims inflation leading to high combined
ratios, subsequently new contract conditions
introduced (e.g. interim premium adjustments)
 Munich Re investments only partially affected due
to foreign participations and real estate
Strong competitive position of Munich Re
due to available capacity
World
economic
crisis
1929–32
 Decreasing turnover of companies
 Crash in stock markets and high corporate default
rates
 Protectionist trade policy
 High unemployment rates
 Drop in premium by 25%
 High losses in credit and life insurance
 Positive claims development
Overall positive and relatively stable returns in each
year
Monetary
reform
1948
 Increased money supply and subsequent inflation in  Munich Re suffered losses due to the depreciation
Germany (Reichsmark)
of Reichsmark
 Default of German government and corporate
 Rebuilding of foreign business accelerated by rapid
bonds
setup of the DM opening balance sheet
 90% depreciation of private pension policies
Financial strength was re-established within three
years (e.g. premium increase by 30%)
Hyperinflation
1922/23
Munich Re successful in mastering prior crises,
but current situation requires analysis of further scenarios
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Financial Crisis: How Munich Re weathered the Storm
First real test for Munich Re’s risk management
frameworks after 2002-2003 crisiss
ERM developments at Munich Re
Development and implementation
Reality check
Evaluation and enhancements
Strategic decision taken
after 2002–2003 crisis:
 Subprime crisis in 2007
and subsequent capital
market crisis in 2008
constitute an extremely
taxing environment
 Efforts around ERM have
prevented
Munich Re from the worst
in this crisis
 Redesign of investment strategy
to reduce dependency on capital
markets; state-of-the-art ALM
implemented
 Sustainable profitability
achieved in core businesses
 Central ERM teams established
under CRO leadership (2004);
risk governance/measurement/
reporting strengthened
 First real test of ERM
framework
 Highlights the
importance of risk
management in its
original role – in addition
to the business enabler
 Strengthens position of ERM
teams
 Identification of areas for
improvements ongoing
2002 crisis has triggered necessary developments of ERM
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Financial Crisis: How Munich Re weathered the Storm
Munich Re has taken measures proactively
and early in the crisis
Changes to the counterparty limit
system, with a significant increase in
credit equivalent exposure (CEE)1
weights
Strong overall reduction of the maximum
counterparty limits for banks (approval
of special limits for few selected banks)
Dec 07
Apr
Jan 08
Since Jan 2008
Steady reduction in
equity exposure
Feb
Mar
May
Jun
Jul
Significant reduction in the
maximum limits for
corporates
Aug
Sep
Since mid-September
 Limit reduction for selected banks
 Collateralisation of the main derivative positions
 Reduction of cash balances with banks (worldwide) to a necessary minimum
 Management of cash balances centralised (at MEAG)
 Review of rating system for our cedants and their banks
 Reduction of exposure in the financial sector through sales or hedges
 Active letter-of-credit management for client accounts
Crisis management with focus on capital preservation
1 Credit
equivalent exposure: Risk-weighted market values, e.g. covered bonds 12.5%, equities 100%.
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Financial Crisis: How Munich Re weathered the Storm
Forward-looking risk management and de-risking
pay off
Beta values1 (1.1.2004–31.1.2010)2
CDS spreads1 (1.1.2008–31.1.2010)3
900
2.2
2.0
800
Munich Re 0.87
Munich Re 47 bp
700
1.8
600
1.6
500
1.4
400
1.2
300
1.0
200
0.8
100
0.6
0
0.4
2004
2005
2006
2007
2008
Source: Bloomberg
2009
J FMAMJ J A SOND J FMAMJ J A SOND J
2008
2009
Source: Bloomberg
Strong position of Munich Re to deliver solid performance
Confidence in forwardlooking risk management
1
2
Financial strength reflected in
low CDS spread
Peers: Allianz, AXA, Generali, Hannover Re, Swiss Re, Zurich Financial Services.
Raw beta to DJ Stoxx 600, total return, daily basis, 1-year. 3 5-year credit default swaps (spreads in basis points p.a.).
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Financial Crisis: How Munich Re weathered the Storm
State of the insurance industry
 Industry eventually survived crisis relatively unharmed, with notable exceptions
 However, industry threatened by spill-over of regulatory concepts directed to
banks
 At times, risk capacity was an issue (sometimes unnoticed)…
 …but industry was lucky that Solvency II has not been in place at year end 2008
 Uncertainty around Solvency II calibration has recently depressed insurance
sector…
 …but finally there are some good news: QIS5 calibration looks more reasonable
than what could be expected
 Future earnings potential under pressure due to lower investment income –
insurance companies again in search for yield enhancement
 Industry still too dependent on banking industry – government debt an increasing
concern
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Agenda
Overview
Munich Re Risk Management Model
Financial Crisis: How Munich Re weathered the Storm
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Preparation for ERM in Europe: Munich Re’s Support
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Solvency II is the regulation that comes closest to an
enterprise risk management system
Relative implementation level of enterprise risk
management concept
High
Solvency II
Swiss Solvency Test
Planned adaptations of Solvency II in
Japan, Israel, Mexico, Chile, Bermuda, etc...
Low
Adjustments of risk-based capital type
regulation (USA, Canada, ...)
Solvency II objectives
 Overall goal: Consumer
protection
 Creation of a harmonised
supervisory system throughout
Europe based on the actual risk
situation of each insurance
company
 Extending the existing
quantitative supervisory system
through development of
companies' own internal risk
models and risk management
processes
 Adding a qualitative aspect to
the supervisory system through
internal risk management
system requirements
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18
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Solvency II brings more discipline to the insurance
industry
Solvency II acts as a catalyst…
…to resolve some old industry issues
Example: Primary life insurance
 Issue: Long-term guarantees and options often not properly
priced and hedged
 Solvency II: Requires capital for mismatch; demonstrates
where return is insufficient for risk taken
 Solution: Improving ALM, product design
Longterm
industry
issues
Solvency
II
Solutions to
these issues
Example: Reinsurance
 Issue: Reinsurance programmes not always optimal in terms
of risk transfer
 Solvency II: Reinsurance matters for capital requirements
 Solution: Impact of reinsurance structures can be measured
and optimised
Example: Investments
 Issue: Insufficient profitability of underwriting compensated by
taking high investment risks
 Solvency II: Risk capacity places limit on this strategy
 Solution: Focusing on profitable underwriting
Solvency II brings more discipline to the industry
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
The effects of Solvency II will change the
insurance sector
Some general assumptions:
1
Increment of
capital
requirement
 Identification and evaluation of all relevant risks
 Long term products will require more capital (more volatile)
 Consideration of guarantees and options
2
Available capital
will rise
 Assets and Liabilities will be evaluated by a „market value approach“
 The available capital will rise but the volatility will be higher in time
3
Risk
management &
transparency
 Better qualitative processes for risk steering/control
 Use of quantitative models for an overall risk modelling
 Value proposition of risk transfer is measurable
4
Asset Risk
 An aggressive asset allocation will not compensate any more technical losses –
higher risk capital for venturous asset allocation
 Reduction of volatile asset categories
5
Product
adaptations
 Actual products are put to test (risk capital intensive?)
 New products will appear (less risk capital intensive)
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Comparison of Solvency Ratios
(European weighted average)
600%
500%
400%
300%
200%
100%
0%
QIS4
Source: CEIOPS’ QIS4 report
Solvency I
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Solvency II is a trigger for Enterprise Management and
Value based Management
Minimising cost of risk capital
Challenges are varied:
 Enterprise Risk Management
 Financial conglomerates
 Diversification (risk segments, perils,
regions, portfolio size)
 Big, international insurance
undertakings
 Operational Excellence (product design,
pricing, risk selection, claims,…)
 Medium-sized to small insurers
 Asset-liability matching
 Monoliners
 Risk Transfer: Traditional R/I,
Securitization, Portfolio Swaps
 Reinsurers
 Niche insurers
 M&A
In the past, success was measured by combined ratio and investment income.
Return on risk adjusted capital is the new key figure that is also used by MR.
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Solvency II introduces a new era changing the setup of
the insurance sector
Potential solutions
Primary life
insurance
 Improving asset-liability-matching (e.g. lengthening of asset duration, use of interestrate options)
 Changing products to reduce sensitivity of liabilities to capital markets and
unpredictable claims volatility
 Charging for embedded options
 Development of new product categories (e.g. variable annuities)
Reinsurance
 Budget or tradition-driven reinsurance programme structure to be replaced by optimised
risk transfer
 Line or segment of business-driven reinsurance programme structure to be replaced by
whole portfolio risk transfer approach
 Combining traditional reinsurance with capital-market-oriented solutions
Investments
 Towards lower risk and better diversified investment strategies (away from typical
‘equities and government bonds’ strategy)
 Focus on profitability of underwriting
 Requires improvements in value-based-management (pricing based on risk-free
interest rates and present value of cost for non-hedgeable risk capital)
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23
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Conditions and challenges for risk mitigation are
changing
„old world“
„new world“
 Reinsurance:
smoothing the volatility of the
underwriting result
 Comprehensive evaluation of the risk
profile
 Capital Management:
handling the company‘s own funds
 Dual consideration of technical result
and investment result
 Standard formula
 (partial) internal model
 Deduction of capital requirements
 Definition of risk mitigation needs:
basis for optimising capital
management
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Clients’ needs under Solvency II:
Reinsurance functions reloaded
Reinsurance – From risk transfer to risk transformation
Reinsurance contribution
Transforms risk structure
Strong capital base
Harmonises the portfolio
gross
Diversification benefits
Superior level of enterprise
risk management and
value- based-steering
net
Reduces capital cost due
to reinsurer's diversification
Client's objectives have changed
Munich Re as holistic solutions provider














Optimising risk capital
Stabilising financial resources
Smoothing earnings volatility
Harmonising net portfolio
Risk mitigation
Adequate reserving
Pre-funding
Excellence in assessing and modelling risk
Active capital management
Fine-tuned traditional reinsurance covers
Combining traditional and ILS1 coverage
Retrospective products (e.g. LPT2, ADC3)
Combined covers for reserve and ALM risk
Life: Pre-funding, monetisation of MCEV
Munich Re's core competencies match its clients' needs
1
ILS: Insurance-linked securities. 2 LPT: Loss portfolio transfer. 3 ADC: Adverse development cover.
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Strong capital base provides a clearer competitive
edge – Reinsurers‘ rating the decisive factor
Deduction on capital relief for the counterparty default risk1
60%
Impact of rating vs. number
of reinsurers
55%
50%
38%
40%
30%
 Example: Capital relief from
a reinsurance treaty with
only one AA-rated reinsurer
greater than with a panel of
six A-rated reinsurers
25%
17%
20%
10%
7%
1%
1%
3%
5%
2%
 Explicit consideration of
reinsurance credit risk
through a deduction from
capital relief
0%
AAA
1 reinsurer
4 reinsurers
AA
A
2 reinsurers
5 reinsurers
BBB
BB
3 reinsurers
6 reinsurers
Financial strength of reinsurers more important than
diversification by number of counterparties
1
Graph based on Consultation Paper No. 51: SCR standard formula – further advice on the counterparty default risk module A.9.
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Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Well-diversified reinsurers will benefit from Solvency II
while cedants can improve their risk-adjusted return
Illustrative
Primary insurer’s portfolio
Risk capital
€m
Reinsurer’s portfolio
70
Gross
130
Before risk
transfer
Capital
relief
Net
60
Risk capital
€m
< 70
Additional risk capital
(relevant for pricing)
RISK
TRANSFORMATION
After risk
transfer
Capital
requirement
Usually diversification for reinsurers is higher than diversification for insurers due to
Number of individual risks
Capital relief for insurer exceeds
capital requirement of reinsurer
Geographical spread
(global business model)
Product / line
of business mix
Clear win-win situation
and not a zero-sum game
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Agenda
Overview
Munich Re Risk Management Model
Financial Crisis: How Munich Re weathered the Storm
Preparation for ERM in Europe: Solvency II - a trigger for Risk Management
Preparation for ERM in Europe: Munich Re’s Support
Preparation for ERM in Europe: Munich Re’s Support
Munich Re offers services using its own expertise
to help clients meet Solvency II requirements
Operational units
Integrated
Risk Management
Solvency
Consulting
Solvency Consulting is a subdivision of Munich Re's Integrated Risk Management
 Preparing Munich Re’s operational units for the ‘new world’ of reinsurance purchasing: Risk modelling,
enterprise risk management, IT tools, …
 Transparent modelling services: Every calibration step is shared with the client, data and software free
of charge available for further use by the client
 Expertise from own Solvency II preparation facilitates impact analysis and solution design for clients
 Service products: Quicker development, client-oriented through ongoing contact with operational units
 Combined set-up for life and non-life business
 Profound market and industry expertise from our underwriting database helps compensate for lack of
client data
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Preparation for ERM in Europe: Munich Re’s Support
Business enabling under Solvency II –
From quantitative capital relief …
Traditional GAAP
Price
+
Capacity
+
Solvency
Relief
=
Value of
reinsurance
VBM1 aspects
Supervisory and
solvency aspects
Quantitative
 Analysis and calibration of risk and claims
profiles. Specific risk analysis (NatCat, biometric,
industrial, etc.), in-depth product and market
expertise
 Stochastic modelling of the underwriting risk:
Open source software platform (PillarOne)
 Analysis of Solvency Capital Requirement (SCR):
Optimisation of portfolio and of reinsurance
structure (PODRA2 service)
 Design and provision of tailor-made risk
transfer solutions: Traditional reinsurance in
combination with alternative concepts,
e.g. securitisation and portfolio swaps
 Beyond risk transfer:
Asset-liability-matching (ALPHA)
 Life: Stochastic modelling of biometric risks
(BRiSMA)
Independent, fully transparent analysis – no black box
Munich Re’s position strengthened by superior risk expertise
1
2
VBM: Value-based management.
PODRA: Pillar One Dynamic Reinsurance Analysis.
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Preparation for ERM in Europe: Munich Re’s Support
… to enterprise risk management support
Value
contribution through
Price
+
Capacity
+
Solvency
Relief
reinsurance
(Pillar 2)
=
Value of
reinsurance
Qualitative
 Assisting with Solvency II preparation:
Advise on prioritisation of ERM measures: ‘first
and second steps’
 Promoting strategic development: Turning new,
emerging, complex risks (technology,
demography, …) into business potential
 Asset management: ALM, MEAG services
 Liquidity risk: Advise on retentions, NatCat
covers, appropriate cash calls
 Support quality assurance for insurance
operations:
 Product design: Innovation, attractiveness,
legal compliance
 Pricing: Provision of statistics, rating
structures
 Underwriting: Risk selection
 Claims: Handling procedures, reserving
Expert service for Pillar 2 increases Munich Re’s competitive edge
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Preparation for ERM in Europe: Munich Re’s Support
The qualitative impact of reinsurance

Reinsurance can be used as a risk-mitigation tool, for example in respect of
liquidity risk.

Besides, reinsurance can improve qualitative risk management in terms of
process support (i.e. underwriting, claims management), second opinion,
consultancies, and support of process excellence. No extra fee will be charged
because these additional services are normally covered by the reinsurance
contract.

Compared to third-party consulting services, which have to be paid additionally
by the insurer, the quality of reinsurance advice differs fundamentally: The
reinsurer shares the risk with its cedant, by participating in the underwriting result
of the reinsurance contract (“follow-the-fortunes” principle).
Best services means best protection for both parties.
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Preparation for ERM in Europe: Munich Re’s Support
Solvency Consulting
Products and services
Information
Sparring Sensitization
Support during preparation
Assistance for risk & capital management
Tailor-made risk transfer
solutions
Risk management solutions
Support in finding the right
priorities during preparation
Knowledge
Series
Market events,
conference
Specimen
Company
Solvency II
related
information
Initiating client
dialogue
Reinsurance
impact
measurement
MISS Life /
MISS Non-Life
Interactive
workshops
GoST
PillarOne
PODRA
Interactive
workshop in
pillar II.
Software
platform for
stochastic
modelling
Analysis of
customers’
portfolios in
cooperation
MR Solvency Consulting
MR Client Management
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Preparation for ERM in Europe: Munich Re’s Support
Our strengths = your added value: ALPHA
Clients benefit from MR Asset Liability Management Know-how
ALPHA process and added value
Client
loss data;
asset data where possible
Optional
Analysis and support
Trad.
RI
Premiums
Loss data
Customer benefits
Cash
flows
Economic
valuation

Optimum-return asset allocation in
accordance with client’s risk appetite

Optimisation potential: Indication of ways to
increase return (usually up to 90 BP, i.e.
often above € 1m for a small/mid-sized
insurance company) or reduce the risk/risk
capital

Tried-and-tested analysis techniques and
understanding of requirements thanks to
several years of successful implementation
at Munich Re (proved worth during financial
crisis)
Claims
Replicating
Portfolio
(RP)
Benchmark
portfolio
(BMP)
Asset
Management
Internal MR process chain
Excess-Return
Efficient frontier of Benchmark Portfolios
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
More
Return
Efficient frontier
Less
Risk
Current
allocation
Replicating portfolio
0%
5%
10%
15%
20%
99.5% VaR (based on asset volume)
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THANK YOU VERY MUCH
FOR YOUR ATTENTION
Joachim Mathe
Jürgen Brucker
© 2010 Münchener Rückversicherungs-Gesellschaft © 2010 Munich Reinsurance Company