(ENTERPRISE RISK MANAGEMENT)

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Nov 18, 2013 (3 years and 11 months ago)

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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









Added value within the group

Diversified structure


more security

Munich Re (Group)*

Asset
management

Belgium

*The
above

is

a
selection

of

companies

operating

in the relevant
field

of

business
.

Overview







Reinsurance

Primary insurance

Munich Health

30/09/2010

3

Role of the Reinsurer in ERM

Munich Re: k
ey
figures
as

of

31.12.2009

41.4 bn.


gross premiums written

182 bn.


investments

2.6 bn.


net profit

22.3 bn.


equity

47,249 staff

Risk is our business

Overview

30/09/2010

4

Role of the Reinsurer in ERM

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

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)

Munich Re Risk Management Model

Published in MR Internet

30/09/2010

6

Role of the Reinsurer in ERM

Risk Strategy /

Asset & Liability
Management

Risk Analytics &
Reporting

Risk Identification

& Control


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
s
teering purposes

Solvency Consulting


Enable
operational
units to display the
value
of reinsurance


Strengthen client
relationship through
Solvency II
-
related
advice and service


Risk Strategy


Limit
and
Trigger
System


Risk
g
overnance


Risk reviews and new
product approval


Integrated Risk Management at Munich Re

Structure aligned with risk management process

Group IRM

Segment & Division:

Property & Casualty, Life,

Health, Credit

Legal Entity:

e.g.
ERGO
-
IRM, Munich Re
America
-
IRM

Asset
M
anagement:

MEAG Investment
-
Controlling

Munich Re Risk Management Model

Independent risk controlling und business enabling

De
-
centralized Risk
M
anagement with a mandate provided by Group IRM

30/09/2010

7

Role of the Reinsurer in ERM


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)

Independent verification
that effective controls are in place and
functioning properly


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


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

Board of Management

“Third line of defense”
-

Internal audit

“Second line of defense”


Independent Risk
management functions

First “line of defense”
-

Risk takers

Regulation requires a clear segregation of risk taking
responsibilities and controls

Munich Re Risk Management Model

Specific nature of independent oversight may vary by business and risk type

30/09/2010

8

Role of the Reinsurer in ERM

Risk Management is performed at several levels in
Munich Re

MEAG

Munich Re

Reinsurance

Munich Health

ERGO

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.

Munich Re Risk Management Model

Many risk management functions embedded in business units

Integrated Risk Management (IRM)

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

Specialized
risk mgmt.
functions

Local risk
mgmt.
Functions

MEAG KAC

30/09/2010

9

Role of the Reinsurer in ERM

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

Munich Re Risk Management Model

Balance regulatory requirements with business objectives and culture

30/09/2010

10

Role of the Reinsurer in ERM

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

Historical Analysis: Munich Re managed three major
economic crises in Germany in the 20th century

Impact on Munich Re

Hyper
-

inflation

1922/23

World

economic

crisis

1929

32

Monetary

reform

1948


Drop in premium by 25%


High losses in credit and life insurance


Positive claims development


Overall positive and relatively stable returns in each
year


Economic environment


Decreasing turnover of companies


Crash in stock markets and high corporate default
rates


Protectionist trade policy


High unemployment rates




Munich Re suffered losses due to the depreciation
of Reichsmark


Rebuilding of foreign business accelerated by rapid
setup of the DM opening balance sheet


Financial strength was re
-
established within three
years (e.g. premium increase by 30%)



Increased money supply and subsequent inflation in
Germany (Reichsmark)


Default of German government and corporate
bonds


90% depreciation of private pension policies


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



Default of German government and corporate
bonds


Depreciation of saving accounts and life insurance
policies


Collapse of economic life (salary depreciation,
increasing unemployment)

Financial Crisis: How Munich Re weathered the Storm

Munich Re successful in mastering prior crises,

but current situation requires analysis of further scenarios

30/09/2010

12

Role of the Reinsurer in ERM

First real test for Munich Re’s risk management
frameworks after 2002
-
2003 crisiss


Subprime crisis in 2007
and subsequent capital
market crisis in 2008
constitute an extremely
taxing environment


First real test of ERM
framework


Highlights the
importance of risk
management in its
original role


in addition
to the business enabler

Reality check


Efforts around ERM have
prevented

Munich Re from the worst

in this crisis


Strengthens position of ERM

teams


Identification of areas for

improvements ongoing

Evaluation and enhancements

Strategic decision taken

after 2002

2003 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

Development and implementation

ERM developments at Munich Re

Financial Crisis: How Munich Re weathered the Storm

2002 crisis has triggered necessary developments of ERM

30/09/2010

13

Role of the Reinsurer in ERM

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

Since Jan 2008


Steady reduction in
equity exposure

Strong overall reduction of the maximum
counterparty limits for banks (approval
of special limits for few selected banks)

Munich Re has taken measures proactively

and early in the crisis

14

Changes to the counterparty limit
system, with a significant increase in
credit equivalent exposure (CEE)1
weights

Significant reduction in the
maximum limits for
corporates

Dec 07 Jan 08 Feb Mar Apr May Jun Jul Aug Sep

Financial Crisis: How Munich Re weathered the Storm

Crisis management with focus on capital preservation

1
Credit equivalent exposure: Risk
-
weighted market values, e.g. covered bonds 12.5%, equities 100%.

30/09/2010

Role of the Reinsurer in ERM

Forward
-
looking risk management and de
-
risking
pay off

CDS spreads
1

(1.1.2008

31.1.2010)
3

Beta values
1

(1.1.2004

31.1.2010)
2

2.2

2.0

1.8

1.6

1.4

1.2

1.0

0.8

0.6

0.4

Source: Bloomberg


2004

2005

2006

2007

2008

2009

J

F

M

A

M

J

J

A

S

O

N

D

J

F

M

A

M

J

J

A

S

O

N

D

J

2008

2009

Source: Bloomberg


Munich Re
0.87

0
100
200
300
400
500
600
700
800
900
Munich Re
47
bp



Strong position of Munich Re to deliver solid performance

Confidence in forward
-

looking risk management

Financial strength reflected in

low CDS spread

1

Peers: Allianz, AXA,
Generali
, Hannover Re, Swiss Re, Zurich Financial Services.

2

Raw beta to DJ
Stoxx

600, total return, daily basis, 1
-
year.
3

5
-
year credit default swaps (spreads in basis points p.a.).

Financial Crisis: How Munich Re weathered the Storm

30/09/2010

15

Role of the Reinsurer in ERM

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

Financial Crisis: How Munich Re weathered the Storm

30/09/2010

16

Role of the Reinsurer in ERM

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

Solvency II is the regulation that comes closest to an
enterprise risk management system


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

Solvency II

Planned adaptations of Solvency II in

Japan, Israel, Mexico, Chile, Bermuda, etc...

Adjustments of risk
-
based capital type
regulation (USA, Canada, ...)

Swiss Solvency Test

High

Low

Relative implementation level of enterprise risk
management concept

18

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

30/09/2010

18

Role of the Reinsurer in ERM

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

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

Solutions

to
these issues

Solvency
II

Long
-

term
industry
issues

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

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

Solvency II brings more discipline to the industry

30/09/2010

19

Role of the Reinsurer in ERM

The effects of Solvency II will change the

insurance sector

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

1

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

2

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

3

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

4

Product
adaptations


Actual products are put to test (risk capital intensive?)


New products will appear (less risk capital intensive)

5

Some general assumptions:

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

30/09/2010

20

Role of the Reinsurer in ERM

Comparison of Solvency Ratios

(European weighted average)

0%
100%
200%
300%
400%
500%
600%
QIS4
Solvency I
Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

Source: CEIOPS’ QIS4 report

30/09/2010

21

Role of the Reinsurer in ERM

Solvency II is a trigger for Enterprise Management and
Value based Management


Minimising cost of risk capital


Enterprise Risk Management


Diversification (risk segments, perils,
regions
,
portfolio size)


Operational Excellence (product design,
pricing, risk selection, claims,…)


Asset
-
liability matching


Risk Transfer: Traditional R/I,
Securitization, Portfolio Swaps


M&A

Challenges are varied:


Financial conglomerates


Big, international insurance
undertakings


Medium
-
sized to small insurers


Niche insurers


Monoliners


Reinsurers

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

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.

30/09/2010

22

Role of the Reinsurer in ERM


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)

Investments


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

Reinsurance


Improving asset
-
liability
-
matching (e.g. lengthening of asset duration, use of interest
-
rate 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)

Primary life
insurance

Potential solutions

Solvency II introduces a new era changing the setup of
the insurance sector

23

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

30/09/2010

23

Role of the Reinsurer in ERM


Reinsurance:

smoothing the volatility of the
underwriting result


Capital Management:

handling the company‘s own funds


Dual consideration of technical result
and investment result


Comprehensive evaluation of the risk
profile


Standard formula


(partial) internal model


Deduction of capital requirements


Definition of risk mitigation needs:
basis for optimising capital
management


Conditions

and

challenges

for

risk

mitigation

are

changing

„old world“

„new world“

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

30/09/2010

24

Role of the Reinsurer in ERM

Clients’ needs under Solvency II:

Reinsurance functions reloaded


Optimising risk capital


Stabilising financial resources


Smoothing earnings volatility


Harmonising net portfolio


Risk mitigation


Adequate reserving


Pre
-
funding


Client's objectives have changed



Excellence in assessing and modelling risk


Active capital management


Fine
-
tuned traditional reinsurance covers


Combining traditional and ILS
1

coverage


Retrospective products (e.g. LPT
2
, ADC
3
)


Combined covers for reserve and ALM risk


Life: Pre
-
funding, monetisation of MCEV

Munich

Re as holistic solutions provider

Reinsurance


From risk transfer to risk transformation

Transforms risk structure


Harmonises the portfolio



Reduces capital cost due

to reinsurer's diversification

Strong capital base

Diversification benefits

Superior level of enterprise
risk

management

and

value
-

based
-
steering

gross

net

Reinsurance

contribution

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

Munich Re's core competencies match its clients' needs

1

ILS: Insurance
-
linked securities.
2
LPT: Loss portfolio transfer.
3
ADC: Adverse development cover.

30/09/2010

25

Role of the Reinsurer in ERM

1%

3%

7
%

25%

55%

1%

2%

5%

17%

38%

0%
10%
20%
30%
40%
50%
60%
AAA
AA
A
BBB
BB
1 reinsurer
2 reinsurers
3 reinsurers
4 reinsurers
5 reinsurers
6 reinsurers
Strong capital base provides a clearer competitive
edge


Reinsurers‘ rating the decisive factor

Impact of rating vs. number
of reinsurers


Explicit consideration of
reinsurance credit risk
through a deduction from
capital relief


Example: Capital relief from
a reinsurance treaty with
only one AA
-
rated reinsurer
greater than with a panel of
six A
-
rated reinsurers

Deduction on capital relief for the counterparty default risk
1

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

Financial strength of reinsurers more important than

diversification by number of counterparties

1

Graph based on
Consultation Paper No. 51: SCR standard formula


f
urther advice on the counterparty default risk
module A.9.

30/09/2010

26

Role of the Reinsurer in ERM

Illustrative





Well
-
diversified reinsurers will benefit from Solvency II
while
cedants

can improve their risk
-
adjusted return

Before risk
transfer
After risk
transfer
Primary insurer’s portfolio

Reinsurer’s portfolio

Usually diversification for reinsurers is higher than diversification for insurers due to

Capital relief for insurer exceeds

capital requirement of reinsurer

Clear win
-
win situation

and not a zero
-
sum game

RISK
TRANSFORMATION

Number of individual risks

Geographical spread
(global business model)

Product / line

of business mix

Risk

capital


m

Gross
130

Net
60

70

Capital
relief

< 70

Additional risk capital

(relevant for pricing)

Capital
requirement

Risk

capital


m

Preparation for ERM in Europe: Solvency II
-

a trigger for Risk Management

30/09/2010

27

Role of the Reinsurer in ERM

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 offers services using its own expertise

to help clients meet Solvency II requirements

29

Solvency

Consulting

Operational units

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


Solvency Consulting is a subdivision of Munich
Re's

Integrated Risk Management


Preparation for ERM in Europe: Munich Re’s Support

30/09/2010

Role of the Reinsurer in ERM

Business enabling under Solvency II



From quantitative capital relief …

Price

Capacity

Solvency
Relief

Value of
re
-
insurance

+

+

=

Traditional GAAP

VBM
1

aspects

Supervisory and

solvency aspects



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 (
PODRA
2

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)


Quantitative


Preparation for ERM in Europe: Munich Re’s Support

Independent, fully transparent analysis


no black box

Munich Re’s position strengthened by superior risk expertise

1

VBM: Value
-
based management.

2

PODRA: Pillar One Dynamic Reinsurance Analysis.

30/09/2010

30

Role of the Reinsurer in ERM

… to enterprise risk management support


=

Solvency
Relief

Value

contribution through

reinsurance

(Pillar 2)


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



Qualitative


Value of
re
-
insurance

Price

Capacity

+

+

Preparation for ERM in Europe: Munich Re’s Support

Expert service for Pillar 2 increases Munich Re’s competitive edge

30/09/2010

31

Role of the Reinsurer in ERM

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).

Preparation for ERM in Europe: Munich Re’s Support

Best services means best protection for both parties.

30/09/2010

32

Role of the Reinsurer in ERM

Solvency Consulting

Products and services



Sparring Sensitization

Support in finding the right
priorities during preparation

Support during preparation

Information

Tailor
-
made risk transfer
solutions

Risk management solutions

Assistance for risk & capital management

Solvency II

related

information

Knowledge
Series

Market events,
conference

MISS Life /
MISS Non
-
Life

Interactive
workshops

Initiating client
dialogue

Specimen

Company

Reinsurance

impact

measurement

Analysis of
customers’
portfolios in
cooperation


PillarOne

PODRA

Software

platform for
stochastic
modelling


MR Solvency Consulting


MR Client Management

GoST

Interactive
workshop in
pillar II.

Preparation for ERM in Europe: Munich Re’s Support

30/09/2010

33

Role of the Reinsurer in ERM

Our strengths = your added value: ALPHA

Clients benefit from MR Asset Liability Management Know
-
how



30/09/2010

Role of the Reinsurer in ERM

34


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)


0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0%
5%
10%
15%
20%
Current
allocation

Efficient frontier

Less
Risk

Efficient frontier of Benchmark Portfolios

Replicating portfolio

More
Return


99.5%
VaR

(based on asset volume)

Excess
-
Return

ALPHA process and added value

Benchmark
portfolio
(BMP)
Asset
Management
Economic
valuation
Cash
flows
Loss
data
Client
Claims
Premiums
loss data;
asset data where possible
Optional
Analysis and support
Trad.
RI
Internal MR
process chain
Replicating
Portfolio
(
RP
)
Preparation for ERM in Europe: Munich Re’s Support

Customer benefits

THANK YOU VERY MUCH

FOR YOUR ATTENTION

Joachim Mathe

Jürgen Brucker

© 2010 Münchener Rückversicherungs
-
Gesellschaft © 2010 Munich Reinsurance Company