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PPF Chief Actuary Lisa McCrory on Data & Risk



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EDITOR’S NOTE A very belated Happy New Year to all of our readers and trust 2020 has started well for all of you. In the month that the PPF published the 14th edition of The Purple book we feature Lisa McCrory, the Chief Actuary from the PPF examining the use of data to identify and manage risk. We also have Roger Gascoigne and Derek Ryan from Willis Towers Watson look at how insurers can take a wider view of IFRS 17 implementation in order to gain additional business value. In keeping with the time of year, albeit belatedly, Anirvan Choudhury and Peter Thomas from PwC ask about New Year’s resolutions (and pre-emptive recovery plans) for insurers. All of our regular authors are back for 2020 including Dale Critchley asking if the next decad wil be a decade of pensions tech and topically for this issue Emily Sturgess from XPS Pensions Group looks at how the PPF is consulting on new D&B insolvency risk scores. So another busy year ahead beckons and as we await the consequences to our industry from Brexit rest assured we will be here to bring you all of the relevant news and articles. We look forward to having you with us once again in 2020.

Jennifer Redwood Legal Notice All rights reserved. No part of this publication may be reproduced or transmitted without the prior permission of the publisher in writing. Whilst every care has been taken to ensure the accuracy, Actuarial Post cannot accept responsibility for loss of business to those referred to in this magazine as a result of errors.

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NEWS FEBRUARY The PPF launch the 14th edition of The Purple Book In its fourteenth edition of The Purple Book, the Pension Protection Fund (PPF) reveals a strong link between investment risk and underfunding in defined benefit pension (DB) schemes. The Purple Book, published by the PPF, gives the most comprehensive picture available of the

risks faced by DB schemes in the UK.

While the aggregate funding ratio of schemes has improved, there are still a significant number of schemes that are underfunded. At 31 March 2019, the point at which data in the book was taken,

5 things to look out for from the 2020 regulatory landscape Keeping on top of regulatory requirements is a growing concern for Trustees, with almost half seeing it as their biggest challenge throughout 2019. The next twelve months look set to be no different. To help you prepare, we’ve laid out 5 key regulatory updates to look out for in 2020, and what you can expect from each. 1. Reintroduction of the Pension Schemes Bill 2019/20 What to expect: Stronger powers for The (TPR) READ MORE

57 per cent of schemes were in deficit, with an aggregate deficit of £160bn. The overall trend for derisking has continued, with only 24 per cent of scheme assets invested in equities, compared to 27 per cent of scheme assets in 2018 and 61 per cent in 2006. READ MORE

3 main problems moving to a flat rate of pension tax relief Pre Budget speculation is once again growing that the Chancellor might be planning a radical move to a flat rate of pension tax relief for all. Aegon’s Steven Cameron explains three of the biggest complexities left unresolved when a flat rate was last considered back in 2015 and calls on the Chancellor to ensure any reforms take full account of these complex areas and avoid unintended consequences.

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Steven Cameron, Pensions Director at Aegon said: “There’s much pre-Budget speculation that the Chancellor may be reconsidering a radical reform of pension tax relief, potentially moving to a ‘flat rate’ of relief for all. READ MORE

NEWS New figures reveal extent of IPT stealth tax raid The Association of British Insurers (ABI) is urging the Government in its forthcoming Budget on 11 March to cut the rate of Insurance Premium Tax (IPT) and ease the squeeze on families and businesses who do the right thing by taking out insurance. The Government currently earns more from IPT than it does from many of the ‘sin’ taxes, such as the duties on beer, wine, spirits or betting and gambling. According to latest figures, during last December alone the Government raked in £560 million from the tax, up 10% on the previous December. This was significantly more than tax revenue from beer (£324 million), spirits (£250 million) and betting and gambling (£349 million) in the same month. This shows a significant increase from a monthly average READ MORE

Why the need for prudential enhancements for Solvency II? Solvency II 2020 review: why would one of the world’s most prudent and conservative prudential regimes need “prudential enhancements”? Excessive conservativeness hinders insurers’ ability to help Europe’s transition to a sustainable economy and to provide the long-term products their clients demand Speaking at a conference organised by the European Commission on the 2020 review of Solvency II, Insurance Europe president and CEO and chair of UNIQA Insurance Group, Andreas Brandstetter: “Solvency II is good, but it is not perfect, and the 2020 review is the right opportunity to improve it. However, we definitely don’t need to revolutionise the framework, or to develop solutions to problems that do not exist. To be blunt, it

is very difficult to see why one of the world’s most prudent and conservative prudential regimes needs prudential enhancements. What Solvency II needs today is a targeted and focused review, in three areas: reducing barriers to long-term business and investment, making proportionality work in practice and reducing the burden of reporting.” Other issues to be covered by Brandstetter include: • Fixing issues with how Solvency II treats insurers’ long-term business is vital. This means addressing the problems of measurement and capital treatment for long-term savings and guarantees, as these are the products needed to close Europe’s pensions gap and support Europe’s long-term sustainable investment needs. READ MORE

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Use of regtech will increase as insurers see its benefits Regtech is generating a lot of excitement and has become the new buzzword in the fintech space. Regtech is now making its way into insurance, promising the industry new ways to better understand where organizations may be at risk of non-compliance and offers tools to streamline processes and reporting. Insurers are gradually waking up to the benefits of regtech but its potential remains untapped, says GlobalData. Beatriz Benito, Senior Insurance Analyst at GlobalData, said: “Regulation in the financial services space has expanded substantially since the outbreak of the global economic crisis of 2008. Equally, the cost of complying with such requirements has hiked. Organizations falling short of compliance also put their reputation at READ MORE

MOVERS & SHAKERS The latest moves and appointments from the actuarial marketplace Actuary Simon Buxton joins Willis Re as a Managing Director

Sir Steve Webb to join LCP as Partner

Willis Re has announced the appointment of Simon Buxton as managing director of its International Customised Reinsurance practice, which focuses on non-traditional reinsurance. Simon is a fellow of the Institute of Actuaries UK and brings 20 years’ experience in reinsurance including roles as head of Structured Reinsurance at XL Financial Solutions and Allianz Risk Transfer, and global head of Treaty and Facultative at Allianz Global Corporate and Specialty (AGCS). Reporting to Tony Melia, CEO, Willis Re International, Simon will be based in London and lead Willis Re’s development in the fast-expanding customised reinsurance arena across the international region. Tony said, “The search for optimal, customised reinsurance solutions to secure capital and earnings resilience, often across both assets and liabilities, is increasingly at the top READ MORE

IFoA appoint new Chief Executive

PTL appoint Actuary Steve Longworth as Client Director PTL have announced the appointment of Steve Longworth as a Client Director.

LCP has announced that former Pensions Minister Sir Steve Webb is to join the firm as a Partner. He joins from Royal London where he has been Policy Director since 2015. At LCP he will be working closely on the firm’s client service offering to help adapt it for the future in the context of an ever-evolving regulatory environment. He will also be helping LCP spearhead campaigns to help the wider pensions industry stay apace with change and member needs.

Richard Butcher, Managing Director at PTL, commented: “Professional trusteeship is an increasingly demanding and dynamic part of the pensions industry, and we have ambitious plans to become the leading firm in this space. We grew by more than 20% in our last financial year and are currently exceeding our targets for this year. Our clients demand nothing less, and this requires a talented and committed team. Steve is the first of four imminent new hires at Client Director level, which we will be announcing in the coming months. His background, extensive pensions experience and can-do attitude make him an excellent fit for PTL.” READ MORE

The appointment comes as the firm positions itself for future growth. LCP READ MORE

The Institute and Faculty of Actuaries has appointed Stephen Mann as its next chief executive. Mann will take up the post from 6 January 2020. Originally qualified as a lawyer, Mann has worked extensively with the actuarial community

throughout a career in financial services. He has been a Board Director of the Aviva Life business, responsible for strategy, business services and major capital projects, and more recently served as Chief

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Executive Officer at the Police Mutual Group. Mann has also been Chair of Aviva’s With Profits Committee and UK retail investment business, a nonexecutive director at ALICO UK READ MORE

CITY DEALINGS Keeping up to date on acquisitions, mergers and the dealings of companies in the city

Record breaking bulk annuity year due to 7 mega transactions A massive increase in so-called ‘mega-transactions’ accounted for around two-thirds of the record-breaking bulk-annuity transfer volumes for 2019, according to analysis, published by Hymans Robertson in its latest annual Risk Transfer Report. They found that just seven of these multi-billion transactions amounted to over £24 billion in 2019, which is more than total buy-in and buy-out volumes during the whole of 2018 across 162 transactions. Furthermore, a record amount of deferred member liabilities (around £10bn) were insured during 2019. This is a result of improved pricing for insuring

James Mullins, Partner and head of risk transfer at Hymans Robertson explains the impact of these ‘megatransactions’ on the industry: “In 2019 there were 10 transactions over £1bn and five transactions over £3bn, including the largest ever buy-in and buy-out. These mega-transactions inevitably receive top priority from several of the insurers, which means that smaller pension scheme transactions need to work even harder to stand out from the crowd.”


Redington secures Phoenix Equity as long term investor


Redington has announced that it has secured private equity backing from Phoenix Equity Partners. Phoenix’s investment will enable Redington to continue to develop its long-term proposition for clients, while delivering exceptional service to them. Financial terms of the transactions are not being disclosed. Redington provides frameworkbased, outcome-oriented investment advice, research and technology to some of the largest institutional investors in the UK, Europe and China. The business has seen strong growth in recent years, with Assets under Consulting increasing from £115bn in 2013 to over £500bn READ MORE

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HMRC hit Lifetime ISAs with withdrawal penalties of GBP9m New data obtained by Royal London shows that HM Revenue and Customs have so far charged young people more than £9m in penalties for taking money out of a Lifetime ISA. This data covers the whole of 2018/19 and the first seven months of 2019/20. The Lifetime ISA started in April 2017 and allows those aged under 40 to deposit up to £4,000 per year towards a house deposit or pension. The government adds a top-up of 25% of the amount deposited. But those who then need to access the READ MORE


The start of a new decade is an opportunity to reflect on the previous one which for many will be remembered as period of uncertainty. Whether economic or political upheaval, stock market volatility or high-profile corporate failures, the individuals and teams responsible for pension delivery in the UK faced new challenges as well as old ones over the past 10 years. Yet beyond the headlines, what impact did this period of uncertainty have on UK Defined Benefit (DB) schemes and, perhaps more importantly, what is the current situation as we enter a new decade? The PPF’s latest edition of The Purple Book gives us an indication. Compiled using information gathered by the PPF in collaboration with The Pensions Regulator (TPR), the Purple Book – more formally known as the Pensions Universe Risk Profile – provides a comprehensive overview of the aggregate funding position of all DB pension schemes that the PPF protects. This includes schemes that haven’t entered the PPF but are eligible to do so if their sponsoring employer fails. The latest dataset shows some improvement, with the aggregate funding ratio of DB pension schemes at its highest level since 2014, having increased to 99.2 per cent (on a s179 basis). The result is a net funding position improvement to a deficit of £12.7 billion in 2019 compared to a deficit of £70.5 billion in 2018.

A closer look at the Purple Book shows over the last few years the net funding position has been trending upwards. Although there has been some volatility, this is considerably less than what we saw in the earlier years. This recent trend can in some part be attributed to the de-risking measures DB pension schemes are putting in place, the most significant being the move in investment allocation away from equities and towards bonds. In addition, employers continue to pay significant contributions into their schemes, with around £14 billion expected to be paid in 2019. Assuming that scheme funding plans remain on track, total annual recovery plan payments are indicated to decrease by around 80 per cent over the next 10 years to around £2.7 billion in 2029 as schemes increasingly become fully funded. Only small reductions are expected however over the next few years. Whilst the improved aggregate funding level and action to de-risk are welcome, it is essential that as an industry we do not become complacent or lose sight of potential risks that may be hidden under the surface of these statistics. As we know too well, the funding position of the universe of schemes can change quickly and drastically, influenced by a complex variety of factors, including financial markets and, actuarial assumptions.

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by Lisa McCrory, PPF Chief Actuary

Although in aggregate the funding position seems positive, there is a lot of variation in funding when you consider a breakdown by scheme size and structure. Mid-sized schemes, for example, are at most risk compared to the largest and smallest sized schemes. Those with between 1,000-4,999 members have a net funding deficit of £10.1 billion, compared to schemes of over 10,000 which have a net surplus of £2.6 billion.

pension schemes, we believe the Purple Book provides the most comprehensive overview of the entire DB universe. Because of its reputation for providing detailed and accurate information, the Purple Book is also used widely by the industry to promote best practice in managing risk and, ultimately, delivering the best outcome for members.

Of course, the Purple Book and the data it provides is only one of the tools that we use to identify and assess risk. Whilst we are able to plan for and actively mitigate against many risks that we face, such as short-term shocks, industry changes and adjustments to policy and regulation, Therefore, whilst the top-line picture may be a there will always be possible circumstances which positive one, a more detailed analysis can indicate can’t be foreseen or controlled. areas of potential future risk or concern. With that in mind, vigilance has to be central to As a result, it is essential that the PPF continually our approach. Members of DB pension schemes assesses the risks it faces and takes all appropriate rely on the continued financial resilience of the steps to understand the true health of UK DB PPF to provide them with a safety net if the pension schemes.The Purple Book is an important sponsor of their scheme become insolvent. part of that process, allowing us to understand how the universe of schemes is changing, helping The Purple Book and the data it provides is to inform assumptions about what the landscape might look like in the future and identifying the an essential guide in ensuring that the industry doesn’t become complacent and can prepare for most appropriate funding strategy. the risks it faces. As Benjamin Franklin is often Whilst there are many publications available quoted: “By failing to prepare, you are preparing that consider the health of UK defined benefit to fail”. Likewise, open schemes tend to be less funded than schemes that are closed to new members or new benefit accrual. Further, if you look only at the deficit of all schemes in deficit the total shortfall is £160 billion.

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Delivering value A considerable proportion of the work done by financial advisers in the pension arena involves navigating our ridiculously complicated tax rules in order to work out how much they can save in a tax-efficient way. Although this service undoubtedly delivers great value, is there in fact more important work financial advisers could be doing? What happens if we get real simplification – as I hope we do – in the pension tax rules? As a pensions specialist I believe the value we should be delivering should be less about interpretation and more about the overall retirement plan. This chimes with some recent work carried out by Vanguard “Assessing the Value of Advice”, which looks at what clients really value in their financial advisers. Given the fact that many advisers are remunerated by reference to fund size a lot of previous analysis has focussed on investment performance, however this is just one aspect of the advice and arguably one least relevant to the actual work carried out by most advisers.Vanguard looks beyond what they term ‘portfolio outcomes’ and considers the importance of both financial and emotional outcomes as well. Measures of value 1. Portfolio Outcomes Don’t get me wrong, a professional adviser should be able to achieve better returns, on average and over the medium to long term, than most self-investors and according to the ILC they mostly do. Their report “What it’s Worth: Revisiting the Value of Financial Advice” showed that advised clients tend to be wealthier, have better pensions and (not unrelated) save more:

Source: ILC December 2019 This result is however dictated by more than selecting the right investment funds. Rather it is dependent on selecting the right type of funds and assets and persuading clients to create and stick to a strategy that is capable of delivering the returns they need.The same study showed that advised clients typically invested 29.6% of their portfolio in ‘risky assets’ in comparison with 22.1% by nonadvised clients. The Vanguard report goes a little further, finding that while overall equity content was fairly similar in both advised and non-advised individuals, the former is more likely to hold bonds than cash and deposits, and to have less of a bias towards UK based funds.This creates a more diversified portfolio capable of higher growth and greater resilience against individual market shocks. page 13

2. Financial outcomes Vanguard’s second measure of the value which financial advisers deliver, one which is particularly relevant to retirement planners, is the level of success in achieving the client’s individual financial goals. This encompasses helping the client to set realistic targets in the first place and then carrying out a professional analysis of the savings and investments required to get them there. Cashflow planning not only manages client expectations but it can demonstrate relative progress over time. The Vanguard study found that as of January 2019, eight in ten of their investors with a retirement goal had an 80% or greater probability of achieving their objective, of which 76% had a 90% to 100% probability. This is what happens when you have a plan.

3. Emotional outcomes This is the most difficult to measure, but undoubtedly one of the most important factors in the adviser client relationship.We deliver peace of mind.Vanguard’s analysis suggests that emotional outcomes account for 45% of the total perceived value of financial advice, and there is no doubt in my mind that it is this that creates the sort of client loyalty that is needed for long term planning. This financial peace of mind needs to be based on more than just a liking for the individual involved, it includes a sense of trust, confidence in the adviser’s abilities and the support given throughout the ups and downs of their retirement journey.

Summary The Vanguard study is admittedly based on a specific universe of individuals, and both they and the ILC sponsors - Royal London - have an interest in supporting the value of advice however, these facts and figures ring true to me. I look forward to the day when my time is spent more on understanding client goals and putting together a workable plan, rather than the joys of carry forward and tapered Annual Allowance calculations.

by Fiona Tait Technical Director Intelligent Pensions page 14

PENSION PILLAR THE 20’s - A DECADE OF PENSION TECH? by Dale Critchley Policy Manager Aviva The dawn of a new decade is upon us, and it’s got me thinking about what the next 10 years could bring to the pensions industry. It seems inevitable that whatever happens, we’ll see technology play a greater role. In the latter half of the previous decade, things began moving in the right direction. Apps started appearing from providers that allowed savers to at least check and model their DC pension. A couple of firms, including Aviva, even integrated this into smart-speaker technology. But it very much feels like we were scratching the surface. Think about how you use your smart phone or tablet. You can pay bills, video call your aunty in Peru, tell a cab driver where you are without making a call….the list goes on. As a society, we’ve quickly become accustomed to being able to manage much of our ‘life admin’ with the little rectangular block in our pocket. Pensions can’t get left behind. Ease of access and functionality is going to be key in boosting engagement with retirement savings. And greater engagement is going to be vital if we are going to make people aware that a healthy savings pot is going to be essential in later life. The key to improving accessibility is data connectivity, and I think pension dashboards have the potential to deliver a step change in how we interact with our pensions. Although Brexit, and the associated political uncertainty, has slowed progress, I’ve no doubt that pension dashboards will be delivered. The industry has proved the concept can work and once built I think it’ll pave the way for integration with all our financial products. Just as you can transfer

money from one bank account to another, we should be able to transfer money to, or between, our DC pensions. There are also likely to be advances in technology that already exists, making it easier for people to manage their pensions through simpler online transactions, facial recognition (aka selfie verification), speech analytics and live chat - with a real person or a robot? By 2030 we may be hard pressed to tell the difference. Technology, and more accurately data analysis, is also set to transform communication. We accept targeted ads based on our browsing history or our club-card data, but communication about our pension can be a ‘one-size-fits-all’ annual update. In the competition to spend or save it isn’t a level playing field, but I think that will change. Hyper-segmented pension communications based on data analysis and machine learning is being developed now. Over the next 10 years it’ll become mainstream amongst leading pension providers, delivering automated communications that are truly relevant to the recipient, in a way that best suits the customer – audio, video, text…hologram?? Behind the scenes, I expect artificial intelligence to play a bigger role in delivering investment returns and greater automation of administration will deliver efficiencies and greater accuracy, driving down costs. This won’t be without its challenges of course. Legacy systems are an issue and commercial pressures will always play a part. But as customers increasingly expect to manage their pensions in a way that suits them, these challenges must be overcome, either through technology or consolidation into more modern schemes. It’s a big decade for the pensions industry. Let’s come back in January 2030 and see if this article has stood the test of time (assuming we haven’t all been replaced by robots!).

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IFRS 17: A ONCE-IN-A-GENERATION OPPORTUNITY TO REALISE BENEFITS THAT GO BEYOND COMPLIANCE Roger Gascoigne, Snr Director Derek Ryan, Global COnsulting Lead, IFRS 17 Life Business at Willis Towers Watson Insurers in many parts of the world are in the process of implementing significant changes resulting from the introduction of IFRS 17, the global accounting standard on Insurance Contracts. The standard comes into effect from 1 January 2022 and, inevitably, many companies will be driven first by the need to ensure they are able to get the numbers out accurately, efficiently and on time. As insurers are fast discovering, the intricacies and complexities of IFRS 17 multiply rapidly once you start getting into the details of calculations and presentation. The selection of options, the use of judgement in applying a principles-based approach, and the need to deal with amendments and emerging guidance all result in a complex methodological labyrinth of twists and turns. From methodology to implementation to reporting; from people to processes to technology; insurers will need the right breadth and depth of expertise and technology to steer their way through the maze of different workstreams. Figure 1. A view of the IFRS 17 challenge. Where are you on the journey?

Despite the complexity and the work involved to be IFRS 17-ready, insurers will benefit from putting the challenge in a broader context and approach IFRS 17 as a wider business improvement project. One that can add value to the business. Insurers should aim to have a complete end-to-end solution that delivers automation, efficiency and auditability ‘out of the box’, saving time and money and allowing experts to be deployed on higher value tasks. Insurers’ risk, actuarial and finance functions will then be able to do more, faster and with less.

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Applying lessons learned Simply complying with IFRS 17 brings many challenges, which often carry significant business implications. But fresh from the recent experience that most insurers have had in implementing regulatory change, it also brings some familiar ones. For example, the need to produce numbers and analyses ever quicker, with greater transparency, and with more stringent governance and controls. The IFRS 17 engine IFRS 17 is an accounting standard, but many of the principles are closer to a typical actuarial model than a traditional accounting model. Moreover, the CSM calculation uses both forward-looking information that typically comes from an actuarial model and backward-looking actual experience that usually comes from an accounting system. An IFRS 17 implementation solution that has the CSM calculation in the actuarial system is therefore likely to be the most cost-effective and process-efficient approach. In addition to enabling companies to use current assumptions, functionality and to maintain consistency, there are three key reasons to locate the CSM calculation engine close to the cash flow projection models: business uses, flexibility, and transparency. Figure 2.The IFRS 17 engine

A holistic approach Historically in insurance, system and process evolution has often taken place in a piecemeal fashion, in isolation from other business considerations. For many, the default approach has been to extend legacy platforms and add to a suite of spreadsheets to perform additional functions. Over time, they become slower and put greater emphasis on often manual housekeeping activities. IFRS 17 will inevitably heap further pressure on insurers to deliver additional numbers and analysis within tight timeframes and with the requisite audit and governance. At the same time, for insurers that decide to look beyond compliance, this might represent a once-in-ageneration opportunity to take a step back and take a more holistic view of their processes and systems; to assess the use of Robotic Process Automation to control calculations and introduce better governance and controls; to explore Cloud Computing to enable cost-effective scaling up and down of computing power to meet peak demands; and to release expensive actuarial resource from mundane tasks to focus on where they can add real value for the business. Many decisions concerning IFRS 17 implementation need to be made now and if we are to learn lessons from Solvency II, implementation of these regulatory requirements is going to be costly. It is therefore crucial that insurers take prompt action that combines the holistic perspective necessary to realise the many benefits that go beyond IFRS 17 compliance.

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by Tom Murray Head of Product Strategy LifePlus Solution, Majesco There can be little doubt that 2020 is setting out to be a turbulent year in the UK. There is a high degree of business uncertainty as the UK dramatically shifts its economic policy, loosening existing trade ties with the European Union whilst setting up new ones with other large economies such as the US, India, and Japan.

In times of uncertainty, protection products come into their own. A shift in the basis of the economy means that many workers will have disruption to their earnings. At times like these, the lure of products that protect against gaps in income grows.

Irrespective of which side of the original argument one was on, the fact remains that the debate is now over, and change is on its way. Even the most vocal proponents of the change, such as the Chancellor Sajid Javid, believe that whilst it is a huge positive for the economy, nevertheless there will be winners and losers, as the business sector adjusts to the new reality. Given that the business world will be in a state of flux, it follows that the conditions for ordinary workers will become uncertain. Some industries will decline, others will boom. As they do so, the labour market will have to adjust, and many careers will also be in a state of flux. There will be increases in temporary unemployment as people shift from one industry to another and many may temporarily enter the gig economy to cover the gap.

As a result, it is almost certain that the demand for flexible short-term income protection products will increase. Although these products can be expensive, short-term versions are available and they can be the key to giving workers security in an uncertain world. Workers may move from a full-time job in one industry via a few temporary jobs into a fulltime job in another industry altogether. They will need protection levels that vary depending upon the changing risks. The question for life providers is whether they have the digital infrastructure ready to support this type of product and deliver it in the manner required by this more mobile and flexible workforce. The most attractive products will be those that are flexible enough so that consumers don’t end up either paying for protection that they don’t need or, on the other hand, being exposed to excessive risk levels because their protection level is too low.

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It follows, logically, that consumers need real-time access to their product set to make changes as and when they need to– a type of access that can only be realistically provided by a digital interface to the consumers that empowers them to manage their policies themselves. Many of the existing products in the market are insufficiently agile to be altered easily to reflect the more dynamically changing circumstances of the consumer. And even where they are, the flexibility can be constrained by rigid support systems that don’t permit the consumer to rapidly make the changes they need to suit their changing circumstances.

Alternatives for consumers who wish to deal with the provider in a more traditional manner can be added on, but the focus has to be on allowing the consumer to go digital as the default position, in order to fit in with the new, more dynamic lifestyles emerging. Only by getting the organisation to think in this way will life and pension companies start to deliver the type of protection products and the associated services needed for a more volatile environment.

What’s needed is a shift in thinking by the life companies. Protection products such as income protection need to be designed with flexibility at their core. The supporting solutions need to be designed in the same way and, most importantly, as part of the same process. It’s no use allowing an instant premium decrease if the product doesn’t have an accessible portal to enable the consumer to sign on and implement it immediately. So, all product features and supporting processes need to be designed with a digital first approach –

an approach that thinks in terms of both the feature and its delivery at the same time in a digital way.

Consumers will be attracted towards those life and pension providers that can best suit their needs and fit in with their lifestyle. Those who can’t provide the ‘always-on’ availability and the ability to change the protection levels to suit the changing circumstances of the consumer won’t be in consideration. Providers need to make the internal changes to their product and service design, or they risk ending up with offerings that are complete white elephants in the UK’s new business environment.

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RETIREMENT PUZZLE BENEFITS OF DIVERSIFICATION by Alex White, Head of ALM Research, Redington Suppose you are trying to build a portfolio from a proverbial blank sheet.You have worked out what returns you need, and what constraints you have, and you’re now looking to find the best assets for the job. Philosophically, you have two extreme approaches:

• Start with nothing and include assets which improve the portfolio

• Start with everything and cut down unnecessary assets

There are very good reasons why it makes sense to do the first- the asset universe is so vast that the second is wildly impractical. Theoretically, however, it’s quite valid- if an asset class offers meaningful diversification, is there a case that it should be a part of every portfolio where there are no explicit reasons to exclude it, rather than only part of those where there is an explicit reason to include it? As a simple example, suppose there are only 2 assets available. Both are lognormally distributed with 10% volatility, but one has a 4% return and one has a 2% return. What Sharpe ratio do you get from different portfolios depends on the correlation between them, as shown below:

page 20

Even with a much lower return, the second asset still justifies a place in the portfolio unless it is highly correlated with the first. If the correlation is negative, even an asset with a negative return can improve the Sharpe ratio- a 20% allocation to a -1% return asset would improve the Sharpe ratio even when the higher returning asset had a Sharpe of 0.4. This benefit is somewhat limited- the marginal value of increasing diversification decreases, and it doesn’t take long to reach a point where the decline in diversification is within margin of error. This is especially true when the assets are reasonably positively correlated, which is increasingly likely as you add asset classes to a portfolio. The charts below show this effect for equal weighted portfolios with different numbers of assets at different correlations (each asset is assumed to have a 10% volatility).

In practice, there are a host of other considerations, not least governance, that will and should have a significant effect on portfolio construction. There are some cases where a portfolio should be concentrated- for example, if it is aiming to beat a benchmark, is part of a wider allocation, or is very small and constrained. However, as a rule of thumb, if there are fewer than 3-4 meaningfully different sources of returns in a portfolio, it may be worth looking at increasing diversification.

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Recovery and resolution (R&R) planning appears to have arrived in insurance, following multiple false dawns.

Solvency II review process.

The IAIS also finalised the long-awaited Holistic Framework in November 2019, which includes Governments and regulators introduced a number tools and policy options for supervisors on a range of important changes to regulation following the of macroprudential issues, including recovery financial crisis, including more stringent capital rules, planning. It followed this with an application paper but also new recovery and resolution regimes for on recovery planning which provides key indicators banks and insurers. These regimes aimed to ensure of what good practice looks like. firms can recover from stress, while protecting When implementing new R&R requirements consumers, businesses and taxpayers. regulators should adopt a proportionate While such regimes have been in place for a approach, taking into account the nature, scale and number of years, rules are more advanced in complexity of firms, while guarding against the risk banking than insurance. However, recent moves of significantly increasing the cost of regulatory by the International Association of Insurance compliance. Supervisors (IAIS) and the European Insurance and Occupational Pensions Authority’s (EIOPA) What does R&R look like for insurers? ongoing development of pre-emptive recovery While closely related, there are important rules show a shift is happening in insurance. differences between recovery and resolution and the clues are in the names: New decade, new momentum The insurance industry has long argued against • Recovery planning refers to the steps a firm can take if it becomes stressed and breaches detailed R&R rules given the different systemic solvency requirements to try to restore its profile of the sector. However, authorities have financial position. little tolerance for systemic risk and are willing to intervene to avoid taxpayer-funded bailouts. • Resolution refers to the steps that can be taken Momentum on this picked up in the second half to unwind a firm, protect customer interests of 2019 with EIOPA including specific proposals and restrict the spread of systemic risk. for pre-emptive recovery plans within the 2020

page 22

Under Solvency II, recovery plans are required from firms on a reactive basis when the Solvency Capital Requirement is breached. The major new development is the need - at least for larger or internationally active firms - to prepare preemptive recovery plans. This mirrors requirements in place in the UK for banks, which the PRA set out in 2017 (supervisory statement SS9/17). While requirements differ for insurers, the underlying principles are likely to be similar to banking rules. Proposals on resolution planning are less developed. Today, pre-emptive resolution plans are only required for global systemically important insurers, but EIOPA’s proposals would likely extend this to other large firms to address systemic risk and protect policyholders and taxpayers from disorderly failures.

What should firms be doing? R&R is quickly rising up regulators’ agendas. Firms should be monitoring developments and anticipating where they may face challenges from new rules. However, beyond this, there are good reasons to be considering R&R now. Sound risk management practices should not only assess the risks a firm is exposed to, but also anticipate the steps needed to overcome problems. When thinking about significant changes to group structure or other major strategic decisions such as Brexit-related restructuring - firms should consider whether there are inherent barriers to their ability to recover from stresses or be resolved. Firms can utilise the insight that emerges when looking at their business through a R&R lens to support a wider view of risk management practices and respond to vulnerabilities.

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The season of ‘mist and mellow fruitfulness’ quickly gave way to what seemed like endless days of rain in the Autumn of 2019, with rainfall reaching record levels in some parts of the UK and flooding hitting homes and businesses. It may seem hard to believe but nationally, the rainfall of Autumn 2019 is yet to beat the December 2015 deluge. Flood Re for home insurance customers was introduced the following April to replace the previous Flood Insurance Statement of Principles and since the scheme was set up, over a quarter of a million homes across the UK have benefitted . The British Insurance Brokers’ Association (BIBA) launched a commercial insurance scheme in 2016 aimed at improving access to flood insurance for SMEs in flood risk areas. The need to price effectively and appropriately for flood risk in both home and commercial lines remains a key priority for the market as flood events become a regular feature of our annual weather patterns. The good news is that in four short years since the devastating floods of winter 2015, the home and commercial property insurance market’s understanding of flood risk has continued to evolve

through enhancements to technology and new data insights combined with geo-spatial visualisation techniques. Today, insurance providers have access to data on the property, the policyholder and the location to create a real-time understanding of risk right down to the individual property and even whether flood risk differs from the front of the building to the back. Added to this, mapping tools are making it easy to see where accumulations and exposures lie across a book of business to help determine pricing strategies and manage losses as events unfold. With the automation of home and commercial property products, the same insights at a property level via map visualisation tools are now available as scores in the automated data enrichment world. This means, for example, that a home located at the top of a hill will not be classed as having the same risk as a property in a flood valley, just because they happen to be in the same postcode. Real-time warnings Flood risk assessment is moving to real-time, with recognised bodies such as the Environment Agency

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and some of the flood modelling companies, now publishing geo-spatial flood alerts in fifteen minute intervals. This enables insurers to assess which customers are at risk and helps them to provide guidance at the appropriate time. It means insurers can now include added value services to help their customers take preventative action and help reduce the impact of flood events. Let there be light LiDAR (Light Detection And Ranging) technology has had a significant part to play in these advances, helping us to model for flood based on the local terrain. Using the pulse from a laser to collect measurements, LiDAR enables 3D models and maps of ground to be created, showing buildings, trees and water levels. The data has been collected for the whole of the UK, bringing a new depth of knowledge around environmental risks. As the data collected can be coupled with soil type, average rainfall and river gauge monitoring, LiDAR is proving particularly valuable in its ability to accurately predict where water will go in a flood. It can also be used to show effectiveness and any potential consequences of manmade flood defences. With ÂŁ62 million in funding to be awarded 1. 1. 1. 1. 1. 1.

to 13 projects to improve flood defences , the data gathered by LiDAR may help the insurance sector understand the precise impact of these measures on insurance risk. Looking back to help predict the future In addition to the real-time information, insurers have access to historical flood and claims data, adding a further dimension to the picture of risk. Already the market has access to flood data going right back to 1946. However, a gap in the market that has yet to be filled is a claims database. This could provide a history of claims events for a property which the insured may not be aware of when applying for insurance cover. With this insight, insurance providers can make a much more accurate risk assessment, putting them in a stronger position to support customers before, during and following a flood. We know more accurate weather predictions are helping to put the sector on guard for flood events. When it comes to assessing flood risk at point of quote, renewal and during the lifetime of the policy, the combination of data now available to the insurance market continues to grow, helping to ensure no homeowner or business is left out in the cold through any lack of understanding of their risk.

https://www.bbc.co.uk/news/uk-england-50572041 https://www.statista.com/statistics/584914/monthly-rainfall-in-uk/ https://www.abi.org.uk/products-and-issues/topics-and-issues/flood-re/flood-re-explained/ https://www.floodre.co.uk/flood-re-reveals-numbers-of-households-in-birmingham-benefitting-from-cheaper-home-insurance/ https://www.fsb.org.uk/resources/small-businesses-and-flooding-what-are-the-options https://www.floodre.co.uk/flood-re-welcomes-additional-government-funding-for-flood-defences/

by Jonathan Guard, Director Commercial Markets LexisNexis Risk Solutions, UK & Ireland page 25

LIGHTS, CAMERA, ACTUARY... Bolton Associates’ focus is specifically in the non-life actuarial space; the largest dedicated GI actuarial specialist in the market, working across the whole insurance market. The consultants at Bolton Associates offer an exceptional service, managing the process with the utmost tact and respect for all parties. We are passionate about our market, taking great interest in the insurance world as a whole; keeping up with trends and changes, and maintaining our ever-expanding network. We are good at what we do, because we enjoy what we do.

search & selection

The next focus for Bolton Associates’ Spotlight page, is an interview with a leading actuary within one of the Lloyd’s Broking houses. With the broking firms now offering important analytical, actuarial and deal-assisting advice, for the next few months Zoe Bolton will be talking to the senior actuaries in these firms, getting a brief insight into their career paths and visions for the future. This month Zoe talks to Neil Hyatt of Lockton Re.

What is your current role, and how did you end up in it?

How does your actuarial training and background assist in your day-to-day role now?

Head Actuary Lockton Re London.

Enormously. A reinsurance pricing actuary is a very technical role, and the core skills that I learnt during training still serve me well now. At college I was very much an “applied mathematician”; the statistical breadth that the actuarial training gave me enabled me to build the actuarial tools that I use to model treaties today.

I was looking for a “green field” opportunity in reinsurance…. The usual of knowing the right people. An underwriter I’d known for many years recommended me to the Lockton Re team – thank you Doug!

What is the defining moment of your career to date? A long time ago, having worked in pensions consultancy for two years after graduating, an opportunity came up to switch to (the then very new) arena of general insurance, and as they say, I’ve never looked back.

In your opinion, what prepared you best to take on your current role? The companies I’ve worked in the past have always been extremely supportive of Continual Professional Development (one of them financed an MSc in Financial Mathematics) so I’d say continual learning plus the support of some very forward-thinking companies.

What is the biggest challenge you face in your role within this market? Price! There is still an abundance of capacity in the market (although as I write this, I’m aware that there are signs of hardening in the market), so being able to demonstrate that our clients are different to their peers in how they manage and underwrite risk is critical.

When did you first join the Institute & Faculty of Actuaries, and what advice would you give to those students looking to emulate your career path? …a while ago, 1985 A little cliched, but make sure you enjoy what you do. If you have the ability to be an actuary then you have the ability to work in many other areas – unfortunately you only get one shot at life, so make sure you don’t waste it. 40 hours a week doing something you don’t really enjoy is not a good start….

If you had your time again, what would you do, career-wise? Much the same – I’ve been lucky enough to be in the right place at the right time, have had fun working in the reinsurance arena and have met some great people along the way.

Please share your favourite piece of trivia with our readers! Not so much trivia, but I have always loved Douglas Adams’ epigrams. In particular “I love deadlines, I love the whooshing noise they make as they go by”; it always puts things in perspective.

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by Emily Sturgess, Senior Consultant XPS Pensions Group

The Board of the Pension Protection Fund (PPF) issued a consultation on 18 December 2019 proposing changes to how insolvency risk scores will be calculated for the 2021/22 levy and beyond.

It is suggested that the proposed recalibration helps eliminate the smaller and not-for-profit entities subsidising the largest employers. The recalibration will impact all organisations measured by the PPF model scorecards, with twoPart of the PPF levy calculation is based on thirds of larger employers seeing an increased the insolvency risk of a scheme’s sponsoring levy band and higher levies. employer(s). For the last 6 years, this has been calculated by Experian, based on the PPF’s agreed At the same time as launching its consultation, the PPF has given trustees and sponsors access methodology. to a test version of its new score portal that will In early 2019 the PPF announced that Dun & show ‘live’ D&B scores based on the recalibrated Bradstreet (D&B) would take over as insolvency and ‘consultation’ scores risk provider from April 2020. D&B’s collection and interpretation of What changes are being proposed and what is data the likely impact? Another change impacting scores will come from Scorecard recalibration D&B’s approach to collecting and interpreting data and how this may differ to Experian’s The main change proposed in the consultation approach. Experian’s general approach is to is to recalibrate the existing PPF model collect accounting data exactly as presented scorecards, so that they provide a better fit in the accounts. D&B’s approach can involve with actual insolvency experience. In assessing adjusting certain items, based on supplementary the performance of the existing model the PPF information such as that included in the notes to has found, when compared to actual insolvency the accounts. D&B believe this approach leads to experience, that each scorecard either under- or a more consistent treatment of the accounting over-predicts the level of insolvencies. data across companies. page 28


D&B will also use a different approach to determine an organisation’s ultimate parent company and to determine consolidated accounting figures when financial information on an ultimate parent company is not available. The PPF encourages stakeholders to check they are satisfied with D&B’s interpretation of the ultimate parent and to provide feedback as part of the consultation.

of England’s Bank or Insurer list will no longer be used post March 2020. Going forwards these organisations are to be scored using the PPF model instead. Impact analysis

The PPF has carried out an impact analysis, firstly by looking at how the changes could lead to levy band changes and secondly by looking at how All organisations on the PPF model could the changes could have impacted on the levies potentially be impacted, either negatively or payable for the 2019/20 levy. positively depending on the circumstances. The analysis is caveated to the extent that some score changes could be due to ‘gaps’ in the data used to calculate the new D&B scores rather The recalibrated scores allowing for D&B’s data than anything else. interpretation represent the PPF’s ‘baseline’ scores going forwards. The PPF is also proposing This is because D&B does not currently have the following additional changes based on access to all the supplementary information stakeholder feedback: Experian had, such as self-submitted accounts. • For group entities, the mortgage age variable The PPF’s analysis allowing for all changes shows is to be removed and replaced with a cash by that: Other PPF model changes proposed

current liabilities variable. • The creditor days variable is to be capped at 60 days to remove extreme model values. • For regulated financial institutions the creditor days variable will be given a neutral value reflecting the fact that these entities don’t have trade creditors. Non-PPF model changes

• Two-fifths of employers are expected to remain in the same levy band. • One-third of schemes would have seen a similar levy amount if the new D&B scores had been used for the 2019/20 levy.Almost half would have seen a lower levy and one in five would have seen an increase. • 7% could have seen an increase in levy of over 50%.

Some organisations’ insolvency risk is measured by public credit ratings, or alternative industry Actions for Trustees and advisors specific scorecards instead of the PPF model.The PPF has confirmed: The consultation closes on 11 February 2020. Trustees should check they can access the new • Public credit ratings have been shown to be scores, understand the reasons for any changes highly predictive and will be retained. in scoring and consider whether supplementary • The S&P credit model that is used for around information such as self-submitted accounts 70 large financial institutions listed on the Bank should be provided to D&B to fill any ‘data gaps’. page 29


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page 30

search & selection Senior Pricing Analyst

Capital Actuary

General Insurance Up to £75,000 Per Annum City of London

General Insurance £Market Rates London

A leading (Re)Insurance provider is recruiting a nearly/ newly qualified Actuary to join the Casualty Treaty team. Reporting into the Head of Casualty Treaty Pricing you will be responsible for analysis and modelling of assumed risks in Casualty & Specialty Lines. International or London Market Casualty Treaty pricing experience is a must. You will work closely with . the underwriters.

Our client, a leading global insurance business has a number of capital opportunities for senior students or recently qualified actuaries, due to internal promotions. Either on a permanent or contract basis. Ideally you will have IGLOO or Remetrica experience and London market / Lloyd’s experience would be a bonus.

REF: ZB 001306 SC

REF: ZB 001339 CC

Capital Actuarial Analyst

Senior Pricing Manager

General Insurance £55,000 + Per Annum London

General Insurance Circa £70,000 Per Annum London

Highly reputable Lloyd’s and London market player looking for a part-qualified capital analyst to take on a broad role covering the end to end capital process. You will have 1-3 years of non-life actuarial experience, preferably within capital modelling. Those with personal lines or consultancy experience will be considered. Excellent academics necessary and experience . of Igloo/Tyche is advantageous.

Our Client requires an experienced manager with proven ability to develop price optimisation and modelling. Strong quantitative and analytical skills. Excellent communication with the ability to liaise with data technicians, pricing experts and a non-technical audience. Deep knowledge of Radar as well as knowledge of SAS, R and SQL.

REF: ZB 001307 HT

REF: ZB 001333 OG

Reserving Actuary

Head of Pricing

General Insurance Up to £100,000 per Annum London

General Insurance Circa £70,000 Per Annum City of London

Commercially-minded Reserving Actuary required for Lloyd’s specialty (re)insurer. Involved in the full remit of reserving responsibilities, you will look after more jun¬ior members of the team alongside attending relevant committees and presenting analysis. A nearly or newly qualified actuary, with a proven track record of reserving within the London Market. .

Property, Casualty & Specialty start-up seeks a qualified actuary (through exam or experience) to join this fledgling team, working with underwriters to set up initial pricing models. You will have exceptional commercial and communication skills and become very much part of the business. Excellent long-term opportunities, and to build a small dynamic team.

REF: ZB 001277 PW

REF: ZB 001305 ZB

www.bolton-associates.co.uk page 31 +44 (0)207 250 4718 Bolton Associates, 5 St. John’s Lane, London, EC1M 4BH

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A very belated Happy New Year to all of our readers and trust 2020 has started well for all of you. In the month that the PPF published the...

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A very belated Happy New Year to all of our readers and trust 2020 has started well for all of you. In the month that the PPF published the...

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