Demystifying the Risk Margin: Theory, Practice and Regulation.

The Staple Inn Actuarial Society (SIAS) are holding a meeting to discuss Anthony Brown FSA’s paper on Demystifying the Risk Margin: Theory, Practice and Regulation.

The risk margin is one of the most complicated features of the ‘new’ market-consistent actuarial world embodied by Solvency II, MCEV and others. This paper aims to complement that with a comprehensive, straightforward, jargon-free and, above all, practical overview to the topic.

The focus will be on theoretical justification for the risk margin concept in particular the policy choices made in various regimes, and review the regulatory guidance around its calculation. They will then look in some depth at the practicalities of calculation of the risk margin addressing issues such as appropriate allowance for diversification, costs of capital, allocation of capital, simplifications, etc.

The SIAS has over 5,000 members worldwide and exist to represent younger members of the actuarial profession, whilst also acting as the London region actuarial society. See for more details.

The event will take place on Monday 14 May 2012 at 18:00 at Staple Inn, London.


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