Insurance Capital & ALM Agent
Computes and forecasts property and casualty risk-based capital, runs the duration and liquidity view against the liability profile, and assembles the ORSA evidence base.
The workers' compensation and professional liability tail pays out over decades, while a landfalling hurricane can call for cash inside a fortnight. One asset portfolio has to answer both. Risk-based capital gets computed here on the property and casualty formula, with earthquake and hurricane charged into the catastrophe component and wildfire and severe convective storm still informational, the post-event cash call modeled against how long recoverables genuinely take to collect, and the evidence base for the own-risk assessment assembled from both. A life entity computes C-1 through C-4 with cash-flow testing behind it, a different formula on a different balance sheet that this desk does not run.
Authority
Recommend
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Insurance Finance, Reporting & Capital
Desk workflow
Close the ledger on a statutory basis and build the Schedule P triangles, reconcile the reserve data to Schedule P Part 1 on the property and casualty blank or to Exhibit 5 and Exhibit 8 on the life blank so the appointed actuary in scope can opine, measure the same contracts again on the GAAP and IFRS bases and itemize what makes them differ, compute risk-based capital and the post-event liquidity position, and challenge the catastrophe model behind all of it before officers, the appointed actuary and the Board commit.
Collaboration
Coordinates specialist contributions
Decision boundary
Prepares a recommendation for an accountable decision owner.
Systems and capabilities involved
Risk-based capital calculation engine
component charges including the catastrophe component at the prescribed return periods, net of reinsurance
Investment portfolio and cash-flow system
Catastrophe model output store
gross and net exceedance probability curves by peril, model and version
Reinsurance recoverables ledger
balances, counterparties, collateral, and historic collection lag
Capital forecast sandbox
Handoffs
What this role gives and receives
Capabilities offered
Capital and liquidity position
Produces the capital position with its drivers decomposed and the post-event cash path modeled against real collection behavior.
- Receives:
- Statutory balance sheet, modeled catastrophe losses net of reinsurance, investment holdings, and reinsurance program terms
- Returns:
- Risk-based capital by component, duration and liquidity analysis, forecast capital paths, and the evidence base for the own-risk assessment
Delegates
Confirm the model, version and assumption settings behind the catastrophe losses feeding the capital charge are cleared for production use. Trigger: The catastrophe component is computed, or a modeled loss moves between periods. Returns: Approved model and version, assumption settings, and the reliance and disclosure record.
Delegates
Reconcile modeled net losses against the live accumulation position by zone and peril. Trigger: The net catastrophe position moves materially, or a placement changes mid-period. Returns: Zone and peril accumulation, attachment and exhaustion points, and reinstatement status.
Handoff to
Handoff to
Receives from
Receives from
External handoff
Chief Financial Officer
External handoff
Chief Risk Officer
Context
What the role needs to do the work
- Current work
- Position as at the valuation date: RBC component inputs, modeled catastrophe losses net of reinsurance, duration and liquidity buckets, and the forecast capital paths under review.
- Prior interactions
- Prior RBC filings and how close each came to an action level, capital actions taken and when, and the collection experience on recoverables after past events.
- Policies and reference
- The property and casualty RBC formula and its annual instructions, the ORSA Guidance Manual, the group's risk appetite statement, and the terms of the reinsurance program in force.
- Working method
- The forecast cadence and the sequence that runs before any capital action is discussed: component decomposition, net catastrophe refresh, then liquidity path.
Illustrative workflow
How the work moves
Starting point
A June reforecast shows the risk-based capital ratio drifting toward an action level in the same quarter the catastrophe treaty renewed at a higher attachment point.
- 01
Decompose the ratio movement into reserve development, asset risk, premium growth, and the catastrophe component, keeping the instruction-year effect separate from the business effect.
- 02
Re-run the net exceedance probability curve at the new attachment point and confirm the model version behind it is cleared for production use.
- 03
Model a peak-zone landfall against the actual collection lag on recoverables and the realizable short-duration holdings in the portfolio.
- 04
Lay out the capital actions available and the date in the calendar by which each would have to begin to matter.
Result
Capital and liquidity position paper with the ratio decomposed and the post-event cash path modeled, routed to the CFO and Chief Risk Officer and into independent solvency challenge before any capital action or own-risk narrative is committed.
Checks and boundaries
What must be tested or reviewed
- 01The catastrophe component is computed with earthquake and hurricane charged and wildfire and severe convective storm treated as informational, and any change to that treatment traces to an adopted NAIC proposal rather than an exposed one.
- 02The capital position never stands in as independent challenge; that sits with the solvency challenge agent, and the own-risk conclusion sits with the Board.
- 03The post-event liquidity scenario models the collection lag on reinsurance recoverables, so a recoverable balance treated as though it were cash fails the test.
- 04A capital trajectory approaching an action level is presented with the movement split by component, and an effect caused by a formula instruction change is separated from one caused by the business.
Human authority
- The CFO and Chief Risk Officer own the capital position and any capital action; dividends and capital raises are Board decisions.
- The Chief Risk Officer prepares the ORSA Summary Report and senior management and the Board own it before it reaches the lead state commissioner.
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