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1、CambridgeCentreforRiskStudiesScenarioBestPracticesDEVELOPINGSCENARIOSFORTHEINSURANCEINDUSTRYCentre forRik 4tTkn niKrsityof OcambridgiIlKIUC Business SchooltheLIGHTHILLRlSKnetworkReport CitationAcknowledgementsCambridgeCentreforRiskStudiesgratefullyacknowledgesLighthillRiskNetworkforsupportingtherese
2、archeffortssummarisedinthisreport.TheCentreisgratefulfortheexpertiseprovidedbyourresearchteam,collaborators,andsubjectmatterspecialists.AnymisinterpretationinuseoftheadviceProVidedisentirelytheresponsibilityoftheCambridgeCentreforRiskStudies.CambridgeCentreforRiskStudiesCambridgeCentreforRiskStudies
3、,incollaborationwithLighthillRiskNetwork,2020.DevelopingScenariosfortheInsuranceIndustry.CambridgeCentreforRiskStudiesattheUniversityofCambridgeJudgeBusinessSchool.orStrong,K.,Carpenter,0.,Ralph,D.2020.DevelopingScenariosfortheInsuranceIndustry.CambridgeCentreforRiskStudiesattheUniversityofCambridge
4、JudgeBusinessSchoolandLighthillRiskNetwork.1.ighthillRiskNetworkUniversityofCambridgeJudgeBusinessSchoolTrumpingtonStreetCambridgeCB21AGUnitedKingdomenquiries.riskjbs.cam.ac.ukWcbsitcandResearchPlatformwwwjbs.cam.ac.uk/riskResearchTeamDrAndrewCoburn,ChiefScientistProfessorDanielRalph,AcademicDirecto
5、rSimonRuffle,DirectorofResearch&InnovationDrMichelleTuveson,Chairman&ExecutiveDirectorJamesBourdeau,GeopoliticalRiskResearchOliverCapenter,LeadEmironmentalRiskResearchJenniferCopic,LeadGovernanceRiskResearchDrJenniferDaffron,LeadTechnologjrRiskResearchKenDeng,LeadFinancialRiskResearchTimothyDouglas,
6、RiskModellingTamaraEvan,LeadGeopoliticalRiskResearchTarynHubbard,RiskResearchOliverPearson,RiskMarketsResearchDrAndySkelton,LeadRiskModellingKaylaStrong,LeadScenarioAnalytiCSDrTimothySummers,SeniorDataScientistJayneTooke,CommunicationsandEventsWilliamTurner,DataScience1.M01.01.02TheLeatherMarket11-1
7、3WestonStreetLondon,SEi3ERUnitedKingdomlighthillcreideas.orgWebsiteMembersMatthewEagle,ManagingDirector,HeadofGCAnalytics(GuyCarpenter)PremalGohil,HeadofInnovationPartnerships(LibertyMutual)PaulKaye,HeadofActuarialPractice(Aon)ShreeKhare,GroupHeadofCatastropheResearch(Hiscox)TrevorMaynard,HeadofInno
8、vation(LloydsofLondon)AndrewMitchell,HeadofCatastropheModelling(MSAmlin)DelimomaOramas-Dorta5CatastropheRiskAnalyst(GuyCarpenter)CameronRye,ResearchManager(MSAmlin)DavidSingh,HeadofExposureandPortfolioManagement(MSAmlin)KeithSmith,ResearchandDevelopmentManager(Lloyd,sofIXmdon)DickieWhitaker,ChiefExe
9、cutiveOfficer(LighthillRiskNetwork)TheviewscontainedinthisreportareentirelythoseoftheresearchteamoftheCambridgeCentreforRiskStudies,anddonotimplyanyendorsementoftheseviewsbytheorganisationssupportingtheresearch,orourconsultantsandcollaborators.TheresultsoftheCambridgeCentreforRiskStudiesresearchpres
10、entedinthisreportareforinformationpurposesonly.Thisreportisnotintendedtoprovideasufficientbasisonwhichtomakeaninvestmentdecision.TheCentreisnotliableforanylossordamagearisingfromitsuse.AnycommercialusewillrequirealicenseagreementwiththeCambridgeCentreforRiskStudies.Copyight2020byCambridgeCentreforRi
11、skStudies.CambridgeCentreforRiskStudiesScenarioBestPracticesDEVELOPINGSCENARIOSFORTHEINSURANCEINDUSTRYContentsWIntnction-51.1 TheInsuranceIndustry51.2 WhyUseScenarios?51.3 ReportRationaleandIntendedAudience61.4 AFrameworkforScenarioDevelopment7同Und.tandi,SCenaU)S.82.1 WhatisaScenario?82.2 TypesofSce
12、narios9USin祥CCnnlinU.nsurz.cInd.ry.乃3.1 GeneralScenarioUses153.2 InsuranceUseCasesofScenarios173.3 AllocatingRiskCapital20JShOCBRiSkSnariovelopnt:IranceressIing224.1 AChecklistforScenarios224.2 ScenarioDevelopment:aStressTestPerspective234.3 ConsiderationsandConstraints30JSCenjoDe)pme2asedy:B.nessIH
13、Ckout.33JFUtUjlPerSP-tivesScena)s.37EG1OUIIII1J8同Refe.ices.401. Introduction1.1 TheInsuranceIndustryTheinsuranceindustrycomprisescompaniesthatprovideriskmanagementbyunderwritingtherisksofindividualentitiesandpoolingthemtospreadtherisk.Aninsurancecontractguaranteesthat,ontheoccurrenceofaspecifiedunce
14、rtainfutureevent,theinsurerProVideSapanenttotheinsured,andtherebyassumestherisk.Inreturn,theinsured(orpolicyholder)paysapremium,oraregularfee,totheinsurerforprodingthecoverage.Insuranceiscriticalinprovidingfinancialsecuritytopeopleandorganisationsperformingtheirdailyactivitiesandoperations;orunderta
15、kingnewandriskyventures.Thereareseveralclassesofinsuranceavailabletoaccommodateadiverserangeofcustomerswithanarrayofrisks,whichareoftencategorisedbytheirassettypeortheentitybeinginsured.Examplesincludepropertyandcasualty,accidentandhealth,orautoinsurance?Inadditiontoofferingtraditionalcoveragesforkn
16、ownrisks,supportedbycomprehensiveindustryexperienceandunderstandingoftheiroccurrence,insurersmustalsocontinuallyadapttoemerginganduncertainrisks.Today,suchrisksaremanifestingatanunprecedentedrateastheworldischallengedbygrowingcomplexityandinterconnectednessbetweensystems.Tofulfiltheconsequentdemandf
17、orinsurancecoverageagainstemergingrisks,insurersmustfirstevaluatesuchuncertaintyandensuretheycanwithstandpotentiallossesandoperatesustainably.Theinsuranceindustryshareskeyfinancialandoperationalriskexposureswiththewiderfinancialsector,butisalsouniquelyexposedtoinsurancerisk,sointernalassessmentsofri
18、skmustaccountforthecomplexityofinteractionsbetweenbothaninsurer,sassets(premiumsinvestedtocoverliabilities)andliabilities.Onemeansofplanningforthefutureisusingscenarioanalysis(or4stresstesting,),alongstandingpracticewithintheindustry,butwhichcontinuestogrowinimportanceasthemarketbecomesmoreawareofit
19、sbenefitsandregulatoryrequirementscallforrobustinternalriskmanagement.1.2 WhyUseScenarios?Scenariosarestoriesabouthowthefuturemightdevelop,aimedtostimulateexploration,understanding,anddiscussion.Basedonacoherentsetofassumptionsaboutkeydeterministicrelationshipsanddrivingforces,scenariosdescribeplaus
20、iblefuturesthatareintendedtobescrutinisedanddebated.Inthecontextofrisk,scenariosprovideatooltocopewithuncertainty,especiallyinthecaseofrisksthatarenotwellunderstoodorcannotbequantifiedorevenidentified.TheyProVideaSyStematiCmethodforexploringhowacomplexanddiversearrayofrisksmayimpactanorganisation,se
21、ctor,oreconomy;orinotherwords,howresilientthesesystemsaretopotentialdisruptions.Scenariosquestionwhetherorganisationsorcommunitiescanadaptto,andevencapitaliseon,futurechanges,andstresstheirexistingcapabilitiestorespond.Thisunderstandingcanbeappliedtosupportandrationalisedecisionmakingaboutthefuture,
22、andfacilitatereporting,management,andmitigationofrisks.Scenariosarevaluedforsupportingcreativethinkingaboutplausiblefutures,ratherthanattemptingtoaccuratelypredictindividualoutcomes.Intheinsuranceindustry,thesetoolscontinuetoevolveinresponsetoadvancingconsiderationandregulationofenterpriseriskmanage
23、ment,bothwithintheindustryandfortheinsuredsthattheindustryindemnifies.Scenariosareincreasinglybeingusedbyunderwriters,analysts,riskmanagers,actuaries,andotherstakeholdersinthe(re)insurancecommunitytobetterunderstandthecharacteristicsandconsequencesofunknown,uncertain,orunexpectedfutureevents.1. Fora
24、 complete listing of the types of Insurance, please refer to MUlHHne Data Definition initiative (Cambridge Centre for Risk Studies, in collaboration with Risk Management Solutions, Inc. 2018Acriticaldistinctionismadebetweenscenariosthatexamineemergingtrends,whichareofconcernforlong-termstrategicplan
25、ning;andthosethatconsidercatastrophicshocks,whichtriggerseverelossacrossapotentialrangeofinsuranceclasses,andsorepresentacuteoperationalrisks.Thisreportisprimarilywrittentoaddressthelatter,andonthedesignandusesofshockriskscenarios,whichareincreasinglyindemandtoovercomethechallengesposedintoday,sandt
26、hefuturerisklandscape.1.3 ReportRationaleandIntendedAudienceThisreportintendstooutlinebestpracticesforscenarioanalysisWithintheinsurancecommunity,andtoprovideapracticalframeworktoassistpractitionersengagingWithshockscenariodevelopment.Withinthereport,weexplorekeyfeaturesof,andcommonalitiesanddiffere
27、ncesbetween,insurancespecificscenarios,andsuggesthowandforwhomtheycanbeusedeffectively.Duetothevariedapplicationsofscenariosandtheirassociateddevelopmentmethodologies,wefocusthemethodologydiscussiononshockriskscenarios,anddrawcommonalitiesfromvariousshockscenariodevelopmenttechniques.Asavarietyofsce
28、nariousecaseshaveuniquerequirementsandmaturityinthepractice,developmentmethodologiesdovary.However,weproposethatthereisageneralprocesswhichcanbeadaptedandmodifiedforthesevarioususes.Byprovidingkeycriteriaandconsiderationsforscenariosintheformofascenariodevelopmentframework,wehopetoequipthereaderwith
29、thenecessarytoolsandcontexttodevelopcoherent,comprehensive,andintelligiblescenarios,whichthereforeeffectivelyfulfiltheirintendedpurpose.ThisreportProVideSinsurance-specificrecommendationsforscenariodevelopment,andhasbeenpublishedinparallelwithanotherreport Report titled uScenarb Best Practices: Dcve
30、bping Scenarios for Disaster RJsk Rcductronft (Cambridge Centre for Risk Studies, in collaboration with Ughthill Risk Network 2020)whichsimilarlyoutlinesbestpracticesforscenariodevelopmentinthedisasterriskreductioncommunity.Theinsuranceindustryhasarichexpertiseinriskassessmenttoolstopricerisk,employ
31、ingscenariosthattendtobeexpert-driven,scientificallysupported,andproductoriented.Incontrast,withinthediversecommunityofdisasterriskmanagers,scenariosoftenservetoexploreandincorporatethecultureandexperienceofvariousstakeholdersinamoreparticipatorapproach,forwhichemphasismaybeplacedasmuchonwhatislearn
32、tinthescenarioprocessastheendresult.Developingthetworeportsinparallelhasprovidedvaluableinsightintothemeritsofcontrastingscenarioapproachesandhasinformedthebestpracticesadvocatedinboth.ReportAimsThisreportaimstoaddressscenariobestpracticesthroughthefollowingconsiderations:insurancecommunity;typologi
33、esofscenarios;1Ifurtherorbetterusedinmethodologiestoaddressemergingrisks;!theinsurancecommunity;riskanalysis;adaptinthefuture.1.4 AFrameworkforScenarioDevelopmentWithinthisreport,weproposeaframeworkforscenariodevelopmentthatdefineseightcoresteps,outlinedinFigureanddiscussedinfurtherdetailinSection4.
34、Thisframeworkisintendedasapointofreferencetoassistandensureefficacyinthescenarioprocess,ratherthanasaprescriptivemethodthatmustbefollowedabsolutely.Further,whileitoutlinesalinearstep-by-stepstructureforclarity,weencouragethescenarioprocesstobeaniterativeone,inwhichstakeholderengagementprovidesopport
35、unitiesforreviewandrevisiontoensureitsucceedsinfulfillingitsaims.Step 1ScopetheRiskIdentifytherisktobeaddressed,or,iftheriskisuncertainorunknown,definetheissuesorvulnerabilitiesthatthescenarioexerciseaimstoexpose.Inthelattercase,theriskmaybeidentifiedlaterintheprocess.Thiscontextualisestheobjectives
36、andresultantdecisionsoftheanalysis.DevelopaNarrativeExpandtheselectedscenarioswithdescriptionsthatareinteresting,challenging,andplausibleforallstakeholders.Accountforalldimensionsofafutureevent,Includingcontext,triggers,timelines,geography,responses,andimplications.ConductBackgroundResearchResearcht
37、hetopicdefinedinStep1byconsultingrelevantsourcesof(scientific)knowledgeandallassociatedstakeholderswithinandbeyondtheinsuranceindustry.Ifpossible,considereachdimensionofrisk:hazard,exposure,andvulnerability,torecognisehowandwhereimpactsoccur.AssessImpactsandMaterialityAssesstheimpactswithintheinsura
38、nceindustryandinwidermacrosystems.Considercomplexitiesandinterconnectivitiesthatmaycausecascadingimpactsbeyondtheexpected.Definewhatconstitutesamaterialimpactinordertofocustheanalysisonmateriallyaffectedassetsandareasofbusiness.FrametheScenario(s)Consideranddefinethekeyaims,benefits,andcharacteristi
39、csofascenarioanditsprocess.Figure2outlinessomeofthekeyquestionsthedevelopershouldaskwhenframingtheirscenario.Sections2and3providethecontexttoinformtheseconsiderations.CommunicateandActCommunicatethekeyfindingstostakeholdersviameaningfulqualitativeandquantitativeoutputs.Thecontentandcomplexityshouldb
40、etailoredtotheaudience.Includeaclearindicationoftheextenttowhichtheresultscanbereliedontoinformdecisionsandactionstoaddresstherisk.DevelopCandidateScenariosComposeaseriesofcandidatescenariosthatcapturearangeofplausiblefutures.Summarisescenarioswithbriefoutlinesandkeyvariables,andexplorecontrastingch
41、aracteristics.Selectscenariostoprogressthatwillchallengeandachievethedesiredobjectives.EvaluateandUpdateEvaluatewhethertheobjectivesoftheexercisehavebeenachievedanditeratetheprocesswithstakeholderinputtoensureorenhanceefficacy.Beawarethatthepossibilityandcharacterofascenariowillchangeascontrollingfa
42、ctorsevolve,aswillitsimpactastheindustryadvances,and$0itshouldbeupdatedtomaintainrelevanceandutility.Figure1:Scenariodevelopmentframeworkfortheinsuranceindustry2. UnderStandingSCenarioS2.1 WhatisaScenario?Scenariosaredescriptionsofpotentiallyplausibleeventsthatmayoccurinthefuture,leadingtoaparticula
43、rsetofoutcomes.Theyarebasedonassumptionsaboutkeydrivingforces,interconnections,andrelationships,andhavetheabilitytocapturetheuncertaintiesandcomplexitiesofasysteminacoherentmanner.Scenariosarenotintendedtocomprehensivelydescribethefuture,butrathertohighlightfocalelementsofdifferentplausiblefuturesan
44、dtohighlightthekeyfactorsthatWindrivefuturedevelopments.Sometimesthetermsscenario,projection,andprediction(aswellasotherssuchasforecastandoutlook)areusedinterchangeably,butwhileallaretoolstoinvestigatethefuture,eachisnuancedinitsmeaning.Apredictioncanbedefinedasasubjective(probabilistic)statementtha
45、tsomethingwillhappeninthefuture,whileaforecastisthemostlikelyexpecteddevelopment. (MacCracken 2001) 4. (MacCracken 2001; Van Vuuren et al. 2012)Incontrast,aprojectionisa(probabilistic)statementthatsomethingwillhappenundercertainconditions,allowingforsignificantchangesintheboundaryconditionsthatmight
46、influenceaprediction.Ascenario-basedprojectionisahypotheticalconstructofwhatcouldpossiblyhappenconditionaluponfundamentalassumptions.5. (Mletzner and Reger 2005; Schwartz 1997) 6. (Van der Helm 2006Theseassumptionsallowsomeoftheuncertaintiesthatcomplicatemoreexactstatementsonthefuturetobesetasidefor
47、thebenefitofascenarioexercise.Thedimensionsofwhatconstitutesaplausibleeventchangesasexternalforcesshift.Asaresult,thescenarioprocessisinherentlyanevolvingone,andscenarioswhichhavebeendevelopedandarerelieduponshouldbemaintainedandupdatedregularlytoreflectcurrentconditions.Sometimesscenariodevelopment
48、andscenarioanalysis(alsocalledscenario4thinking,or,planning,)aredifferentiated.Developmentmeansspeculatingabouttheuncertaintysurroundingthefutureandenvisagingdifferentplausiblefutureoutcomes,or,inotherwords,tocreate,memoriesofthefuture*.5Scenariodevelopmentisthenecessaryfoundationforscenarioanalysis,andthetwoarecloselylinked.Scenarioa
