-. 1

 
 
 
(Risk-Based Capital Framework)


:
1. 3
2. 4
3. 4
4. 5
5. (Capital Adequacy Ratio: CAR) 6
6. (Total Capital Available : TCA) 6
7. (Total Capital Required : TCR) 10
8. 13
9. 13
10. 14
11. (Internal Capital Targets) 14
12. 15

:
1 :
1. 19
1.1 19
1.2 20
2. 21
3. 33
4. 40
5. 43
5.1 43
5.2 45

2 :
1. 49
2. 56
 2

3 :
(Life Actuarial Guidance
Note)
1. 64
2. 65
3. 68
4. 70
5. 78
6. 82
7. 83
8. 84
9. (options) 87
(guarantees) (stress testing)
(diversification)

4 :
(Non-life Actuarial
Guidance Note)
1. 91
2. 92
3. 94
4. 98
5. 105
6. 110
7. 112
 3

(Risk based capital framework: RBC framework)

27 .. 2535
( 2) ..
2551

.
(Risk based capital framework: RBC framework)

1.

2.

1)

2) (Fair
value)
3)
(Enterprise risk management: ERM)
4)

5) .

6)

(Standardized model)

3.

4.

**

(Total Capital
Available : TCA) (Total Capital
Require : TCR)
/
(PAD)


(Best Estimate)

*
1 2

** 2
1
 6

5. (Capital Adequacy Ratio: CAR)

(Capital
Adequacy Ratio: CAR) :

(Total Capital Available: TCA) x 100%

(Total Capital Required: TCR)

6. (Total Capital Available: TCA)

2 1 2

1 (Tier 1 Capital) + 2 (Tier 2 Capital) -

6.1 1 5
()

()
()
() 10
()

6.2 2 1 ()
2 1

1 2 (Deficit)

 7

1
(Fully paid-up ordinary shares)
() (Share premium)
( 1)
(Irredeemable and non-cumulative preference shares (Tier 1))
() (Retained profits (accumulated losses))
() (Investment revaluation reserve)
(Other reserves within Shareholders Equity)
1 * ( 15 1)
(Other Tier-1 capital instruments (limited to 15% of Tier 1))

2
( 2)
(Irredeemable and cumulative preference shares (Tier 2))

(Reserve or surplus from revaluation of property)
2 * ( 50 1)
(Other Tier-2 capital instruments (total capital instruments must be less than 50% of
Tier 1))

*: 1 2
(Capital Instruments) 1 2
.
1.
2.
3.

 8

4.

2
5.

6.
7. (Maturity date) 8.
8. (Redeemable)
5 . (
1 )
9.
(Early redemption early call)

- 10

-
1 (
2 )
10.

11.
12.
13.
14. .

( 1 2 )

6.3

1. (Goodwill)
2. ( )
3. (Net deferred Tax Assets)




4. (Assets pledged to support credit facilities
obtained by an insurer)

5. (Investment in Subsidiaries and associates)

1 2
 10

7. (Total Capital Required: TCR)

(Total Capital Required: TCR)

:
(Total Capital Required : TCR)
= (Life Liability Risk Capital Charge : LRCC)
+ (Non-Life Liability Risk Capital Charge : NLRCC)
+ (Credit risk capital charge : CRCC)
+ (Market Risk Capital Charge : MRCC)
+ (Counterparty Concentration Risk Capital Charge: ConRCC)

7.1 (LRCC)

/
75

LRCC = GPV* - GPV
GPV* = (Best
Estimate Assumption)
95
GPV = (Best
Estimate Assumption)
75 ( 1 1.1)
 11

7.2 (NLRCC)

/
75

(NLRCC)
= [ x x R Factor ]

= +
75 ( 1 5.2)
R Factor = 1.5

7.3 (CRCC)

CRCC = ( x )

(Exposure to counterparties)

2
1 2
 12

7.4 (MRCC)

(1) (Equity)
(2) (Property)
(3) (Interest Rate)
(4) (Foreign Exchange Rate)
(5) (Commodity)
(6) (Collective Investment i.e. unit trust)

(1) (2) (4) (5) (6)

(Market
exposure) 1 3.1 - 3.2 3.4 - 3.6

(3)
(fixed interest
investment)
1 3.3

(Allowances
for diversification benefits within market risk)

(MRCC )
(1) (6)

 13

7.5 (ConRCC)

(ConRCC)
1 4

8.

(Fair value)
2

9.

(Best estimate) (Provision for Adverse Deviation: PAD)

3 4

(Best
Estimate) 75 (Provision for Adverse
Deviation: PAD) 3
4
2
 14

10.

(Early Warning System: EWS) .

100
150
150 .
/

11. (Internal Capital Targets)

(Solvency)

.
(TCR)

.

150

 15

12.

12.1

(Enterprise risk
management)

12.2

(Fair value)

 16

12.3

(Fair value)

:
GPV
o / (Mortality/Morbidity Rate)
o (Management / Operating Expense)
o (Distribution Expense)
o (Lapse Rate)
o (Reinsurance Cash Flow)
o
o

:
(Claim Liability)
(Premium Liability)
 17

o (Claim Paid) (Case

Reserves) (Premiums)

(Ultimate Loss Ratio)
o (Allocated Loss Adjustment
Expense: ALAE)

o (Unallocated Loss
Adjustment Expense: ULAE)

o (Maintenance Expense)


o (Cost of Reinsurance)

_____________________________________________
 1

 19

1.

1.1

(Gross Premium Valuation)

+/-28%

/ +10%

+/-40%



 20

(1) +26%

parameter

= x 1.15
= x 0.15 x 1.50
= x 0.26
( +21%


) (2)
(1)


(GPV)
26

(2)

21 (

)

1.2

R (R Factor)

= ( ) x ( ) x R

R (R Factor) 95 1.5
 21

2.

CRCC

CRCC = ( X )

(
)

2.1

(position) -
(debt
issues)

(Credit Risk Mitigants: CRM)
2.6
 22

- 1
- 1

1 6
1 4


(Thai Ratings)
(Offshore Ratings) (Thai Rating)
(Foreign Currency Debt)
(Offshore Rating)

- 1
2
-

-
 23

-

Fitch (
TRIS S&P Moodys Fitch A.M.Best
)
AAA AAA (THA) AAA Aaa AAA A++
AA+ AA+ (THA) AA+ Aa1 AA+ A+
1
AA AA (THA) AA Aa2 AA
AA- AA- (THA) AA- Aa3 AA-
A+ A+ (THA) A+ A1 A+ A
2 A A (THA) A A2 A A-
A- A- (THA) A- A3 A-
BBB+ BBB+ (THA) BBB+ Baa1 BBB+
B++
3 BBB BBB (THA) BBB Baa2 BBB
B+
BBB- BBB- (THA) BBB- Baa3 BBB-
BB+ Ba1 BB+ B
4 - - BB Ba2 BB B-
BB- Ba3 BB-
BB+ BB+ (THA) B+ B1 B+ C++
5 BB BB (THA) B B2 B
BB- BB- (THA) B- B3 B-
B+ B+ (THA) CCC+ Caa1 CCC+ C-
B B (THA) CCC Caa2 CCC D
B- B- (THA) CCC- Caa3 CCC-
CCC+ CCC+ (THA) CC Ca CC
CCC CCC (THA) C C C
6 CCC- CCC- (THA) D D
CC CC (THA)
C C (THA)
D DDD (THA)
DD (THA)
D (THA)
 24

-

Fitch

TRIS ( S&P Moodys Fitch A.M.Best
)
T1+ F1+ (THA) A-1+ P-1 F1+ AMB-1+
1
T1 F1 (THA) A-1 F1 AMB-1
2 T2 F2 (THA) A-2 P-2 F2 AMB-2
3 T3 F3 (THA) A-3 P-3 F3 AMB-3
AMB-4
4

(
)
( 1) ( 2)

 25

()
1 2 3 4 5 6





0.0
(
.
0.0 1.6 4.0 8.0 8.0 12.0 12.0

0.0 1.6 4.0 8.0
)

0.8

1.6 4.0 8.0 8.0 8.0 12.0 12.0

0.0 1.6 4.0 8.0

1.6 4.0 8.0 8.0 8.0 12.0 12.0

0.0 1.6 4.0 8.0
1.6 4.0 4.0 8.0 8.0 12.0 12.0

1.6 4.0 8.0 12.0
*
/ 1.6 4.0 8.0 8.0 8.0 12.0 12.0

/ 1.6 4.0 8.0 12.0

/ 1.6 4.0 8.0 8.0 12.0 12.0 12.0


1.6 4.0 8.0 12.0
.
 26

* :
(i) (The African Development Bank)
(ii) (The Asian Development Bank)
(iii) (The Bank for International Settlement)
(iv) (The European Bank for Reconstruction and
Development)
(v) (The European Economic Community)
(vi) (The European Investment Bank)
(vii) (The Inter-American Development Bank)
(viii) (The International Bank for Reconstruction
and Development The World Bank)
(ix) (The International Finance Corporation)
(x) (The International Monetary Fund)

2.2

(
)

()
/ 8.0
4.0
( ) 8.0
0.0
8.0
 27

2.3

(Specific Provision)
(Loan to Value - LTV)

(Non-Performing Status)
90

()
2.8
< 70
6.0
70 90
( LTV > 8.0
90)
6.4
< 70
8.0
70
( LTV > 12.0
90)

2.4

(Projected Reinsurance Recoveries in Technical Reserves) (
)
 28

(Financial Reinsurance Assets)
(Gross Asset Balance)

()
1 1.6
2 2.8
3 4.0
4 8.0
5 12.0
12.0
100.0

(
S&P Moodys Fitch A.M.Best
)

1 AAA Aaa AAA A++ 1.6
AA+ Aa1 AA+ A+
2 AA Aa2 AA 2.8
AA- Aa3 AA-
A+ A1 A+ A
3 A A2 A A- 4.0
A- A3 A-
BBB+ Baa1 BBB+ B++
4 BBB Baa2 BBB B+ 8.0
BBB- Baa3 BBB-
BB+ Ba1 BB+ B
5 12.0

 29

()
(1) 300 1.6
(CAR 300%)
(2) 200 2.8
300
(CAR 200% and <300%)
(3) 150 4.0
200
(CAR 150% and <200%)
(4) 150 8.0
(CAR <150%)
(5) (Financial 100.0
Reinsurance Assets)

(Financial
Reinsurance Contract) .

2.5

(
)
 30

()
0.0
( 1 )
1 0.0
1 6 0.25
6 12 0.5
12 ( 1) 1.6
12 ( 2) 4.0
12 ( 3) 8.0
12 ( 4) 8.0
12 ( 5) 8.0
12 ( 6) 12.0
12 12.0
()
0.0

0.0

0.0

12.0
(
) 60
/ 0.0
/ /

/

1.6
 31

()
0.0



(



)
1

(Deposit Protection Agency Act.)

2.6

( 2.1)
(CRM)

CRM

CRM

.
- CRM
-
-

 32

- CRM

1. (Certificate of Deposit)
2.
3.
-
4
-
3
- 3

4.
-
-
-
-

3
-
3
5.
6.

CRM
(CRM)
 33

3.

(1) (Equity)
(2) (Property)
(3) (Interest Rate)
(4) (Foreign Exchange Rate)
(5) (Commodity)
(6) (Collective Investment i.e. unit trust)

3.1

Future Swap Option

(Instrument) ()
16

0
20

20
 34

Australia All Ordinaries Netherlands EOE 25
Austria ATX Singapore Straight Times
Belgium BEL 20 Spain IBEX 35
Canada TSE 35 Sweden OMX
France CAC 40 Switzerland SMI
Germany DAX UK FTSE 100
Hong Kong Hang Seng UK FTSE mid-250
Italy MIB-30 USA S&P 500
Japan Nikkei 225

3.2

()
4
16
( )

 35

3.3

3.3.1

(Offset)

(
-interest rate derivatives exposures)

:

 36

1 (S)

Sbase =

Yield Curve Yield Curve (Zero coupon
bond)
*
**
( )

* (
)
**

2 (S) 2

Sup Sdown yield Yield Curve

: 10 [ + ( x 55%)]
10 [ + ( x 27.5%)]
: 10 [ ( x 40%)]
10 [ - ( x 20%)]

 37

= (Sbase - Sup , Sbase - Sdown, 0)

-
- (Maturity Bucket)

(GPV)

3.3.2

1: (Maturity
bucket)

 38

2:

()
1 0.0
1 6 0.25
6 1 0.5
1 2 1.0
2 3 1.85
3 5 3.0
5 10 4.5
10 15 6.0
15 20 7.0
20 8.0

3:

(Absolute)

3.4

8
(Net Open Position)

(Net
Balance Sheet Position)
(Spot Exchange)

 39

* (
)
*

(Absolute) (Short Position) (Absolute)
(Long Position) 8

20 200 -30 -50 -100
()
220 -180
(
)

220 8.0% 17.6

3.5

1. ( 15)
2. ( 3)

3.6

60 40
 40

2 60
40

(Fixed income)

(Interest rate risk)

4.

4.1


(Projected Reinsurance Recoveries Reserves) (
)

()

1. ( )
1.1 5.0

1.2 10.0

1.3 20.0

( )
2.
2.1 5.0

2.2 5.0

 41

()

2.3 10.0
3.
3.1 1.0
3.2 2.5
4. 15.0
5. 20.0

4.2 (Equity Securities)

100

3.1

4.3

4.3.1
(Individual Concentration)

 42

(
)1

- 50
- 1 4 50
- 5 25

1

(Reinsurance Asset Alone) (Total Asset)

4.3.2
( )

(
)1

- 3
- 4 50
- 5 25

1

(Reinsurance Asset Alone) (Total Asset)
 43

4.3.3

(
) 100

5.

(Provisions for Adverse Deviation: PADs)

75

5.1

(Gross Premium Valuation)

1)
 44

2) 8
51%
7 7%

75
+/-12%

/ +5%

+/-17%

(1) +15%
 45

75
(
+9%



) (2)
(1)



15
(2)

9 (
)

5.2

(PAD)

(Claim Reserve Liability)

 46

75 ()
8
() 15
15
() 15
( : 15
)
15
20
20
20
(Industrial All Risks) 25
25
30
( 30
)
30
30
30

(Gross Claims Liability)
(Projected Value of Reinsurance Recoveries)
2

 47

(Gross URR)

 49

.
 50

(
)

()
()

"
(
)

"
(NVDR)
(DR)
 51

"

1.

(1)

(1.1)

(1.2)

(1.3)
Bloomberg, Reuters, Telerate Euroclear

(1.4) (1.1) (1.2) (1.1)

(2) (1) (Clean Price)

(3) (1.1) (1.2) (1.3)

(Effective Interest Rate)
 52

2.

(1)

(1.1)

(1.2)

(2) (1)

(2.1) (Current Bid Price)

(2.2) (Last Transaction Price)

(2.3)

(3)

(IPO)

(4) (1.1) (1.2)

(4.1)

(4.2)

(5)
(NAV)

3. (Face Value)
 53

4.

(1)
(Discount Cash Flow)

(2) (1)

(3)

(4) (2) (3)

(4.1)

(4.2)

(4.3)

(4.4)

(4.5)
 54

5.

6. (Negotiable Certificate of Deposit)

(1)

(2)

(3) (Effective
Interest Rate)

7.

8.

9.

10.

(1)

 55

(2) (1)

(3) (2)

(3.1)

(3.2)

1.

2.

 56

.
 57

(
)

()
()

"
(
)

"
(NVDR)
(DR)
 58

"

1.

(1)

(1.1)

(1.2)

(1.3)
Bloomberg, Reuters, Telerate Euroclear

(1.4) (1.1) (1.2) (1.1)

(2) (1) (Clean Price)

(3) (1.1) (1.2) (1.3)

(Effective Interest Rate)

2.

(1)

(1.1)

 59

(1.2)

(2) (1)

(2.1) (Current Bid Price)

(2.2) (Last Transaction Price)

(2.3)

(3)

(IPO)

(4) (1.1) (1.2)

(4.1)

(4.2)

(5)
(NAV)

3.

4.

(1)

 60

(2)

(3) (1) (2)

(3.1)

(3.2)

(3.3)

(3.4)

(3.5)

5.

6. (Negotiable Certificate of Deposit)

(1)

(2)
 61

(3) (Effective
Interest Rate)

7.

8.

9.

(1)

(2) (1)

(3) (2)

(3.1)

(3.2)

1.

 62

2.

_______________________________________________
 3

(Life Actuarial Guidance Note)

 64

1.

.. 2535 ( 2) ..
2551

.. 2552

/
(Best Practice)

 65

(Immateriality)

(Materiality) 5
(GPV)

(Compliance)

(highlighted)

(Actuarial professional standards)

(Public interest)


(.)

2.

1



 66

1
5

( )

(Stand alone)

 67

(riders)

(Unit holdings)

( )

 68

3.

3.1

3.2

-
-

-

-
-

 69

3.3

 70

1)

2)

4.

4.1

(Best Estimates)


(Overstated) (Understated)

 71

(overheads)

(
)

5

()

( )

 72

4.2

()
( )

15 12

15 12

15 12

* 12 12
24
12


*

4.3

4.3.1

(non-participating policies)
 73

(participating
policies) (non-unit reserves)
(zero coupon
yield) (duration) (duration)
5
5




8
51%
7 7%
(Thai Bond
Market Association website): http://www.thaibma.or.th/yeildcurve/yeildzero.aspx.

4.3.2

-

-
-

 74

4.3.3

(
) 6

4.3.4 (Insurance Mortality)

-
-
-
-

-
-
-
-

4.3.5 (Annuity mortality)

(Annuitant mortality)

-
-
-
-
- (Compulsory) (Voluntary)
 75

(Anti-selection)

Standard Annuitant Tables a(90)m a(90)f

4.3.6

-
-
-

-

(indexation)
(offsets)
-

-
-
-
-

-

(Accelerated critical
illness)


 76

( ) 5

4.3.7

-
- (attained age)
-
-
-
-
-


-
-

-
-
( )

(
) 5

 77

4.3.8

( ) 5

(Maintenance expense)

(allowance for increasing economies of scale)

1. 12

2. 3

(under run) (over run)

(GPV)

2
12
1
5
 78

4.3.9

5.

5.4.1 (GPV)

PV(O)
PV(I) PV(O) PV(I)
PV(O) (Discounted value)

- (vested bonus)
(Terminal bonus)
- (vested bonus)
(Terminal bonus)
-
(Terminal cash value)
- (overriding)

-
- ()
- ()
-
-
-
-
 79

PV(I) (Discounted value)

(extra premium)

5.4.2 2
(unit reserve) (non-unit
reserve)
(underlying asset backing the units)
PV(O) PV(I) PV(O) (Discounted value)

- (units)
- (units)
-

-
- ()
- ()
-
-
-
-
PV(I) (Discounted value)
- (unallocated premium)
- ()
-
-
-
-
-
(extra premium)

( )

 80

(Structured product)

(credit
rating)

5.4.3 (Annuity)

()

5.5 (PAD)

 81

5.6

(commissions receivable) (recoveries)

.
95

95
 82

6.

3 5 1

2 3

 83

2
1)
2)
5

7.

- ( )
-
-
-
- ()
-

-

-
-
-
 84

-
-
-

-
-

8.

8.1

2.
()



 85

8.2

1.
(
)

2.

3. (
1 1 )

3.1
(URR)

i. x
(Fair Value = Best Estimate plus x1 % of the Best Estimate)
ii. 95
y2 (95% percentile = Best Estimate plus
y % of the Best Estimate)

3.2 95
(GPV)

1
x . 1()
2
y . 1()
 86

8.3

 87

8.4 (Minor Reserves)

IBNR


4
95
8

(Grossing up)
(Grossing
up)
(Volumes)

9. (options)
(guarantees) (stress testing) (diversification)

9.1

 88

95
(Mainstream product)

()
95

9.2 (Stress Testing)

(Stress test)

(scenarios) deterministic stochastic

(stress test)

 89

x
y 95

9.3 (Diversification)

(annuity)



(allowance for diversification)

(contractual terms)
(cancellation terms)

(Non-life Actuarial Guidance Note)

 91

1.

.. 2535 ( 2)
.. 2551

.. 2552

(Immateriality)
(Materiality)
5

(Best Practice)

(Actuarial Professional Standards)

 92

(Public interest)


(.)

2.

( 1 )

1
/

 93

1 5

( )

 94

3.

3.1

3.2

-



-

 95

-

(Incurred But Not
Reported: IBNR)

(Case Reserve)

-
- ()

- (Initial Case Reserves)
-

-

- /
 96

-
-
- (Reopened
Claims)
-

(Subrogation)

(Case Estimates)

 97

3.3

3.4

1)
2)




()

 98

4.

4.1

1

(Paid Loss Development Triangle)
(Incurred Loss Development Triangle)

Chain Ladder Bornhuetter-Ferguson

Chain Ladder
Bornhuetter-
Ferguson Loss Ratio

2
1) (Development Factors)
Chain Ladder 2)

 99

(Ultimate cost)

(Best Practice)


(Loss
ratios) (Benchmarks)

(Grossed up)

=
(GCE/NCE)
 100

GCE =

(Gross Case Estimates outstanding at the valuation date)

NCE =

(Net Case Estimate outstanding at the valuation date)

(Case Estimates)
(Paid Claims) (Earned Premiums)

(Total Case Estimates)

(Incurred But Not Reported: IBNR) IBNR
(Incurred But Not
Enough Reserve: IBNER)
(Case Reserves)
 101

(Run-off) IBNR IBNER

4.2

4.3

4.3

(Reinstatement Premiums)

-
-

- (Earned Premiums)
(Unearned Premiums)
 102

-

-

4.4

(Unexpired Risk
Reserves: URR)
(Exposure)

1

-
- ()
-
- ()


-

 103

()
(
)

URR =


( + )

URR =



+
( + )
 104

:
-
(Gross Ultimate Loss Ratio)
1
-
(Net Ultimate Loss Ratio)
1
-
/ (Non-Acquisition Expenses)

1
-

1

-


(Excess of Loss)
(Claims Occurring) (Risk Attaching)

4.5

(
75)

(Benchmarks)

(Diversification)
 105

5.

5.1

(Offset)
()

()
-
-
-

-
-
-
-

 106

() (Ultimate Loss Ratio)
()

-
-

-

5.2

- (Number of Policies)
- (Earned Premium)
- (Number of Claims)
- (Reported)
- (Continuing)
- (Settled)
- (Finalized)
 107

- (Reopened)
- (Prior Payments)
- (Case
Estimates)
- (Reported Incurred Costs)

(Time Lag)

5.3

5.3.1

 108

5.3.2

()

5.3.3

3 1)
(Allocated Loss Adjustment Expense: ALAE)
2)
(Unallocated Loss Adjustment Expense: ULAE) 3)

ALAE
ALAE


(Gross of reinsurance data) (Net Results)
(Gross
Results) ALAE
ALAE

ALAE
ULAE

ULAE
2

 109

ULAE
ULAE ULAE
IBNR ULAE
IBNR ULAE

/
(Overheads)

5.3.4

(Claim Inflation)

5.3.5 (Latent Claims)

(Asbestos)
(Health Hazards)
 110

5.3.6 (Stress Testing)

6.

- (Random fluctuations in the data)
-
-
(Case Estimates)
-
-
-

- (Balance Dates)

-

-
(Unclosed or Pipeline Premiums)

 111

- ()
-
-
-
- ()
-

-

-
-
-
- /
-

-
-

 112

7.

7.1 (Summary of Information)

- ( )
-
-
- ( )
- (
)
- ( )

(
) (
)
 113

7.2 (Summary Of Data)

(
)

(Standard Run-
Off Triangles)

7.3 (Clean Vs. Un-Clean Data)

(
)

(Cleaning)

7.4

Chain Ladder

 114

-
-
-
- Chain Ladder

-
-
-