Solvency and Financial Condition Report As of 31 December 2017 Scor
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Solvency and Financial Condition Report for SGLRI - YE2017 SOLVENCY AND FINANCIAL CONDITION REPORT AS OF 31 DECEMBER 2017 SCOR GLOBAL LIFE REINSURANCE IRELAND DAC 1 Solvency and Financial Condition Report for SGLRI - YE2017 TABLE OF CONTENTS EXECUTIVE SUMMARY ................................................................................................................................................. 5 A. BUSINESS AND PERFORMANCE ........................................................................................................................ 8 A.1 Business ............................................................................................................................................................ 8 A.1.1 Overview ......................................................................................................................................................... 8 A.1.2 Business description ...................................................................................................................................... 10 A.1.3 Significant events or other events .................................................................................................................. 11 A.2 Underwriting performance ................................................................................................................................ 12 A.2.1 Underwriting results by lines of business ....................................................................................................... 12 A.2.2 Underwriting results by geographical areas ................................................................................................... 13 A.3 Investment performance ................................................................................................................................... 14 A.3.1 Investment income and expenses ................................................................................................................. 14 A.3.2 Investment gains and losses recognised in equity ......................................................................................... 15 A.3.3 Securitized investments ................................................................................................................................. 15 A.4 Performance of other activities and any other information ................................................................................ 15 A.5 Any other information ....................................................................................................................................... 15 B. SYSTEM OF GOVERNANCE............................................................................................................................... 16 B.1 General information on the system of governance ........................................................................................... 16 B.1.1 General governance principles ...................................................................................................................... 16 B.1.2 Legal structure and functional organization of SCOR Group ......................................................................... 16 B.1.3 Group Governance structure at Group and legal entity level ......................................................................... 18 B.1.4 Material changes in the governance in 2017 ................................................................................................. 30 B.1.5 Material transactions with shareholders, persons who exercise significant influence or members of the AMSB ............................................................................................................................................................................... 30 B.1.6 Compensation policy and practices regarding the members of the administrative, management or supervisory bodies and employees ............................................................................................................................................ 30 B.2 Fit and proper requirements ............................................................................................................................. 33 B.2.1 Objectives and general principles .................................................................................................................. 33 B.2.2 Scope of SGLRI’s fit and proper principles .................................................................................................... 33 B.2.3 Fitness criteria ............................................................................................................................................... 33 B.2.4 Propriety criteria ............................................................................................................................................ 35 B.2.5 Fit and proper assessment process ............................................................................................................... 36 B.3 Risk management system including the Own Risk and Solvency Assessment (ORSA) ................................... 37 B.3.1 Risk Appetite Framework ............................................................................................................................... 37 B.3.2 ERM Framework ............................................................................................................................................ 37 B.3.3 Internal Model Contribution to the ERM Framework ...................................................................................... 40 B.3.4 ORSA Contribution to the ERM Framework ................................................................................................... 41 B.4 Internal control system ..................................................................................................................................... 42 B.4.1 Internal control system................................................................................................................................... 42 B.4.2 Compliance function ...................................................................................................................................... 42 B.5 Internal Audit .................................................................................................................................................... 44 B.5.1 Internal Audit organization ............................................................................................................................. 44 B.6 Actuarial function .............................................................................................................................................. 45 B.6.1 Implementation of the Actuarial function ........................................................................................................ 45 B.7 Outsourcing ...................................................................................................................................................... 46 B.7.1 Outsourcing principles and organisation ........................................................................................................ 46 B.7.2 Main intragroup outsourcing arrangements ................................................................................................... 46 2 Solvency and Financial Condition Report for SGLRI - YE2017 B.7.3 Main outsourced activities with external providers ......................................................................................... 47 B.8 Other material information regarding the system of governance ...................................................................... 47 C. RISK PROFILE ..................................................................................................................................................... 48 C.1 Introduction ...................................................................................................................................................... 48 C.1.1 General introduction ...................................................................................................................................... 48 C.1.2 Sensitivity analysis ........................................................................................................................................ 49 C.2 Underwriting risks ............................................................................................................................................. 49 C.2.1 Life reinsurance ............................................................................................................................................. 49 C.2.2 Risks related to Technical provisions ............................................................................................................ 51 C.2.3 Retrocession and other risk mitigation techniques ......................................................................................... 53 C.3 Market risks ...................................................................................................................................................... 53 C.3.1 Market risks – risk overview .......................................................................................................................... 53 C.3.2 Management of market risks ......................................................................................................................... 54 C.4 Credit risks ......................................................................................................................................................