Document ID: chunk:federal_register_of_legislation:F2023L00672:body:0:p21
Version: federal_register_of_legislation:F2023L00672
Segment Type: other
Provision Reference: 
Character Range: 54638–57585

that the Level 2 insurance group has taken measures to ensure that the data used to estimate its losses is sufficiently consistent, accurate and complete, and there is appropriate documentation of any estimates of data used; and

       (c)          an understanding of the model used in estimating losses, including;

(i)            perils and elements that are not included in the model;
(ii)         assumptions and any estimates used in the modelling process; and
(iii)       the sensitivity of the model outputs as a result of the factors in (i) and (ii).

Review and reporting
    15.         A Level 2 insurance group must document in its ReMS the process and methodologies for setting and monitoring its Insurance Concentration Risk Charge. This must also include justification for any adjustments or assumptions made, such as all allowances made for aggregate reinsurance cover and adjustments to OA VR. GPS 230 sets out further details on this requirement.
    16.         In addition to the requirements of paragraph 15 of this Attachment, a Level 2 insurance group that writes lenders mortgage insurance business must outline in its ReMS how it manages the exposures and mitigants in place for the risk in relation to future placement of reinsurance arrangements.
    17.         The Group Actuary of a Level 2 insurance group, must review and comment on the adequacy of the calculation of the Insurance Concentration Risk Charge for the Level 2 insurance group as part of the Level 2 insurance group's AVR. For a Level 2 insurance group that has other accumulations exposures, the Group Actuary must consider the impact on the Insurance Concentration Risk Charge of the occurrence of multiple OA events in a year.
    18.         The Group Actuary of a Level 2 insurance group must submit the review of the Insurance Concentration Risk Charge to the Board when substantive changes are made or at least annually.
    19.         A Level 2 insurance group must inform APRA within 20 business days of any material changes to its Insurance Concentration Risk Charge that results from any changes in its ReMS, risk profile, classes of business underwritten or reinsurance program.

[1]  Only a lenders mortgage insurer must calculate (d). The definition of lenders mortgage insurer in GPS 001 includes a reinsurer that writes lenders mortgage insurance. Therefore, a reinsurer that provides reinsurance on lenders mortgage insurance must calculate (d).
[2]  This includes the determination of reinsurance for lenders mortgage insurance in Attachment A.
[3]  This includes the determination of reinsurance for lenders mortgage insurance in Attachment A.
[4]  For the purposes of this requirement, reinsurance from the Australian Reinsurance Pool Corporation can be treated as having a contractually agreed reinstatement.
[5]  Where certain perils are material to an insurer but not included in its computer-based modelling techniques,