2015 VBT Table Development 2015 UCS calculator

Transcription

1 2015 VBT Table Development 2015 UCS calculator Joint American Academy of Actuaries Life Experience Committee and Society of Actuaries Preferred Mortality Oversight Group Dieter Gaubatz, MAAA, FSA, FCIA Chairperson, Underwriting Criteria Team July 16, 2015 Copyright 2015 by the American\ Academy of Actuaries. All Rights Reserved.

2 Purpose of UCS calculator 2015 VBT Relative Risk (RR) Tables Used in the calculation of VM-20 Prudent Estimate Mortality assumption for Deterministic and Stochastic reserves RRRs (Relative Risk Ratios) Used to determine which RR table to use for each risk class in structure Underwriting Criteria Score (UCS) Used to determine the RRR Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 2 2

3 Definitions RR(R) Relative Risk (Ratio) Mortality as % of average standard mortality for a specific characteristic cell UCS Underwriting Criteria Score RRR (at issue) score for a particular risk class Standard is defined in comparison to sub-standard as determined by the underwriting process A characteristic cell would normally be for a specific gender, smoking status and issue age/duration Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 3 3

4 Underwriting Criteria Score How it fits into the process 2015 VBT (NS 10 RR tables) Super Preferred? Preferred? Standard Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 4 4

5 Choosing a valuation RR table Credible Non-credible Partial credibility Actual experience UCS Score USC = RRR Blended Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 5 5

6 Output Provide a single RRR per risk class to determine which table to use Output Results NT TB NT Class RRR Prev RRR Prev TB Class Super pref NT 72.0% 25.00% 83.0% 70.00% Pref TB Pref NT 98.0% 40.00% 139.7% 30.00% Std TB Std NT 122.3% 35.00% Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 6 6

7 Score comparisons Sample UCS Calculator Results RRR score Prevalence Risk class Risk class 4 NT risk classes Co. P1 P2 P3 Std P1 P2 P3 Std A 84.2% 100.4% 110.4% 155.7% 51.8% 28.7% 6.0% 13.6% B 85.6% 117.8% 166.4% 194.9% 69.4% 21.4% 7.8% 1.1% 3 NT classes Co. P1 P2 Std P1 P2 Std C 77.5% 98.0% 142.8% 27.5% 55.4% 17.1% D 89.2% 129.9% 169.7% 79.7% 13.8% 6.5% E 85.1% 96.3% 119.0% 40.4% 23.2% 36.4% F 82.5% 98.7% 130.6% 36.9% 36.7% 26.3% Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 7 7

8 Actual experience Assumption structures Logic Age range Define standard Highlights of version 2015 Obtained from various sources More consistent with reality Allows for recognition of J and U mortality relationships Reflects actual underlying KO and DC qualification logic Allows flexibility in age range definitions for all criteria Company can use its own definition of standard (in context of standard vs. sub-standard) Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 8 8

9 Enhancements With the new UCS, the levels are based on actual math / science / research related to each of the criterion. The prior approach was based on formulas and assumptions developed using much more professional judgment. Output Inputs Logic Assumptions Data storage Eliminate need for UCS to RRR conversion Revised structure Criteria expansion Improved KO and DC formulas Revised structure using RRRs and prevs J/U curve RRR assumptions Flexibility to add macros Copyright 2015 by the American Academy of Actuaries. All Rights Reserved. 9 9

10 Assumption structure Body Mass Index (BMI) Relative Risk % 300% 250% RRRs and prevalences for each range Normal standard risks Prevalence 14% 12% 200% 10% 150% 8% 6% Prev RRR 100% 4% 50% 2% 0% BMI 0% Normal substandard risks Copyright 2015 by the American Academy of Actuaries. All Rights Reserved

11 Assumptions Source of data Heritage Labs data Large direct insurer Reasonableness checks with SOA experience RGA/LexisNexis MVR study Professional judgment Copyright 2015 by the American Academy of Actuaries. All Rights Reserved

12 Assumption cautions Consistent with valuation needs RRRs and prevelances are portfolio averages, not characteristic specific Potential correlations among assumption not evaluated Copyright 2015 by the American Academy of Actuaries. All Rights Reserved

13 Input changes Criteria Family history (coronary, cerebro) Personal medical (coronary, cerebro, mental/nervous) Revised Structure Debit Credit and Knockout inputs combined Flexible age banding Multiple input structure Conditional formatting Separate NS/SM input worksheets Copyright 2015 by the American Academy of Actuaries. All Rights Reserved

14 What s next Remaining work Full report Web-based chassis solution Copyright 2015 by the American Academy of Actuaries. All Rights Reserved

15 Thanks to: Underwriting Criteria Team members Jaron Arboleda (MIB representative) Jean-Marc Fix (actuary) Kim Genik (underwriter) Anna Hart (underwriter) Carl Holowaty (MD) Doug Ingle (underwriter) Al Klein (actuary) Peter Komsthoeft (underwriter) Ev Kunzelman (underwriter) Kevin Larsen (actuary) Jack Luff (SOA actuary) Cynthia MacDonald (SOA actuary) Matt McLaughlin (actuary) Brad Roudebush (actuary) David Winsemius (MD) David Wylde (actuary) Dieter Gaubatz chair (actuary) Copyright 2015 by the American Academy of Actuaries. All Rights Reserved