Enterprise Risk Management and Stochastic Embedded Value Modeling
|
|
- Derrick Wilkinson
- 6 years ago
- Views:
Transcription
1 Insurance and Actuarial Advisory Services Enterprise Risk Management and Stochastic Embedded Value Modeling ALM Joint Regional Seminar, June 27, 2005 July 4, 2005 Jonathan Zhao, FSA, FCIA, MAAA, MCA
2 Agenda Need for Enterprise Risk Management and Modeling Embedded Value Concept European Embedded Value and CFO Forum Principles Stochastic EV Modeling Case Study Practitioners Guide & Closing Remarks 1
3 Throughout history the industry has misjudged the behavior of its environment, distribution channels and customers. The unbundling of life insurance with the introduction of universal life policies Vanishing premium concept and no lapse guarantees Single premium capital guaranteed products backed by inappropriate assets Embedded guarantees (e.g., GMDB, GMAB, GMWB) in variable and unit-link products Adverse customer behavior has cost the industry dearly in terms of lost profits. Enterprise risk management and modeling is now necessary in order to run the business. 2
4 Enterprise Risk Management Risk is an event or condition that impairs the organization s ability to meet its goals Risk Management is a process of balancing the consequences of risk with the cost of avoiding it or hedging it Enterprise Risk Management is risk management that considers all the enterprise s various business in aggregate and by considering the correlation of the risks Enterprise Risk Modeling is the part of the enterprise risk management that you can model and quantify, and use as a benchmark to take appropriate actions 3
5 Insurance and Actuarial Advisory Services Enterprise Risk Modeling
6 Enterprise Risk Modeling Follows a Logical Path Catalog & Identify Qualify and Prioritize Response Exploit Exploit Optimize Risk Other competitive advantages Catalog & Identify Enterprise concerns & exposures Universe of risks Qualify and Prioritize Use actuarial tools Management judgment Response Avoid Minimize Mitigate risks 5
7 Catalog the Universe of Risks Financial Interest rates, equity market volatility, credit, liquidity Business Mortality, morbidity, economic activity, management failure Operational Process failure, fraud, litigation Event Regulatory change, war, natural disaster Assess the organization s risk tolerance realistically. What risk levels can we take on comfortably? 6
8 Quantify and prioritize Determine tolerance level Create accountability Who s on first? Evaluate RBC, rating agency perspectives To see ourselves as others see us Use available resources first, such as cash flow testing models Do better, if possible The internal and external audit functions may be valuable in this process 7
9 Respond - defensively first Avoid Diversify Reinsure Offset Hedge Strengthen capital Monitor continuously 8
10 Exploit! Risk management is a tool for competitive advantage: PRICING PRECISION SELF HEDGING PRODUCT RATIONING NICHE EXPANSION PRICING ARBITRAGE OTHER 9
11 Enterprise Risk Modeling needs a Global Financial Reporting and Measurement Framework Actuarially robust Reflects local reserving, capital requirements and taxation Acts as an early warning system Reconciles with product pricing Allows for enterprise consolidation Embedded Value reporting is that framework 10
12 Insurance and Actuarial Advisory Services Embedded Value
13 Embedded Value measures management s added value. Embedded Value Use of Embedded Value Basics, Deterministic vs. Stochastic EV European Embedded Value (EEV) Principles Embedded Value at Risk (EV@Risk) Financial statements that help optimize risk 12
14 Uses of Embedded Value Published financials (China, UK, Europe) Incentive compensation (China, US) Information for rating agencies, analysts (Canada) Pricing and planning validation (Global) Enterprise risk modeling (New) 13
15 Basic Components of Embedded Value Actuarial Appraisal Value Value of Future Business Value of Inforce Business Adjusted Net Worth Embedded Value 14
16 Value of Inforce Present Value (PV) of Distributable Earnings = PV after-tax book profits PV Cost of Capital + Target Surplus (TS) at the valuation date Distributable Earnings (year t) = After-tax Book Profit (year t) + TS Released (year t) + After-tax earnings on TS (year t) Allocate assets to business lines, project cash flows using best estimate assumptions, include statutory reserves, discount distributable earnings to present value at a hurdle rate reflecting risk 15
17 PV Cost of Capital Timing difference between TS now and future TS releases net of aftertax investment earnings on assets backing TS = Target Surplus PV Future Target Surplus Released PV Future after-tax earnings on assets backing TS 16
18 Adjusted Net Worth = Statutory capital and surplus + Allocations of surplus, such as AVR + Non-admitted assets with realizable value + Reduced for the value of any obligations not considered in the value of inforce + Adjustment for difference between market value and book value of assets backing adjusted net worth Target surplus is usually included in adjusted net worth for presentation purposes 17
19 Embedded Value Change = Value Added or Achieved Profits Achieved Profit Amount Adjusted Net Worth Starting Embedded Value Value of Inforce S/H Dividend Adjusted Net Worth Value from New Sales Value of Surviving Inforce Ending Embedded Value 18
20 Deterministic EV Best estimate assumptions Reflects overall risks in the discount rate higher discount rate for riskier products Easy to implement and understand Can often use the existing actuarial model However, Focused primarily on interest-rate risk Does not reflect tail exposure Unable to measure the interaction of risks 19
21 Stochastic EV Enables companies to capture the interaction of risks Quantifies risks (total enterprise basis & by line of business) Helps management to determine a comfortable level of risk and to optimize the risk/reward relationships An approach that distinguishes a company from its competitors in terms of enterprise risk measurement and management 20
22 What is Stochastic EV? Examples of simple application Various interest rate scenarios used in asset adequacy testing Sensitivity testing (e.g., increasing lapse rate, lower mortality rate) Formal stochastic approach Identify risk elements (e.g., interest, mortality, and default) Use a stochastic process to define a range of selected risk elements (e.g., Monte Carlo, Economic Scenario Generator) Run EV model over a range for selected risk elements Start with a deterministic model Stochastic Assumption = deterministic assumption x stochastically generated factor 21
23 Insurance and Actuarial Advisory Services European Embedded Value Principles
24 European Embedded Value Principles The CFO Forum launched European Embedded Value (EEV) Principles in 2003 EEV principles are aimed to provide transparent and consistent financial information to the investors across major European insurance companies 23
25 European Embedded Value Principles - continues 24
26 Embedded Value at Risk Concept TM : Difference between the mean EV value and the fifth percentile EV for each risk element (other levels of EV@Risk TM could also be used) Shows variance in EV over a range of economic and non-economic scenarios Quantifies impact to EV for each individual risk elements and in aggregate Demonstrates the correlation effect between different risk elements (i.e., sum of individual risk components is greater than when all the risks are run together) Allows management to determine a comfortable level of risk Requires stochastic EV modeling in order to determine different levels of EV@Risk TM 25
27 Embedded Value at Risk is similar to VAR Difference between mean and 5 th percentile Universal Life - Comparison of Stochastic Runs Embedded Value at 12/31/01 (m) $808 $806 $804 $802 $800 $798 5 th th Percentile Mean $ Stoch Lapse Only Stoch Mortality Only Stoch Lapse & Mortality Base Run 26
28 Insurance and Actuarial Advisory Services Stochastic EV Case Study For a Sample Universal Life Product
29 Ernst & Young Stochastic EV Case Study for ACLI Universal Life (UL) product from the Ernst & Young deterministic EV case study developed for the American Council of Life Insurer (ACLI) CFO Roundtable UL risk elements selected Interest Mortality Asset Default Used 100 iterations for each of the risk elements Too many = long run time Too few = reduce accuracy Experience and testing will help identify optimal number of runs 28
30 Generating UL Stochastic Risk Assumptions The stochastic assumptions are generated for each risk element as follows: Stochastic Assumption (other than stochastic interest) = Deterministic Assumption x Stochastic Generated Factor Distribution Assumption = Normal Distribution Stochastic Interest Economic Interest Rate scenarios were generated using Ernst & Young Economic Scenario Engine (ESE) Stochastic Mortality Mean =1, Standard Deviation = 5%, Max = 2, Min = 0.5 Stochastic Asset Default Mean =1, Standard Deviation = 100%, Max = 4, Min = 0 29
31 Results of Ernst & Young Universal Life Model Deterministic Financial Results GAAP Earnings for 2004 $ 179,232 GAAP Earnings $ 778,388* Embedded Value 12/31/2004 $ 1,324,758* Embedded Value without Target Surplus $ 561,872* * 9.00% 30
32 Results of Ernst & Young Universal Life Model Stochastic Mortality Results Universal Life Results - Stochastic Mortality Percentile Deterministic Mean EaRisk 5th 25th 50th 75th 95th GAAP Eanings 2004 $ 179,232 $ 178,764 $ 4,112 $ 174,652 $ 177,198 $ 178,679 $ 180,672 $ 182,711 GAAP Earnings $ 778,388 $ 777,142 $ 8,756 $ 768,387 $ 773,511 $ 777,888 $ 780,208 $ 785,330 Embedded Value $ 1,324,758 $ 1,321,195 $ 56,637 $ 1,264,557 $ 1,298,890 $ 1,319,582 $ 1,344,527 $ 1,377,207 Embedded Value w/o TS $ 561,872 $ 558,309 $ 56,637 $ 501,672 $ 536,004 $ 556,696 $ 581,641 $ 614,321 Observations: 2004 GAAP earnings at risk is about 2.3% versus the deterministic results while EV@Risk TM is about 4.3% EV@Risk TM is 10.1% when calculated without target surplus 31
33 Results of Ernst & Young Universal Life Model Stochastic Mortality Results Value of Existing Business Universal Life - Stochastic Mortality 1,600,000 1,400,000 1,200,000 1,000, , , , , (200,000) Stochastic Mortality Deterministic Statistics Result % of Mean Mean 558, % Median 556, % Minimum 484, % Maximum 653, % Deterministic 561, % Percentile Result % of Mean 5th 501, % 25th 536, % 50th 556, % 75th 581, % 95th 614, % 32
34 Results of Ernst & Young Universal Life Model Stochastic Interest Results Universal Life Results - Stochastic Interest Percentile Deterministic Mean EaRisk 5th 25th 50th 75th 95th GAAP Eanings 2004 $ 179,232 $ 179,014 $ 56 $ 178,958 $ 178,996 $ 179,018 $ 179,034 $ 179,077 GAAP Earnings $ 778,388 $ 777,616 $ 1,362 $ 776,254 $ 777,206 $ 777,605 $ 778,256 $ 779,014 Embedded Value $ 1,324,758 $ 1,324,485 $ 398,295 $ 926,190 $ 1,226,844 $ 1,384,108 $ 1,463,875 $ 1,538,830 Embedded Value w/o TS $ 561,872 $ 561,599 $ 398,295 $ 163,304 $ 463,958 $ 621,222 $ 700,990 $ 775,944 Observations: 2004 GAAP earnings at risk is about 0.0% versus the mean results while EV@Risk TM is about 30.1%. EV@Risk TM is 70.9% when calculated without target surplus 33
35 Results of Ernst & Young Universal Life Model Stochastic Interest Results Value of Existing Business Universal Life - Stochastic Interest 1,600,000 1,400,000 1,200,000 1,000, , , , , (200,000) Stochastic Interest Deterministic Statistics Result % of Mean Mean 561, % Median 621, % Minimum (142,731) % Maximum 879, % Deterministic 561, % Percentile Result % of Mean 5th 163, % 25th 463, % 50th 621, % 75th 700, % 95th 775, % 34
36 Results of Ernst & Young Universal Life Model Stochastic Default Results Universal Life Results - Stochastic Default Percentile Deterministic Mean EaRisk 5th 25th 50th 75th 95th GAAP Eanings 2004 $ 179,232 $ 178,931 $ 2,349 $ 176,582 $ 177,572 $ 178,645 $ 180,024 $ 182,448 GAAP Earnings $ 778,388 $ 777,722 $ 9,758 $ 767,964 $ 774,227 $ 777,732 $ 782,375 $ 786,094 Embedded Value $ 1,324,758 $ 1,320,977 $ 213,532 $ 1,107,445 $ 1,234,911 $ 1,314,282 $ 1,443,076 $ 1,554,656 Embedded Value w/o TS $ 561,872 $ 558,091 $ 213,532 $ 344,560 $ 472,025 $ 551,397 $ 680,191 $ 791,770 Observations: 2004 GAAP earnings at risk is about 1.3% versus the mean results while EV@Risk TM is about 16.2%. EV@Risk TM is 38.3% when calculated without target surplus 35
37 Results of Ernst & Young Universal Life Model Stochastic Default Results Value of Existing Business Universal Life - Stochastic Default 1,600,000 1,400,000 1,200,000 1,000, , , , , (200,000) Stochastic Default Deterministic Statistics Result % of Mean Mean 558, % Median 551, % Minimum 244, % Maximum 828, % Deterministic 561, % Percentile Result % of Mean 5th 344, % 25th 472, % 50th 551, % 75th 680, % 95th 791, % 36
38 Results of Ernst & Young Universal Life Model Stochastic All Results Universal Life Results - Stochastic All Percentile Deterministic Mean EaRisk 5th 25th 50th 75th 95th GAAP Eanings 2004 $ 179,232 $ 179,116 $ 5,254 $ 173,862 $ 177,220 $ 179,126 $ 180,976 $ 184,316 GAAP Earnings $ 778,388 $ 778,128 $ 14,723 $ 763,404 $ 772,176 $ 778,936 $ 785,524 $ 788,847 Embedded Value $ 1,324,758 $ 1,323,899 $ 369,460 $ 954,438 $ 1,137,281 $ 1,337,677 $ 1,514,501 $ 1,692,022 Embedded Value w/o TS $ 561,872 $ 561,013 $ 369,460 $ 191,553 $ 374,396 $ 574,791 $ 751,616 $ 929,136 Observations: 2004 GAAP earnings at risk is about 2.9% versus the mean results while EV@Risk TM is about 27.9%. EV@Risk TM is 65.9% when calculated without target surplus 37
39 Results of Ernst & Young Universal Life Model Stochastic All Results Value of Existing Business Universal Life - Stochastic All 1,600,000 1,400,000 1,200,000 1,000, , , , , (200,000) Statistics Result % of Mean Mean 561, % Median 574, % Minimum (115,201) % Maximum 1,070, % Deterministic 561, % Percentile Result % of Mean 5th 191, % 25th 374, % 50th 574, % 75th 751, % 95th 929, % Stochastic Interest/Mortality/Defaults Deterministic 38
40 Results of Ernst & Young Universal Life Model Summary of Stochastic Results 2004 Operating Earnings - Universal Life 2004 Embedded Value - Universal Life Percentile All Interest Mortality Defaults 5th 173, , , ,582 25th 177, , , ,572 50th 179, , , ,645 75th 180, , , ,024 95th 184, , , ,448 Mean 179, , , ,931 EaRisk 5, ,112 2,349 Correlation (1,264) Deterministic 179,232 Percentile All Interest Mortality Defaults 5th 954, ,190 1,264,557 1,107,445 25th 1,137,281 1,226,844 1,298,890 1,234,911 50th 1,337,677 1,384,108 1,319,582 1,314,282 75th 1,514,501 1,463,875 1,344,527 1,443,076 95th 1,692,022 1,538,830 1,377,207 1,554,656 Mean 1,323,899 1,324,485 1,321,195 1,320,977 EVaRisk 369, ,295 56, ,532 Correlation (299,004) Deterministic 1,324,758 39
41 Recap of Key Learning Can be used to create an effective decision support framework Competitive advantage Risk optimization Risk measurement and management across risks & product lines is doable Profitability and productivity metrics for distribution system Facilitate capital allocation Segue to IAS accounting and Risk Adjusted Return on Capital (RAROC) 40
42 Closing Remarks Stochastic valuation has arrived Stochastic EV (EEV), ERM Risk) RBC C3 Phase II, Economic Capital, Statutory Reserves, SOP Reserves Actuaries need to elevate their game to be ready Finance theory and conceptual frameworks Modeling & valuation tools Technology Quality assurance Analysis and presentation Communications 41
43 Questions! 42
Embedded Value for Insurance Company
Actuarial Services Group Insurance and Actuarial Advisory Services Embedded Value for Insurance Company Jonathan Zhao, FSA, FCIA, FCA, MAAA October 17, 2005 1 Agenda General overview of embedded value
More informationThe Financial Reporter
Article from: The Financial Reporter December 2004 Issue 59 Rethinking Embedded Value: The Stochastic Modeling Revolution Carol A. Marler and Vincent Y. Tsang Carol A. Marler, FSA, MAAA, currently lives
More informationStochastic Analysis Of Long Term Multiple-Decrement Contracts
Stochastic Analysis Of Long Term Multiple-Decrement Contracts Matthew Clark, FSA, MAAA and Chad Runchey, FSA, MAAA Ernst & Young LLP January 2008 Table of Contents Executive Summary...3 Introduction...6
More informationThe New Risk-Based Capital
INSURANCE The New Risk-Based Capital K P M G L L P Laura S. Gray Southeastern Actuaries Conference Amelia Island, Florida June 2008 Please note: This is a discussion of industry perspectives and does not
More informationALM processes and techniques in insurance
ALM processes and techniques in insurance David Campbell 18 th November. 2004 PwC Asset Liability Management Matching or management? The Asset-Liability Management framework Example One: Asset risk factors
More informationArticle from: Risk Management. March 2014 Issue 29
Article from: Risk Management March 2014 Issue 29 Enterprise Risk Quantification By David Wicklund and Chad Runchey OVERVIEW Insurance is a risk-taking business. As risk managers, we must ensure that the
More informationUS Life Insurer Stress Testing
US Life Insurer Stress Testing Presentation to the Office of Financial Research June 12, 2015 Nancy Bennett, MAAA, FSA, CERA John MacBain, MAAA, FSA Tom Campbell, MAAA, FSA, CERA May not be reproduced
More informationSOA Risk Management Task Force
SOA Risk Management Task Force Update - Session 25 May, 2002 Dave Ingram Hubert Mueller Jim Reiskytl Darrin Zimmerman Risk Management Task Force Update Agenda Risk Management Section Formation CAS/SOA
More information2006 Tillinghast Pricing Methodology Survey Results
2006 Tillinghast Pricing Methodology Survey Results Actuaries Club of the Southwest Fall Meeting Dominique Lebel (415) 836-1081 November 15, 2007 Presentation overview Profit measures and objectives Stochastic
More informationSmall Company Asset Adequacy
Small Company Asset Adequacy Michael A. Mayberry, F.S.A., M.A.A.A. Agenda Current AOMR Newly Adopted AOMR and major changes Small Company Exemption deleted Executive Summary now required Required interest
More informationEconomic Capital in a Canadian Context
Economic Capital in a Canadian Context ERM Seminar May 2005 Topics 1. Rationale for Economic Capital 2. Canadian Regulatory Context 3. Economic Capital Principles 4. Economic Capital Issues 5. Economic
More informationDisclosure of European Embedded Value as of March 31, 2016
May 26, 2016 Meiji Yasuda Life Insurance Company Disclosure of European Embedded Value as of March 31, 2016 Meiji Yasuda Life Insurance Company ( Meiji Yasuda Life, President Akio Negishi) is disclosing
More informationInvestment Symposium March F7: Investment Implications of a Principal-Based Approach to Capital. Moderator Ross Bowen
Investment Symposium March 2010 F7: Investment Implications of a Principal-Based Approach to Capital David Wicklund Arnold Dicke Moderator Ross Bowen Investment Implications of a Principle Based Approach
More informationSession 55 PD, Pricing in a MCEV Environment. Moderator: Kendrick D. Lombardo, FSA, MAAA
Session 55 PD, Pricing in a MCEV Environment Moderator: Kendrick D. Lombardo, FSA, MAAA Presenters: Christopher Kirk Brown, FSA, MAAA Seng Siang Goh, FSA, MAAA Kendrick D. Lombardo, FSA, MAAA PRICING IN
More informationAsset Liability Management An Integrated Approach to Managing Liquidity, Capital, and Earnings
Actuaries Club of Philadelphia Asset Liability Management An Integrated Approach to Managing Liquidity, Capital, and Earnings Alan Newsome, FSA, MAAA February 28, 2018 Today s Agenda What is Asset Liability
More informationDisclosure of European Embedded Value as of September 30, 2016
November 24, 2016 Meiji Yasuda Life Insurance Company Disclosure of European Embedded Value as of September 30, 2016 Meiji Yasuda Life Insurance Company ( Meiji Yasuda Life, President Akio Negishi) is
More informationDisclosure of European Embedded Value as of March 31, 2017
May 25, 2017 Meiji Yasuda Life Insurance Company Disclosure of European Embedded Value as of March 31, 2017 Meiji Yasuda Life Insurance Company ( Meiji Yasuda Life, President Akio Negishi) is disclosing
More informationEmbedded Value Review Embedded Value as at 31 December 2012
Embedded Value Review Embedded Value as at 31 December 2012 BANGKOK LIFE ASSURANCE PUBLIC COMPANY LIMITED, THAILAND Independent Actuaries Report The following is the text of a report prepared by Ernst
More informationLessons from the ICAS regime for UK insurers
Lessons from the ICAS regime for UK insurers Nick Dumbreck President, Institute of Actuaries University of Kent, 6 September 2007 Agenda Individual Capital Assessments (ICA) Review by the regulator Board
More informationThe private long-term care (LTC) insurance industry continues
Long-Term Care Modeling, Part I: An Overview By Linda Chow, Jillian McCoy and Kevin Kang The private long-term care (LTC) insurance industry continues to face significant challenges with low demand and
More informationStock Market Crash of 2002 How the Drop in the Equity Market Affects Insurers
Stock Market Crash of 2002 How the Drop in the Equity Market Affects Insurers Southeastern Actuaries Conference Spring Meeting June 19, 2003 Lorne Schinbein Vice President and Marketing Actuary Western
More informationStatement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR )
MAY 2016 Statement of Guidance for Licensees seeking approval to use an Internal Capital Model ( ICM ) to calculate the Prescribed Capital Requirement ( PCR ) 1 Table of Contents 1 STATEMENT OF OBJECTIVES...
More information2016 Embedded Value Report for Manulife s Insurance and Other Wealth Businesses (Excludes the value of in-force business for Wealth and Asset
2016 Embedded Value Report for Manulife s Insurance and Other Wealth Businesses (Excludes the value of in-force business for Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses)
More informationMaking Risk Models Relevant
Making Risk Models Relevant Dave Sandberg VP, Corporate Actuary Allianz Life Insurance Company of North America Key Topics 1. Relationship of ERM & Internal models 2. How can internal models be assured
More informationERM Symposium Mary Neumann, CUNA Mutual Group Kailan Shang, Manulife Financial April Risk Appetite Framework and Strategic Planning
Linkage between Risk Appetite and Strategic Planning ERM Symposium 2012 By Mary Neumann, CUNA Mutual Group Kailan Shang, Manulife Financial April 2012 Agenda Research Background Risk Appetite Framework
More informationPrinciple Based Reserves Ohio Chapter IASA. November 21, 2016 Columbus, OH
Principle Based Reserves Ohio Chapter IASA November 21, 2016 Columbus, OH PBR is here! 46 States have adopted PBR representing >75% of written premium The NAIC has determined that the versions adopted
More informationSession 83 PD, Modeling Managing and Pricing Living Benefits Risk. Moderator: Sean Michael Hayward, FSA, MAAA
Session 83 PD, Modeling Managing and Pricing Living Benefits Risk Moderator: Sean Michael Hayward, FSA, MAAA Presenters: Guillaume Briere-Giroux, FSA, MAAA Sean Michael Hayward, FSA, MAAA Eric L. Henderson,
More informationAdvanced Seminar on Principle Based Capital September 23, 2009 Session 1: C3P3 Overview
Advanced Seminar on Principle Based Capital September 23, 2009 Session 1: C3P3 Overview David E. Neve, FSA, CERA, MAAA Overview of C3 Phase 3 for Life Products David E. Neve, FSA, CERA, MAAA Vice President,
More informationEnterprise Risk Management. University of Nebraska Max J. Rudolph, FSA CFA CERA Rudolph Financial Consulting, LLC February 15, 2008
Enterprise Risk Management University of Nebraska Max J. Rudolph, FSA CFA CERA Rudolph Financial Consulting, LLC February 15, 2008 1 Enterprise Risk Management (ERM) Key Points Get paid for the risks you
More informationSession 3B, Stochastic Investment Planning. Presenters: Paul Manson, CFA. SOA Antitrust Disclaimer SOA Presentation Disclaimer
Session 3B, Stochastic Investment Planning Presenters: Paul Manson, CFA SOA Antitrust Disclaimer SOA Presentation Disclaimer The 8 th SOA Asia Pacific Annual Symposium 24 May 2018 Stochastic Investment
More informationTABLE OF CONTENTS. Lombardi, Chapter 1, Overview of Valuation Requirements. A- 22 to A- 26
iii TABLE OF CONTENTS FINANCIAL REPORTING PriceWaterhouseCoopers, Chapter 3, Liability for Income Tax. A- 1 to A- 2 PriceWaterhouseCoopers, Chapter 4, Income for Tax Purposes. A- 3 to A- 6 PriceWaterhouseCoopers,
More informationNAIC Update New Annuity Standard Nonforfeiture Law SEAC Spring Meeting Amelia Island, FL 6/19/03
NAIC Update New Annuity Standard Nonforfeiture Law SEAC Spring Meeting Amelia Island, FL 6/19/03 Paul Haley Sr. VP & Chief Actuary GE Financial Agenda SNFL for Fixed Annuities - Background - Environmental
More informationSubject ST2 Life Insurance Specialist Technical Syllabus
Subject ST2 Life Insurance Specialist Technical Syllabus for the 2018 exams 1 June 2017 Aim The aim of the Life Insurance Specialist Technical subject is to instil in successful candidates the main principles
More information2016 American Academy of Actuaries. All rights reserved. May not be reproduced without express permission. STOCHASTIC, DETERMINISTIC AND NPR RESERVES
2016 American Academy of Actuaries. All rights reserved. May not be reproduced without express permission. STOCHASTIC, DETERMINISTIC AND NPR RESERVES Agenda VM-20 Net Premium Reserves by Tim Cardinal Net
More informationEmbedded Value Review Embedded Value as at 31 December 2016
Embedded Value Review Embedded Value as at 31 December 2016 BANGKOK LIFE ASSURANCE PUBLIC COMPANY LIMITED Independent Actuaries Report The following is the text of a report prepared by EY for the purpose
More informationILA LRM Model Solutions Fall Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management.
ILA LRM Model Solutions Fall 2015 1. Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management. 2. The candidate will demonstrate an understanding of
More information4A: The Money Pit - Reflecting the Risks We Are Taking In Pricing Products
9 th Annual Product Development Actuary Symposium June 2009 4A: The Money Pit - Reflecting the Risks We Are Taking In Pricing Products Dominique Lebel Market Consistent Pricing Risk Management at the Point
More informationModel Governance: Is YOUR Company There Yet? Past, Present and Future of Model Governance. Moderator: Ronald J. Harasym, FSA, CERA, FCIA, MAAA
Model Governance: Is YOUR Company There Yet? Past, Present and Future of Model Governance Moderator: Ronald J. Harasym, FSA, CERA,, FCIA, MAAA Presenters: Dave Czernicki, FSA, MAAA Ronald J. Harasym, FSA,
More informationDisclosure of European Embedded Value as of 30 September 2015
December 3, 2015 Meiji Yasuda Life Insurance Company Disclosure of European Embedded Value as of 30 September 2015 Meiji Yasuda Life Insurance Company ( Meiji Yasuda Life, President Akio Negishi) is disclosing
More informationFramework for a New Standard Approach to Setting Capital Requirements. Joint Committee of OSFI, AMF, and Assuris
Framework for a New Standard Approach to Setting Capital Requirements Joint Committee of OSFI, AMF, and Assuris Table of Contents Background... 3 Minimum Continuing Capital and Surplus Requirements (MCCSR)...
More informationAmerican Academy of Actuaries Webinar: The Practice of ERM in the Insurance Industry. Enterprise Risk Management Committee November 19, 2013
American Academy of Actuaries Webinar: The Practice of ERM in the Insurance Industry Enterprise Risk Management Committee November 19, 2013 All Rights Reserved. 1 Presenters Bruce Jones, MAAA, FCAS, CERA
More informationEnterprise Risk Management (ERM)
Southeastern Actuaries Conference Enterprise Risk Management (ERM) November 16, 2007 ING. Your future. Made easier. Agenda ERM Are you doing it? Definition of ERM What is it? Industry Overview What is
More informationFinancial Modeling of Variable Annuities
0 Financial Modeling of Variable Annuities Robert Chen 18 26 June, 2007 1 Agenda Building blocks of a variable annuity model A Stochastic within Stochastic Model Rational policyholder behaviour Discussion
More informationSession 102 PD - Impact of VM-20 on Life Insurance Pricing. Moderator: Trevor D. Huseman, FSA, MAAA
Session 102 PD - Impact of VM-20 on Life Insurance Pricing Moderator: Trevor D. Huseman, FSA, MAAA Presenters: Carrie Lee Kelley, FSA, MAAA William Gus Mehilos, FSA, MAAA SOA Antitrust Compliance Guidelines
More informationSOCIETY OF ACTUARIES Enterprise Risk Management Individual Life & Annuities Extension Exam ERM-ILA
SOCIETY OF ACTUARIES Exam ERM-ILA Date: Tuesday, October 31, 2017 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 80 points. This exam consists
More informationAugust 15, Al Schmitz, MAAA, FSA, Chairperson LTC PBR Work Group
American Academy of Actuaries Long-Term Care (LTC) Principle Based Reserves (PBR) Work Group Update to Long-Term Care Actuarial Working Group August 15, 2014 Al Schmitz, MAAA, FSA, Chairperson LTC PBR
More informationInforce Management 2014 ACHS Fall Meeting
Inforce Management 2014 ACHS Fall Meeting November 11, 2014 Dave Wiland, FSA, CERA, MAAA, CFA IMPORTANT INFORMATION The information in this presentation is intended to be generic in nature to help foster
More informationGuidance paper on the use of internal models for risk and capital management purposes by insurers
Guidance paper on the use of internal models for risk and capital management purposes by insurers October 1, 2008 Stuart Wason Chair, IAA Solvency Sub-Committee Agenda Introduction Global need for guidance
More informationDisclosure of European Embedded Value as of September 30, 2014
November 18, Koichiro Watanabe President and Representative Director The Dai-ichi Life Insurance Company, Limited Code: 8750 (TSE First section) Disclosure of European Embedded Value as of September 30,
More informationExam ERM-ILA. Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES
Enterprise Risk Management Individual Life & Annuities Extension Exam ERM-ILA Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination
More informationStochastic Modeling Concerns and RBC C3 Phase 2 Issues
Stochastic Modeling Concerns and RBC C3 Phase 2 Issues ACSW Fall Meeting San Antonio Jason Kehrberg, FSA, MAAA Friday, November 12, 2004 10:00-10:50 AM Outline Stochastic modeling concerns Background,
More informationVariable Annuities (VA) Managing the Dichotomy between Hedging Goals and Accounting Rules
Variable Annuities (VA) Managing the Dichotomy between Hedging Goals and Accounting Rules Joint Regional Seminars, Asia June 18-22, 2007 Hubert Mueller, Principal 2007 Towers Perrin Agenda The US GAAP
More informationA.M. Best s New Risk Management Standards
A.M. Best s New Risk Management Standards Stephanie Guethlein McElroy, A.M. Best Manager, Rating Criteria and Rating Relations Hubert Mueller, Towers Perrin, Principal March 24, 2008 Introduction A.M.
More informationAllianz. European Embedded Value Report
Allianz European Embedded Value Report 2005 Contents 1 Introduction... 3 2 Basis of Preparation... 3 3 Covered Business... 3 4 Definitions... 4 4.1 Net asset value... 4 4.2 Present Value of Future Profits...
More informationNew Actuarial Standards of Practice No. 46 Risk Evaluation in ERM No. 47 Risk Treatment in ERM
New Actuarial Standards of Practice No. 46 Risk Evaluation in ERM No. 47 Risk Treatment in ERM August 1, 2013 1 Professional Disclaimer Any opinions expressed within this presentation are the presenter
More informationDisclosure of Market Consistent Embedded Value as of March 31, 2016
May 23, 2016 Sony Life Insurance Co., Ltd. Disclosure of Market Consistent Embedded Value as of March 31, 2016 Tokyo, May 23, 2016 Sony Life Insurance Co., Ltd. ( Sony Life ), a wholly owned subsidiary
More informationDave Sandberg Vice President for Life, American Academy of Actuaries
Solvency in the United States Dave Sandberg Vice President for Life, Solvency Management in Life Insurance Life Section Seminar co sponsored by the Asociación Mexicana de Actuarios (AMA) Mexico City, Mexico
More informationIFRS 4 and its Implication to HK and China s Insurance Industry
International Financial Reporting Standard IFRS 4 and its Implication to HK and China s Insurance Industry Raymond Li, FSA MAAA Actuarial Services AA Symposium 17 November 2004 Agenda Introduction Key
More informationEconomic Capital: Recent Market Trends and Best Practices for Implementation
1 Economic Capital: Recent Market Trends and Best Practices for Implementation 7-11 September 2009 Hubert Mueller 2 Overview Recent Market Trends Implementation Issues Economic Capital (EC) Aggregation
More informationPBA Reserve Workshop What Will PBA Mean to You and Your Software? Trevor Howes, FCIA, FSA, MAAA. Agenda. Overview to PBA project
Southeastern Actuaries Conference 2010 Spring Meeting June 16, 2010 PBA Reserve Workshop What Will PBA Mean to You and Your Software? Trevor Howes, FCIA, FSA, MAAA Michael LeBoeuf, FSA, MAAA Agenda Overview
More informationSolvency II. Building an internal model in the Solvency II context. Montreal September 2010
Solvency II Building an internal model in the Solvency II context Montreal September 2010 Agenda 1 Putting figures on insurance risks (Pillar I) 2 Embedding the internal model into Solvency II framework
More informationSoutheastern Actuaries Conference. Product Strategy Debate
Southeastern Actuaries Conference Product Strategy Debate Brad Barks, FSA, CPA, MAAA, EA CFO, Global Preferred Holdings Tom Bobowski, CLU VP Marketing, Global Preferred Holdings Purpose HAVESOME FUN Tell
More informationLeast Squares Monte Carlo (LSMC) life and annuity application Prepared for Institute of Actuaries of Japan
Least Squares Monte Carlo (LSMC) life and annuity application Prepared for Institute of Actuaries of Japan February 3, 2015 Agenda A bit of theory Overview of application Case studies Final remarks 2 Least
More informationAn Impact Analysis of Proposed Targeted Improvements
Proposed Changes to US GAAP An Impact Analysis of Proposed Targeted Improvements June 2017 Karthik Yadatore, FSA, MAAA Craig Reynolds, FSA, MAAA William Hines, FSA, MAAA Shamit Gupta, BSC, FIA, FIAI, CERA
More informationRisk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: May 2018
Risk & Capital Management Under Basel III and IFRS 9 This course is presented in London on: 14-17 May 2018 The Banking and Corporate Finance Training Specialist Course Objectives Participants Will: Understand
More informationDisclosure of European Embedded Value as of September 30, 2015
UNOFFICIAL TRANSLATION Although the Company pays close attention to provide English translation of the information disclosed in Japanese, the Japanese original prevails over its English translation in
More informationExam ERM-GC. Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES. Recognized by the Canadian Institute of Actuaries.
Enterprise Risk Management General Corporate ERM Extension Exam ERM-GC Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has
More informationSession 31 PD, Product Design & Policyholder Behavior. Moderator: Timothy S. Paris, FSA, MAAA
Session 31 PD, Product Design & Policyholder Behavior Moderator: Timothy S. Paris, FSA, MAAA Presenters: Michael Anthony Cusumano, FSA Timothy S. Paris, FSA, MAAA Product Design and Policyholder Behavior
More informationNAIC s Center for Insurance Policy and Research Summit: Exploring Insurers Liabilities
NAIC s Center for Insurance Policy and Research Summit: Exploring Insurers Liabilities Session 3: Life Panel Issues with Internal Modeling Dave Neve, FSA, MAAA, CERA Chairperson, American Academy of Actuaries
More informationAsset Liability Modelling (ALM) Approaches, Techniques, Trends In the Pension Practice
Asset Liability Modelling (ALM) Approaches, Techniques, Trends In the Pension Practice Chris Brisebois, FSA, FCIA, CFA CIA Investment Seminar Agenda 2 Background ALM in a pension fund context Modeling
More informationApril The members of the work group that are responsible for this practice note are as follows:
Practice Note on Anticipated Common Practices Relating to AICPA Statement of Position 03-1: Accounting and Reporting by Insurance Enterprises for Certain Nontraditional Long-Duration Contracts and for
More informationOverview of Asset/Liability Process. City of Jacksonville Police & Fire Pension Fund
Overview of Asset/Liability Process City of Jacksonville Police & Fire Pension Fund February 9, 2018 Overview of the Asset/Liability Study An asset/liability study incorporates all facets of the asset
More informationExam ERM-GI. Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES. Recognized by the Canadian Institute of Actuaries.
Enterprise Risk Management General Insurance Extension Exam ERM-GI Date: Tuesday, October 30, 2018 Time: 8:30 a.m. 12:45 p.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total
More informationStochastic Modeling Workshop Introduction
Stochastic Modeling Workshop Introduction Southeastern Actuaries Conference Duncan Briggs November 19, 2003 What do we mean by stochastic modeling? Modeling of outcomes under a large number of randomly-generated
More informationEarnings at Risk: Real-world Risk Management
Earnings at Risk: Real-world Risk Management May 3, 2005 Jay Glacy Cindy Sarna A VaR Refresher A monthly VAR of $10 million means that there is a 5% chance of loss in excess of $10 million. VaR= µ -1.65σ.
More informationMarket Consistent Embedded Value Basis for Conclusions
CFO Forum Market Consistent Embedded Value Basis for Conclusions April 2016 Basis for Conclusions on CFO Forum Market Consistent Embedded Value Principles This Basis for Conclusions accompanies the proposed
More informationEmbrace the Solvency II internal model
October 2011 Embrace the Solvency II internal model Executive summary Insurers continue to question the benefits of Solvency II and whether the internal model will justify its considerable cost. Embracing
More informationIn physics and engineering education, Fermi problems
A THOUGHT ON FERMI PROBLEMS FOR ACTUARIES By Runhuan Feng In physics and engineering education, Fermi problems are named after the physicist Enrico Fermi who was known for his ability to make good approximate
More informationStochastic Pricing. Southeastern Actuaries Conference. Cheryl Angstadt. November 15, Towers Perrin
Stochastic Pricing Southeastern Actuaries Conference Cheryl Angstadt November 15, 2007 2007 Towers Perrin Agenda Background Drivers Case Study PBA and SOS Approaches 2007 Towers Perrin 2 Background What
More informationPBR in the Audit: What to Expect Michael Fruchter, FSA, MAAA Emily Cassidy, ASA, MAAA
PBR in the Audit: What to Expect Michael Fruchter, FSA, MAAA Emily Cassidy, ASA, MAAA November 12, 2015 Agenda Background of PBR Audit Risks Assumptions and Experience Studies Governance Audit Work Plan
More informationLife 2008 Spring Meeting June 16-18, Session 94, Impact of IFRS Insurance Accounting. Moderator Simon R. Curtis, FSA, FCIA, MAAA
Life 2008 Spring Meeting June 16-18, 2008 Session 94, Impact of IFRS Insurance Accounting Moderator Simon R. Curtis, FSA, FCIA, MAAA Authors Simon R. Curtis, FSA, FCIA, MAAA Laurel A. Kastrup, FSA, MAAA
More informationMethodology Review Seminar
etc.venues St.Paul s, London Methodology Review Seminar 16 November 2016 Methodology Review Seminar Welcome and Introduction Overview of the Structural Changes to Best's Credit Rating Methodology Greg
More informationU.S. GAAP & IFRS: Today and Tomorrow Sept , New York. Overview of Basic GAAP
U.S. GAAP & IFRS: Today and Tomorrow Sept. 13-14, 2010 New York Overview of Basic GAAP Mark Freedman Overview of basic GAAP concepts Mark Freedman Ernst & Young September 13-14, 2010 Society of Actuaries
More informationOptimizing risk: Risk Management as a growth enabler
Optimizing risk: Risk Management as a growth enabler François Robinet, Chief Risk Officer West LB Seminar, Dusseldorf May 4, 2006 West LB Conference May 4, 2006-2 Agenda 1: Insurance industry s appetite
More informationIndustrial Alliance Post-Demutualization and Financial Disclosure Tools. Denis Ricard Senior Vice-President Chief Actuary A PARTNER YOU CAN TRUST.
Industrial Alliance Post-Demutualization and Financial Disclosure Tools Denis Ricard Senior Vice-President Chief Actuary A PARTNER YOU CAN TRUST. May 18, 2007 1 Agenda > Industrial Alliance profile > Financial
More information2004 European Embedded Value for Life & Savings activities. December 12, 2005
2004 European Embedded Value for Life & Savings activities December 12, 2005 Table of Contents 1 : Overview 2 : Methodology 3 : Results 4 : Conclusion 5 : Appendix: - Detailed EEV results by country -
More informationMANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
IDS LIFE INSURANCE COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS IDS Life follows United States generally accepted accounting principles (GAAP), and the
More informationDisclosure of European Embedded Value as of September 30, 2010
November 18, 2010 Koichiro Watanabe President and Representative Director The Dai-ichi Life Insurance Company, Limited Code: 8750 (TSE First section) Disclosure of European Embedded Value as of September
More informationExplaining Your Financial Results Attribution Analysis and Forecasting Using Replicated Stratified Sampling
Insights October 2012 Financial Modeling Explaining Your Financial Results Attribution Analysis and Forecasting Using Replicated Stratified Sampling Delivering an effective message is only possible when
More informationDisclosure of European Embedded Value as of March 31, 2017
May 19, 2017 Mitsui Sumitomo Primary Life Insurance Company, Limited. Disclosure of European Embedded Value as of March 31, 2017 Mitsui Sumitomo Primary Life Insurance Co., Ltd. (hereafter MSI Primary
More informationDisclosure of European Embedded Value as of March 31, 2018
May 18, 2018 Mitsui Sumitomo Primary Life Insurance Company, Limited. Disclosure of European Embedded Value as of March 31, 2018 Mitsui Sumitomo Primary Life Insurance Co., Ltd. (hereafter MSI Primary
More informationOverview: Background:
2017 Embedded Value Report for Manulife s Insurance 1 Businesses (Excludes the value of in-force business for Wealth and Asset Management, Bank and Property and Casualty Reinsurance businesses) Dated April
More informationDefined Contribution (DC) Risks PD-10. Canadian Institute of Actuaries June 28, 2007 Vancouver. Minaz Lalani and Ian Genno Towers Perrin
Canadian Institute of Actuaries L Institut canadien des actuaires 2007 Annual Meeting Assemblée annuelle 2007 Vancouver 1 Defined Contribution (DC) Risks PD-10 Canadian Institute of Actuaries June 28,
More informationMarket Value Management
Market Value Management 2 Agenda What is Market Value Management? Reasons to implement? Example project approach Key leaning points so far 3 Stakeholders in the insurance sector are demanding better risk
More informationSession 7 PD Pricing Risk Management
Session 7 PD Pricing Risk Management Society of Actuaries Spring Meeting Washington, DC May 29, 2003 10:30 AM 12 PM Session 7 PD Pricing Risk Management Keith A. Dall Todd Henderson Douglas L. Robbins
More informationEXPOSURE DRAFT Practice Note on Embedded Value (EV) Reporting
EXPOSURE DRAFT Practice Note on Embedded Value (EV) Reporting The American Academy of Actuaries (Academy) is the public policy organization for actuaries practicing in all specialties within the United
More informationSOCIETY OF ACTUARIES Individual Life & Annuities United States Company/Sponsor Perspective Exam CSP-IU MORNING SESSION
SOCIETY OF ACTUARIES Exam CSP-IU MORNING SESSION Date: Friday, May 9, 2008 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination has a total of 120 points. It consists
More informationThe Actuarial Society of Hong Kong CASH FLOWS Insurance IFRS Seminar. Bill Horbatt. Session 7
The Actuarial Society of Hong Kong CASH FLOWS 2017 Insurance IFRS Seminar Bill Horbatt Session 7 General Model: Current fulfillment value Total premiums Contractual Service Margin Risk adjustment Discount
More informationRisk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar
Risk & Capital Management Under Basel III and IFRS 9 This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course
More informationNotes on: J. David Cummins, Allocation of Capital in the Insurance Industry Risk Management and Insurance Review, 3, 2000, pp
Notes on: J. David Cummins Allocation of Capital in the Insurance Industry Risk Management and Insurance Review 3 2000 pp. 7-27. This reading addresses the standard management problem of allocating capital
More information