VM-20 brings long awaited principle-based approaches to the world of statutory life reserves, allowing companies to use their own assumptions and cashflow models when calculating the two modeled reserve components of VM-20, the deterministic reserve and stochastic reserve. Under the NAIC’s new Valuation Manual, many companies are required to transition to VM-20 reserve requirements on new life insurance issues by 2020.
This seminar will cover five main components of VM-20: (1) the formulaic net premium reserve, (2) the modeled deterministic and stochastic reserves, (3) the formulaic deterministic exclusion test, (4) the modeled stochastic exclusion test, and (5) VM-20 models.
The presenters will discuss important VM-20 requirements and other considerations for using cashflow models, including the modeling of non-guaranteed elements, use of model simplifications and approximations, and VM-20 constraints on asset projections related to economic scenarios, starting assets, reinvestments, derivatives programs, spreads, and default costs. VM-20 requirements for prudent estimate assumptions, a key element of VM-20 modeled reserve calculations, will also be covered. Spreadsheet examples on how to calculate credibility, determine margins, and grade from company experience for mortality rates to the applicable industry table will be provided. Spreadsheets will also be used to present examples of the back-end calculations VM-20 requires on projected cashflows to determine the resulting deterministic reserve, stochastic reserve, and stochastic reserve exclusion test. The session will conclude by discussing the VM-20 requirements for reinsurance and aggregation and the implications of two related sections in the new Valuation Manual: VM-G on Governance and VM-31 on the PBR Actuarial Report.
Course materials, consisting of a set of presentation slides and spreadsheet files, will be distributed via email the week before this class. Class participants are encouraged to bring laptops or tablets to dive into the spreadsheet examples along with the presenters.
At the end of this seminar, participants will be familiar with the key VM-20 requirements for modeled reserves and associated exclusion tests, be more knowledgeable about the role cash flow models play in VM-20 and key modeling capabilities for VM-20, and be more informed about the importance of VM-20 prudent estimate assumptions and how they are developed and used in VM-20. Participants will also gain knowledge on how modeled reserves are documented in the VM-31 PBR Actuarial Report and better understand the implications of the VM-G section on governance.
Registration is open to all. PolySystems has specifically designed this seminar to demonstrate how to apply the fundamental concepts of principle-based-reserves to the practical, on-the-job demands of financial reporting. The concentrated syllabus and classroom style atmosphere of this seminar provides an environment in which new students and senior management working as actuaries and other professionals will expand their knowledge and learn from actuaries with broad and deep experience in valuation processes.
Level of Difficulty
The seminar is designed for participants with all levels of experience.
Bill Kelley, ASA is an Actuarial Associate in PolySystems Chicago office working on the development team. Bill has been involved in the development and implementation of PolySystems PBR functionality as well as pricing, modeling, experience study, and GAAP LDTI solutions. Prior to joining PolySystems, Bill worked as a high school physics teacher.
Jason Kehrberg, FSA, MAAA, is a Vice President at PolySystems Chicago office and has over 20 years of experience in the insurance industry. Jason works in PolySystems sales area and monitors regulatory developments in the insurance industry. He is a frequent speaker at industry events. Jason has served on both the Financial Reporting and Technology section councils at the SOA and is the current chairperson of the Academy's Life Valuation Committee.
Fatima Yuan, FSA, MAAA, is a Manager of Actuarial Services in PolySystems Chicago office and has over 25 years of experience in the insurance industry. Fatima has worked in PolySystems client and consulting services department for over 10 years. She has been involved in many client product implementation projects and general client support across all lines of business. More recently, Fatima has been heavily engaged in VM-20 client implementation projects.