Description: Summary of the health section council’s research project to assess the accuracy of commonly used IBNR estimation methods over a wide range of scenarios.

Description: This article discusses the need for more coordination and consistency in assumption setting between the pricing actuary, illustration actuary, appointed actuary, and financial reporting actuary.

Description: Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount best-estimate cashflows using locked-in rates could give non-sensical results in many instances. This article describes a technique for calibrating each of the scenario's cashflows so that they can be discounted with other discount factors or curves without distorting the value of underlying options and guarantees.

Description: Oliver Wyman recently completed its 2020 Life PBR Emerging Practices survey, with results providing a broad industry perspective on implementation impacts, strategy, assumptions and challenges. This article provides further insights into the trends and drivers observed around planned future refinements to PBR models.

Description: A discussion of alternative meanings to “Best” in best estimate. When one is trying to estimate a result that is normally distributed, the mean, median and mode will all equal one another. However if the results are not normally distributed, different variance metrics will result in different “best” estimates. When different parts of a financial statement use different criteria for measuring best estimates and different processes for handling variances, the results can be volatile, unpredictable and perhaps unreasonable.

Description: This article discusses value at risk, VaR, and VaR modeling of the bank's portfolios that would recognize diversity and hedging. This article also covers the differences between classical VaR and the longer horizons required by the insurance industry and the feasibility of extending VaR to the insurance industry.

Description: In the United States, there has been much industry discussion of the challenges associated with a sustained low interest rate environment, which impacts both the asset and liability sides of the balance sheet in unfavorable ways. The intent of this article is not to focus on these strategic issues. Rather, we attempt to shine a spotlight on some of the modeling challenges that practicing actuaries may experience when incorporating negative interest rates into their models.

Description: Latest development in IFRS 17 including a first look at companies disclosures and financial impacts, as well as a discussion of some of the run time issues that companies face.

Description: An Overview of Stochastic Simulation modeling techniques and usages

Description: This article discusses facts and issues related to the selection of a stock’s price distribution.