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: Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity measures, and regulatory demonstrations per VM-20.