Description: ongoing discussion of the proper interest rate to use in discounting liability cash flows to reflect credit risk of the insurer in a fair value accounting system

Description: Since insurance contract liabilities are uncertain in amount, an estimate is required. And under most accounting frameworks, the estimate of an uncertain amount should contain some sort of margin for uncertainty. This paper provides a mathematical connection between that margin and the market price of risk as measured by the cost of capital. The connection makes use of the theory of utility and an exponential utility curve.

Description: This article serves as a Solvency II primer by first introducing the Solvency II framework and then identifying several implementation issues that are still being resolved.

Description: This article describes changes to financial reporting for variable annuities under US GAAP, IFRS and Statutory regulations, and implications for hedging.

Description: Research is a primary mission of the Financial Reporting Section and is the largest use of section dues. This scorecard will keep section members informed about research projects sponsored or co-sponsored by the section.

Description: Risk management techniques such as stress testing and setting capital targets are fairly well established for life insurers; however, the implementation of these techniques can vary considerably. A fundamental question is how to manage multiple valuation perspectives, and the list of possibilities keeps growing. Companies can potentially consider some or all of the following: U.S. reporting measures (Stat, GAAP), internal measures (EV, VNB, economic capital), international reporting measures (IFRS), rating agency models or other developing standards (ICS, NAIC group capital). This session will begin with a quick overview of the defining characteristics of different valuation frameworks. We will then provide more focused and practical considerations for managing risk and capital under different frameworks, using specific examples to highlight key trade offs.

Description: In this article, the author gives an overview a number of Enterprise Risk Management ERM issues that arise when one considers the impact of income tax on a fair value accounting system.