Description: Emerging Applications of ESG Methods offers ground-up insights on cutting edge applications of economic scenario generation. The course will focus on the incorporation of climate change risk in scenario modeling and investment applications of ESGs. The following topics will be covered: Approaches to climate risk modeling. Climate risk is very different than classical financial economic risk. Radical uncertainty is amenable to scenario analysis and lack of data. Building special deterministic scenarios that go beyond NGFS requirements as well as bespoke scenarios. Holistic Approach to Climate Risk Modeling. Overview of different Climate Risk Modeling Applications. Use of ESG scenarios for Strategic Asset Allocation (SAA). Liquidity risk management.

Description: Hear AM Best rating analysts discuss the rating process and the best capital adequacy ratio (BCAR), a quantitative foundation for AM Best’s assessment of carriers’ financial strength. The benchmarking of BCAR scores for various company types (national MCOs, BCBS plans, smaller regional plans) will be discussed. Look at how changes in investment and underwriting environment impacted the results over the past several years. Further, AM Best’s view of the quality of capital and various factors impacting the overall assessment of the balance sheet strength will be discussed.

Description: This session will focus on what is new and coming at the Appointed Actuary (e.g., Actuarial Guideline ((AG)) 53, equity testing, etc.). We will provide highlights from the updated AAT Practice Note. A particular focus will be paid to asset classes that have received regulatory attention recently (e.g., commercial mortgage loans, collateralized loan obligations ((CLOs)), etc.).

Description: Our panel will discuss techniques for efficiently modeling assets and liabilities while minimizing the computational expense of full-blown nested Monte Carlo simulation. These techniques include: • Neural networks • Data clustering and selection of representative contracts • Scenario reduction • Proxy functions for estimating the value of complex assets and exotic derivatives embedded in liabilities. Attendees will learn about the theory behind these techniques and implementation practicalities, and we will present case studies illustrating their benefits.

Description: Discount rate curve construction has been a topic of renewed interest following recent changes in financial reporting standards. Interpolation is a key component of curve construction and can be conducted via an assortment of methods. This article explores six popular interpolation techniques and assesses how they perform with regards to desirable features of such methods: continuity of forwards, stability and locality, simplicity, and market consistency.

Description: Following recent market volatility and regulatory changes, market data and market-consistent economic scenarios are at the core of the valuation of liabilities and market risk benefits under regimes such as IFRS 17 and Long Duration Targeted Improvements. This webcast will explore options available to insurance companies to establish stable long-term volatility assumptions and discuss how the choice of financial data can impact the calibration and the simulation of credit spread scenarios.

Description: CMS has required hospitals to publish their chargemaster rates, cash discounts and negotiated rates as of January 1, 2021. Our panel is comprised of a data strategist, an executive from a large hospital system and an actuary.

Description: The NAIC continues to move ahead with the GOES (generator of economic scenarios) project for the transition to a new real-world economic scenario generator (ESG) prescribed for principle-based reserve and capital calculations. This session will provide a detailed project update from the regulator and practitioner perspective. An overview of model details and methods that have been decided, what remains to be determined, and the projected timeline for implementation will be discussed. Recent developments such as the industry field test and NAIC model office testing to assess the potential impact on reserves and capital will be discussed as will a review of the implementation of the stochastic exclusion ratio test (SERT). We will also discuss the components of the ESG model and the associated scenario sets the NAIC has exposed with respect to target and acceptance criteria. At the conclusion of this session, attendees will understand the current status of the NAIC GOES project and its projected timeline and will be able to describe the components of the model and how the model has been calibrated and validated. Attendees will also appreciate the remaining challenges in bringing the model to full implementation.

Description: The National Association of Insurance Commissioners (NAIC) project for the transition to a new real-world economic scenario generator (ESG) prescribed for principle-based reserve and capital calculations selected a vendor in the fall of 2020. The American Academy of Actuaries and other interested parties have been assisting the NAIC in this transition. Over the past four years, extensive analysis, model validation, and comparison work has been done. There have been many updates on the project but few opportunities to obtain an in-depth understanding of the new features of the new ESG and its impact on reserves and capital. Practitioners are very interested in the questions: - How different are the scenarios from the Academy/Society of Actuaries ESG and the new NAIC ESG? - How different are the models and techniques used to create the scenarios in both generators? - Is there a significant difference in capital and reserve requirements for model office tests between the two ESGs? - Are there concerns with the new NAIC ESG? The session addresses each of these questions in detail. At the conclusion of the session attendees will appreciate the key differences between the model structure and scenario performance of the two ESGs and will understand the differences in capital and reserve requirements for model office tests across the two ESGs. Attendees will also learn how the initial yield curve fitting differs between the models, about fund mapping considerations, and the interpretability of parameters in the new NAIC model.

Description: Come discuss modeling costs and its governance, as well as introduce some platforms for more granular asset modeling.