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International Financial Reporting Standard (IFRS) 17 Insurance Contracts: The Moody’s Analytics suite of software solutions, models, content, and services helps support the new requirements of IFRS 17 Insurance Contracts.
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Steven Morrison's second whitepaper, Profit Emergence under IFRS 17, turns its attention to the Variable Fee Approach (VFA). Explore his practical insights on financial risk and its impact on contracts with participation features.
An emerging business requirement for North American insurers is the ability to project forward stochastic reserve and capital requirements under various planning scenarios to a specific future date. In this paper we consider applying proxy functions to this task, using function fitting techniques described in our previous research paper Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods.
The ability to project financial statements to understand their sensitivity to market risks, insurance risks, and methodology decisions is critical for an effective IFRS 17 implementation.
This paper details alternative methods for fitting proxy functions to CTE, employing quantile regression in combination with OLS among other techniques. We compare methods according to quality of fit for an example portfolio of variable annuities.
In this paper, we have considered the use of proxy models as a way of overcoming some of the operational and computational challenges associated with measuring future solvency under different market conditions and ALM assumptions.
This paper provides an introduction to various techniques for efficient calculation of the market-consistent value of a portfolio of insurance policies. Two standard approaches to portfolio valuation are considered: (1) Use of different scenarios through different policies; (2) Portfolio compression through the use of model points. Additionally, the use of proxy functions is introduced as a novel approach to valuation of individual policies.