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    Steven Morrison

    IFRS 17 researcher; Economic Scenario Generator software designer; Least Squares Monte Carlo proxy modeling technique pioneer

    Steven Morrison and his team of actuaries and quantitative analysts generate modeling techniques and tools for insurers. Based on his research and advisory work on developing modeling methodology, insurers can project their financial statements, determine risk and capital assessment, and make sound decisions. Currently, Steven’s focus on IFRS 17 specifically helps insurers understand and communicate profits.

    education
    The University of Edinburgh: MSc, Financial Mathematics
    University of Glasgow: PhD, Theoretical Physics
    Expertise
    solutions
    Moody's Analytics | Economic Scenarios

    Economic Scenarios: Moody's Analytics provides internally and globally consistent economic, regulatory, and custom scenarios.

    International Financial Reporting Standard (IFRS) 17: Insurance Contracts

    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.

    Moody's Analytics | Regulatory Capital

    Regulatory Capital : Moody’s Analytics insurance regulatory capital solutions help insurers comply with Solvency II and other similar regulatory regimes.

    TOPICS

    Econometric Modeling: Fully transparent econometric and statistical models to assess performance of geographies, financials and various asset classes.

    Liability Valuation: Process of valuing a company's liabilities for financial reporting purposes.

    Economic Risk Assessment: Quantitative economic assessment to help you understand the impact of forward-looking changes on the performance of your business and portfolios.

    Published Work
    Whitepaper

    The use of carrier approximation methods for projected capital metrics with an application to the IFRS 17 risk adjustment.

    In this paper we explore the use of the carrier approximation for the multi-year projection of risk and capital metrics. Through an annuity book run-off case study we outline the key factors influencing the performance of the carrier method when applied to the projected IFRS 17 risk adjustment and the projected Solvency II solvency capital ratio (SCR).

    August 2019
    Article

    Profit Emergence under IFRS 17 - VFA

    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.

    November 2018
    Whitepaper

    Fast Projection of Reserve and Capital Requirements with Proxy Functions

    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.

    October 2018
    Article

    Profit Emergence under IFRS 17

    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.

    September 2018
    Whitepaper

    Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods

    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.

    March 2018
    Whitepaper

    Solvency In Sight - New Tools for Understanding the Impact of Investment Decisions on Capital

    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.

    October 2017