Recent Content by ActuaryLad

  1. ActuaryLad
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    Guaranteed annuity options

    Thanks both - I made an error in suggesting that the BEL would change. Have edited my post above to reflect correction.
    Post by: ActuaryLad, Mar 28, 2018 in forum: SA2
  2. ActuaryLad
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    Guaranteed annuity options

    Hi I think you need to take account of the portfolio of swaptions when valuing the cost of this GAO within the BEL. GAOs are a huge pain for...
    Post by: ActuaryLad, Mar 24, 2018 in forum: SA2
  3. ActuaryLad
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    Volatility adjustment

    Application of VA (and MA) is associated with products with "long term guarantees". Unhelpfully, the Solvency II regulatory framework does not...
    Post by: ActuaryLad, Mar 13, 2018 in forum: SA2
  4. ActuaryLad
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    Volatility adjustment

    The underlying intent of the VA is to reduce pro-cyclic behaviour. A liquidity plan should contain projected incoming and outgoing cashflows in...
    Post by: ActuaryLad, Mar 12, 2018 in forum: SA2
  5. ActuaryLad
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    Volatility adjustment

    Hi Firms must meet certain criteria to use the volatility adjustment (VA) Firms must apply and get supervisory approval to use the (VA). Once...
    Post by: ActuaryLad, Feb 25, 2018 in forum: SA2
  6. ActuaryLad
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    Best Estimate Cashflows and Liquidity

    Hello It sounds like your understanding of how the BEL is calculated is aligned with my understanding. The BEL is supposed to be a best...
    Post by: ActuaryLad, Feb 13, 2018 in forum: SA2
  7. ActuaryLad
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    Impact of reinsurance on required capital

    In short, BEL is presented as gross, and the others net. More details on each point below... BEL is shown without reinsurance on liability side...
    Post by: ActuaryLad, Oct 20, 2017 in forum: SA2
  8. ActuaryLad
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    Non-linearity and non-seperability of risks

    Standard formula does not explicitly allow for non-linearity. Standard formula allows for non-separability to a degree when aggregating risks...
    Post by: ActuaryLad, Sep 27, 2017 in forum: SA2
  9. ActuaryLad
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    Stressed nav in sf

    Thanks Lindsay. Reinsurance recoveries are an interesting one. They are treated as an asset for balance sheet purposes, but when reporting in...
    Post by: ActuaryLad, Sep 20, 2017 in forum: SA2
  10. ActuaryLad
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    Stressed nav in sf

    You are correct that most assets will not change value under typical insurance stresses. However this is not always the case. For example, you...
    Post by: ActuaryLad, Sep 20, 2017 in forum: SA2
  11. ActuaryLad
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    discounting rm

    You should not use the VA or the MA when calculating the risk margin. See guideline 2 (paragraph 1.10) from the guidelines on implementing the...
    Post by: ActuaryLad, Sep 18, 2017 in forum: SA2
  12. ActuaryLad
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    SA2 Volatility adjustment vs matching adjustment

    You can not combine both MA and VA together to discount liability cashflows. You can find the regulations explicitly stating this in Article 77b...
    Post by: ActuaryLad, Sep 15, 2017 in forum: SA2
  13. ActuaryLad
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    Risk Margin vs SCR

    Let me know if you do remember - I am interested to read and find out more about it.
    Post by: ActuaryLad, Sep 11, 2017 in forum: SA2
  14. ActuaryLad
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    SCR - Standard Formula

    Article 12 of the delegated regulations explains how to value intangible assets. Most of the time the value of intangible assets will be 0....
    Post by: ActuaryLad, Sep 11, 2017 in forum: SA2
  15. ActuaryLad
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    Risk Margin vs SCR

    Every insurer I have worked with (albeit they have all been on the smaller side), have treated all market risks as hedgeable. I suspect you can...
    Post by: ActuaryLad, Sep 11, 2017 in forum: SA2