With the introduction of LDTI Market Risk Benefits, the overall materiality of reserves that are determined by a fair value-based calculation that leverages risk neutral scenarios is increasing. Some clients are working with Risk Neutral Economic Scenario Generators (RN ESGs) for the first time, while others may take this as an opportunity to revisit their existing RN ESG. This session focuses on requirements and best practices related to RN ESGs in the context of Market Risk Benefits (MRBs) from the company, auditor and software vendor perspective.
These perspectives include:
• Requirements of a RN ESG• Range of potential models• The right fit of RN ESG for FIA vs. VA• Practicality of meeting BAU reporting timelines• Syncing ESG assumptions with liability risk neutral dynamic assumptions• Required audit rigor compared to RN ESG for FAS 157• US vs. European requirements• Generating nested risk neutral scenarios for Forecast
Attend this session and you’ll gain a deeper understanding of actuarial practices and pitfalls related to the use of RN ESGs for LDTI MRBs.
Track: Protecting Long-Term Econimc Progress