Spring 2019 #13

ChristoRoyerChristoRoyer
in OSFI.MCT

Hello,

Is the pfad and mfad still in the syllabus? I don't remember seeing this notation in this reading. It might also be in another one.

Thank you

Comments

  • ChristoRoyerChristoRoyer
    edited January 2023

    Actually, I have so many questions for this question. Probably because part of it is outdated. Her are some of them:

    • In the calculation of the Duration, why was it assumed that the 100K$ of unpaid claims will be 1/3 at t=0.5, 1/3 at t=1.5 and 1/3 at t=2.5? That doesn't seem to match the year claim payment pattern at the end of the question.

    • I suppose the Unpaid Claim Margin is the equivalent of the margin for Liability for Incurred Claims. If we would to calculate it with the new method, what would be LIC and AIC? In this question, it seems the calculation only includes Liabilities

    Thank you

  • Staff-T1Staff-T1

    Pfad and Mfad are no longer in the syllabus. These are IFRS4 concepts while the equivalent IFRS17 concept would be the Risk Adjustment

  • Staff-T1Staff-T1
    • For your first question, the unpaid is 0.25/(1-0.25) at each interval since we are at time 12 months now, not at time 0.
    • LIC would just be your unpaid claims while AIC is technically the ceded claims to reinsurance
  • ChristoRoyerChristoRoyer

    Makes sense, thank you!

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