things to consider in calculating duration for liabiliteis (4)

s7duongs7duong
in CIA.Duration

DURATION CALCULATION by LOB: use same payout patterns as for discounting THEN total duration is a weighted average with weights = APV by LOB.
What does this mean? Could you elaborate on this point? What is APV? Weighted average of what?

Comments

  • Staff-T1Staff-T1

    You calculate the duration of a LoB using the same payment patterns used for discounting. The total duration of your liabilities is then calculated by taking a weighted average of the Actuarial Present Value of each LoB. I think the APV should be replaced since it is not quite APV now but rather FCF + RA which is technically the APV but APV is a term from IFRS4

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