Staff-T1
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I am not sure I quite understand your question here. If the insurer uses only PAA, then you can take column (62) as A as is. If the insurer uses both PAA and GMM you need to make the modifications as per the wiki
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Which Excel file from the CIA are you referring to specifically? I checked the sample LRC file from the LRC paper and it is also calculating RA as RA%* Discounted losses and ULAE as I expected
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Discounted losses and ULAE are the PV of future cash flows so it's the same thing - I'm having some trouble with my Excel for some reason so I'll check to see exactly what you are referring to tomorrow to see if there are any oddities there
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For your following questions: 1. The statement "choosing a discount rate" here does not preclude you from using either a top down or bottom up approach. It merely asks that you select a liquidity adjusted risk free rate which can be done with eith…
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Yes you are right. It should be PAA and GMM for both. It's a typo on the second one. I'll get that fixed, thanks!
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Either way is acceptable as long your assumptions are stated. You can discount it at the middle of the year; you'd just need to state that you are assuming that capital is released when claims are paid. Or you can state that capital is released at y…
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According to the paper in the last paragraph where this is discussed, they do not. Unless you are referring to a case after this paper was written that sets precedence? The argument in this paper is that they should receive after tax amounts as comp…
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You can say that legislation is more uniform, treats everyone equally, less room for ambiguity, easier to enforce, promotes public confidence that rules are being adhered to, increased accountability through enforcement, etc. I believe there was an …
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Spot rates at different time periods. Its calculated using the top-down or bottom-up approach as discussed in the paper
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It is still relevant. I'm not sure what file you are looking at but this is the correct Excel
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You have to net off the release of your ARC from your profit when coverage is provided. Since the RA increases your ARC, more RA means more profit is netted off
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Yes, but I'd like to make the comment that the risk adjustment for financial risk is not explicitly calculated but rather included implicitly in the calculation of the discount rate
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Whole account reinsurance is basically reinsurance on your entire class of risks, for example an XOL coverage on your entire book vs a property per risk for each individual risk. To estimate the losses in the tail of the distribution (which is where…
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Per event limits and other events are obviously considered for cat reinsurance. What the 2015 question is testing specifically is if you understand that certain non-cat reinsurance like a property per risk or surplus share can cover catastrophic lo…
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There is no longer a thing called MFADs under IFRS17. The RA is conceptually similar to MFADs but not exactly. What you need is a margin for uncertainty which exists as the RA, but you can't call them MFADs. Also, the RA is applied on the CFs now, w…
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This is not true - You can use either method whether cash flows vary or do not vary with returns. Where are you seeing this in the material?
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"so LC = FCF(GMA) - LRC excl.LC (PMA) where FCF (GMA) = UPR x (ULR + ULAE) - discounting + RA + other costs; LRC excl.LC =premiums received (at initial recognition) - acquisition cash flows at that date (unless already expensed) + any assets for a…
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Yes that is certainly possible, but it would have to be a substantial deterioration as you are releasing around 25% of the LC each quarter naturally
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In terms of the difference between MSA ratios and MSA legend, it is not clear what should be the right denominator to use without the CAS explicitly saying anything about the relationship between both papers. We know that MSA legend is an update, so…
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Yes it looks good now
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You need to expand the cells in the Excel a little to see the whole thing
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I'm traveling right now, and I'll get back to you when I'm back on the first week of January!
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I'll confirm it when I'm back first week of Jan - Just travelling without a laptop so can't open Excel files!
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Different groups of contracts are measured differently. For example, warranty contracts could be measured under the GMA while personal property contracts are measured using the PAA approach. In the table above, they are aggregating all PAA and GMA A…
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You start by determining how you'd want to calculate your RA for reinsurance held. If it is the difference in risk position, you can use one of the 4 methods in step 2. Usually for the cost of reinsurance, you'd directly use the reinsura…
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It would be the same as with the ARC. For reinsurance contracts held, it's AIC and ARC. The "A" stands for Asset here since it is something that you are owed from the reinsurer. LRC and LIC are for direct and reinsurance issued and that's why the "L…
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Which article are you looking at specifically?
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yes
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I'm not sure what you are referring to - But discounted Cost of capital is calculated by multiplying the capital needed at each period by the discount factor and CoC and then summing them
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I see what you mean yeah. I'll fix the typo