Staff-T1
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A few examples of why your own asset portfolio will not necessarily match your insurance liabilities: * Your liabilities are all CAD denominated while you have USD denominated bonds in your asset portfolio (Currency) * The average duration of …
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I am not sure if I am misreading something but isn't that what was done in the examiner's report? We take 2014 equity and add NI and OCI in 2015 and subtract the dividends
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Humm yes it may seem that you are right when you lay it out in that way. It doesn't really seem intuitive but it must be the case. Personally, I only consider LRC excl LC for PAA and think in terms of FCF for GMA. It keeps it simpler.
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Yeah it seems that way to me too. I cant imagine what else would be in gross investment income besides realized gains + unrealized gains + dividends. Thoughts @graham ?
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I would guess so if they provide you the information? Are you asking me why there is no past year question related to this? Or are you asking me where to find this in the source (page 7)
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No it doesn't work like that anymore. Under IFRS17 reinsurance and direct cash flows are to be modelled separately and there is no similar concept to net loss reserves. One of the reasons you can do a straight LIC - AIC is your Risk Adjustment is di…
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No, that is not right. If you are onerous under GMA, at initial recognition you have 0 CSM and your LRC excl LC which is just your FCF (outflow - inflow) is positive. It is only 0 when you have a CSM because the CSM offsets the FCF. When onerous, no…
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No, they are not the same. LC(PAA) = FCF(GMA) - PAA excl LC (UEP-DAC) LC(GMA) = Max(0, FCF(GMA)) Numerical Example: UEP - DAC = 100 FCF(GMA) = 150 LC(PAA) = 150 - 100 = 50 LC(GMA) = 150. That table is more of referring to how y…
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Yup CSM can be negative for reinsurance held. ARC/AIC represents the future recoverables that we expect from the reinsurer
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LIC and LRC are calculated on a gross basis. The reinsurance cash flows are calculated in your AIC and ARC. And yes, S&S is part of the FCFs
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Yes, that is correct for the first question. Also correct for the second question. I don't think we have seen a question on that yet, but you would weigh the losses with a weight based on market share ((Company EP/ Total EP) + pool usage (non-ceded…
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Whoops my bad - It was too early in the morning Basically what I guess most candidates were writing is that there is a large concentration in terms of investments for this company (i.e. their investment results was highly dependent on the local re…
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Yes there would be a change in CSM of reinsurance held then. The underlying just went from having a CSM of 0 to > 0.
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In a nutshell, yes
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Spring 2017 Q22c is talking about the Square root rule for BCAR. Are you sure you have the right question?
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The wiki explanation is as simple as it gets. For a more comprehensive explanation, you can refer to page 19 in the source
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They are probably going to ask more than 15% tbh - I am sure you are aware that IFRS17 is literally the most important topic in the P&C insurance space in Canada right now
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You can check the sample Excel posted by the CAS that comes with the LRC paper
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Yes I would suppose ORSA would not be mandated for provincially regulated insurers but in practice practically every insurer is federally regulated
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You will be fine to use either the CCIR or MSA formula as mentioned in the Fall 2019 sample examiner's report. The question is ambiguous and normally we will accept any interpretation from the candidate as long as it is reasonable and based on the s…
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Yeah it doesn't matter
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Yes, the above is the correct explanation
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1) Liquidity in discounting here means an ability to "sell" your asset. It would be difficult to pass on your liability to another buyer without compensating them with an illiquidity premium. In other words, it will be difficult for a policyholder t…
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This is because we do not calculate FCFs under PAA. We only do so if we feel the contract if onerous. If we do, we then calculate FCF and book the difference as a LC
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OSFI - office of the superintendent of financial institutions. Federal financial institution regulator. CCIR - Canadian Council of insurance regulator. Facilitate and promote an efficient and effective insurance regulatory system in Canada. CIA - …
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Whoops I missed this - Yes you are right. I checked my calculation files and we do amortize DAC under GMM
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It would seem so @graham
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Minimum Rate is the minimum amount of premium that the insurer has to cede to the reinsurer and the Maximum Rate is the maximum amount of premium that the reinsurer has to ceded to the reinsurer. The minimum premium can limit risk transfer if the un…
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I don't think you would need to know how to derive what they have in the Excel parallelogram. The payment pattern for LRC should be given to you. It is hard to tell since it will be the first time they are testing IFRS17
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yup that should be right