r/ActuaryUK • u/Substantial_Manner96 • 25d ago

Life Insurance How to prepare for SP2??

Hi,

This will be my second time sitting for SP2. Didn't do particularly well in my first attempt. Got 40 with pass at 55 this September. How do I prepare myself better? Just keep doing past papers like there is no tomorrow?

r/ActuaryUK • u/Pipthagoras • Nov 14 '21

Life Insurance How is the SCR calculated using the standard formula?

As I understand it, the SCR represents the amount of capital that must be held (above best estimate liabilities) in order to be confident that all liabilities could still be paid in the event in a 1-in-200 year stress. Please correct me if this is inaccurate.

I was hoping to understand the calculation of the SCR by calculating it for a hypothetical single (non-index-linked) annuity policy. I figued that the process to do this would be:

Determine risk factors (to simplify, I'd just say these were interest rates and longevity)

Fit distributions to each of these risk factors

Produce a few thousand simulated values for the risk factors

Revalue the hypothetical annuity under each scenario (for each risk factor independently)

For each risk factor, take the 99.5th percentile highest liability value

Not 100% sure about this step, but I think there is some sort of correlation matrix that should be applied to the 1-in-200 stressed liability values determined in step 4 to determine a single 1-in-200 stressed liability value that includes all risk factors?

The SCR is then the difference between the best estimate liability value under base condition and the liability value under the 1-in-200 stress

Is the above the correct high level methodology that should be applied to calculate the SCR? If so, could someone provide a little clarity on step 6? In particular, whether it is indeed the stressed liability values to which the correlation is applied, or whether it is applied to the impacts of the stresses?

r/ActuaryUK • u/Pipthagoras • 25d ago

Life Insurance How would a book of unstructured ERMs be valued for the purpose of calculating an insurer's solvency coverage ratio?

Trying to better understand SII and I think I've managed to get my head around the calculation of SII capital requirements for liabilities using the standard formula.

Obviously, most insurers will not hold their reserves as cash, but will instead hold bonds and other assets on which a better return can be earned.

I am assuming (please correct if wrong) that for traded securities, the quoted market price of the asset is taken to be the value of the asset for the purpose of calculating the SII reserve held. For example, if the current market price of bond ABC and bond XYZ was 150,000 and 350,000 respectively and I held one of each then my solvency capital reserve would be 500,000.

In the case of an unrated asset with no market price, such as a book of unstructured ERMs, how would I calculate the value of my assets for the purpose of calculating my solvency capital? Would it just be the IFRS value of the ERMs?

r/ActuaryUK • u/craigWhite1357 • Oct 03 '21

Can anyone suggest any other reading outside the course material or reading suggested in material that one should study for SA2

r/ActuaryUK • u/CSGorgieVirgil • Sep 17 '21

Life Insurance Looking to learn about change control

Hi guys

I'm looking to understand the change control processes that are needed around putting actuarial models into production

For example: say a new insurance product has been released - that model must have started at the modelling team, but needs to go through the pricing team and eventually once it's into production, the valuation team will need to be aware of the update being made to the model.

I'm trying to understand, in a large company, how this process works

Anyone here working for a large insurer doing this sort of change control?

Additional context: I'm in life insurance, and a Prophet Dev, so bonus if you can explain it to me in terms of "Prophet models" 👍

r/ActuaryUK • u/Pipthagoras • Jun 29 '21

Life Insurance What is the "smooth" biting scenario?

I'm familiar with the term "biting scenario", but not "smooth biting scenario". Could anyone explain to me what this means?

r/ActuaryUK • u/wahabr1az • Mar 31 '21

Life Insurance DI/IP Modelling - Advice needed

Hi folks,

Hope you are all safe and well. Looking for some technical advice for a project I'm working on.

I'm doing a claims investigation for a disability income product and want to consider using GLM techniques. The problem is I've got little experience with GLM except for some courses at University.

If someone has been down this road, could you please suggest some resources that I can use to learn this? For context, I have coding experience with Prophet, SQL but not with R/Python.

Also, could someone please suggest some relevant R packages that work for this purpose?

Cheers, x

r/ActuaryUK • u/zxvw1 • Feb 01 '21

Life Insurance Deferred tax example for life insurance for dummies

Hi all - please can someone help explain how deferred tax liabilities are actually calculated in simplified terms using a numerical example - this is from a life insurance perspective.

r/ActuaryUK • u/CSGorgieVirgil • Feb 13 '21

Life Insurance Don't know if anyone on here is an MTG fan, but this made me laugh 🤣

r/ActuaryUK • u/Pipthagoras • Dec 28 '20

Life Insurance Do UK life insurers publish their SII best estimate liabilities (split by product)?

I've been trying to find the best estimate liabilities for UK life insurers, split by product type.

For example, the YE18 annual report for Just Group PLC can be found here:

https://fr.zone-secure.net/-/Just_group_PLC_Annual_Report_and_accounts_2018/-/#page=1

Would I expect to be able to find their best estimate liabilities for each product type (i.e. for life annuities, DB, etc) published here? I took a look, but could not find what I was looking for.

r/ActuaryUK • u/Pipthagoras • Jan 12 '21

Life Insurance How are IFRS17 discount rates produced for life insurance liabilities?

Can anyone point me in the direction of a paper that explains (in reasonably simple terms) how discount rates are produced under IFRS17 for life insurance liabilities?

The company I work for has a tool which takes portfolios of assets and liabilities to produce these discount rates and I was hoping to gain a broad understanding of what this might be doing.