IFRS 17 Discount Curve Modelling – Theoretical & Practical Challenges
Significant effort has to date gone into determining IFRS 17 discount curves and applicable liquidity premiums. However, valuing liabilities under the specified discount curve, particularly where stochastic valuation principles apply, presents its own set of challenges that insurers are now grappling with
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Agenda
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Presentation: IFRS 17 Discount Curve Modelling – Theoretical & Practical Challenges
- How does the IFRS 17 approach compare with insurers’ past practice in determining illiquidity premiums?
- What is Moody’s Analytics’ approach in setting I17 illiquidity premiums?
- What are the practical modelling challenges that the market is facing?
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SpeakersGavin Conn Director - Insurance Research ERS Moody's Analytics
Will Halley Director - Advisory Service Moody's Analytics
Ruth Moore Director - Insurance Division Moody's Analytics
Alasdair Thompson Director - Product Research Moody's Analytics
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Will is a Director at Moody’s Analytics and leads the Actuarial Modelling Services team in APAC. Will joined Barrie & Hibbert (subsequently acquired by Moody’s Analytics) in 2011 as a member of the modeling services team in Edinburgh, working on model calibration and investment governance services, before moving to Asia in 2012 supporting insurance clients across the region. Formerly a Performance and Risk Manager at Alliance Trust Asset Management, Will has an MSc in Applied Mathematics from Heriot Watt University, a BSc in Mathematics from University Edinburgh and is a CFA charter holder.
Will is a Director at Moody’s Analytics and leads the Actuarial Modelling Services team in APAC. Will joined Barrie & Hibbert (subsequently acquired by Moody’s Analytics) in 2011 as a member of the modeling services team in Edinburgh, working on model calibration and investment governance services, before moving to Asia in 2012 supporting insurance clients across the region. Formerly a Performance and Risk Manager at Alliance Trust Asset Management, Will has an MSc in Applied Mathematics from Heriot Watt University, a BSc in Mathematics from University Edinburgh and is a CFA charter holder.
Ruth is a Director in the Insurance division at Moody’s Analytics, where she works within the Scenario Generator Advisory Services team. Ruth leads advisory services for clients using the Scenario Generator within their capital modelling and valuation functions. In this role, Ruth has gained a broad understanding of the challenges facing insurers, in particular, the challenges posed by regulatory capital regimes and IFRS 17.Ruth has supported a wide range of life and general insurance clients in the implementation of the ESG and the delivery of bespoke modelling and calibration solutions. Ruth is a Fellow of the Institute and Faculty of Actuaries, and holds a MSci in Mathematics from Glasgow University.
Gavin Conn FFA is a Director in the Insurance research team. Gavin’s career began with AEGON UK in 2002, where he was heavily involved in the Solvency II program and the development and implementation of their economic capital model. In his ten years at AEGONUK he worked in both the financial and actuarial departments, where he was Head of Investments and previous to this, the Head of Risk & Capital Modelling.
Gavin re-joined Moody’s Analytics in 2018 after two years working as a Senior Manager in the asset allocation team at Scottish Widows. He had previously worked for four years in the Insurance advisory services team at Moody’s Analytics. He was involved in a number of consulting projects implementing economic capital models for European insurers, with a particular focus on proxy modelling.
Alasdair joined Moody’s Analytics in 2012 from a post-doctoral position at the University of Edinburgh. He currently leads the market consistent calibration stream within the ERS Insurance Research team and is focused on developing methodology for IFRS 17 and decomposing credit risk. Prior to joining the research team he played a key role in the delivery of advisory and implementation services projects, focusing on the use of statistical regression techniques for capital modeling. He has a PhD in Statistical Physics from the University of Edinburgh.
Gavin Conn FFA is a Director in the Insurance research team. Gavin’s career began with AEGON UK in 2002, where he was heavily involved in the Solvency II program and the development and implementation of their economic capital model. In his ten years at AEGONUK he worked in both the financial and actuarial departments, where he was Head of Investments and previous to this, the Head of Risk & Capital Modelling.
Gavin re-joined Moody’s Analytics in 2018 after two years working as a Senior Manager in the asset allocation team at Scottish Widows. He had previously worked for four years in the Insurance advisory services team at Moody’s Analytics. He was involved in a number of consulting projects implementing economic capital models for European insurers, with a particular focus on proxy modelling.
Will is a Director at Moody’s Analytics and leads the Actuarial Modelling Services team in APAC. Will joined Barrie & Hibbert (subsequently acquired by Moody’s Analytics) in 2011 as a member of the modeling services team in Edinburgh, working on model calibration and investment governance services, before moving to Asia in 2012 supporting insurance clients across the region. Formerly a Performance and Risk Manager at Alliance Trust Asset Management, Will has an MSc in Applied Mathematics from Heriot Watt University, a BSc in Mathematics from University Edinburgh and is a CFA charter holder.
Ruth is a Director in the Insurance division at Moody’s Analytics, where she works within the Scenario Generator Advisory Services team. Ruth leads advisory services for clients using the Scenario Generator within their capital modelling and valuation functions. In this role, Ruth has gained a broad understanding of the challenges facing insurers, in particular, the challenges posed by regulatory capital regimes and IFRS 17.Ruth has supported a wide range of life and general insurance clients in the implementation of the ESG and the delivery of bespoke modelling and calibration solutions. Ruth is a Fellow of the Institute and Faculty of Actuaries, and holds a MSci in Mathematics from Glasgow University.
Alasdair joined Moody’s Analytics in 2012 from a post-doctoral position at the University of Edinburgh. He currently leads the market consistent calibration stream within the ERS Insurance Research team and is focused on developing methodology for IFRS 17 and decomposing credit risk. Prior to joining the research team he played a key role in the delivery of advisory and implementation services projects, focusing on the use of statistical regression techniques for capital modeling. He has a PhD in Statistical Physics from the University of Edinburgh.