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The Realistic Reporting of With-Profits Business. Reference Paper for the Discussion

Published online by Cambridge University Press:  10 June 2011

D. J. P. Hare ,
G. Craske ,
J. R. Crispin ,
A. J. Desai ,
D. W. Dullaway ,
M. A. Earnshaw ,
R. Frankland ,
G. A. Jordan ,
M. G. Kerr  and
G. M. Manley
...Show all authors
D. J. P. Hare
Affiliation:
The Standard Life Assurance Company, 30 Lothian Road, Edinburgh EH1 2DH, U.K. david_, Tel: +44(0)131-245-0632, Email: hare@standardlife.com
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Abstract

This paper was written at the request of the Life Research Committee of the United Kingdom Actuarial Profession's Life Board. It concerns the valuation of U.K. with-profits business, with particular attention to the market-consistent ‘realistic reporting’ basis currently being used in the U.K. by the regulator, the Financial Services Authority (FSA). The paper surveys recent regulatory activity concerning the development and introduction of the new valuation approach, and puts it into the context of a survey of alternative methodologies, both deterministic and stochastic. The particular issues arising when considering prudential solvency are discussed, and various approaches are reviewed and compared with market consistent methods. Numerical examples are given, which demonstrate potential issues (regarding comparability and consistency) with the FSA's proposed approach — in particular the sensitivity of results to model calibration. The authors support the FSA's move to a stochastically-based framework for solvency measurement, but highlight some issues which need to be taken into account.

Keywords

AF-ESPIImpedance analysisPiezoelectric discVibrationResonant frequencyMode shape
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 10 , Issue 2 , 01 June 2004 , pp. 223 - 293
Copyright
Copyright © Institute and Faculty of Actuaries 2004

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References

Financial Services Authority (2001). Consultation paper 97: ‘Integrated prudential sourcebook’ (June 2001).Google Scholar
Financial Services Authority (2002a). ‘Feedback statement on the with-profits review’ (May 2002).Google Scholar
Financial Services Authority (2002b). Consultation paper 143: ‘Integrated prudential sourcebook — feedback on chapters of CP97 applicable to insurance firms and supplementary consultation’ (July 2002).Google Scholar
Financial Services Authority (2002c). Speech by H. Davies: ‘Life insurance — a more realistic approach’ (October 2002).Google Scholar
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