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Web Session "IFRS 17: Investment Components and Other
Non-Service Payments" on 11 May 2022
The IASB issued 2017 the new comprehensive insurance accounting
standard IFRS 17, with amendments issued in 2020. In line with IFRS
9, IFRS 17 does not permit to present receipts and repayments of
deposits, in IFRS 17 referred to as investment components, in
P&L. In general, all payments which do not represent the
provision of services are excluded from presentation in P&L.
The identification of such payments requires judgment and the
proper exclusion of those amounts from P&L is a challenge for
the accounting systems.
The needed identification of cash flows not related to services
introduces new considerations in the accounting process. Those will
be discussed and approaches to achieve an adequate reflection in
presentation. That does not only apply to contracts with savings
elements, as in life insurance. As well non-life insurance
contracts and reinsurance contracts often contain investment
components and premium refunds. As well examples from those areas
are presented and discussed.
further details
Web Session "IFRS 17: The Variable Fee Approach - Basics
and Challenges" on 25 May & 1 June 2022
Starting from the revenue recognition concepts of fee-based
services, we will discuss the qualification criteria of IFRS 17 for
the VFA. Basis are certain contractual features, including the
identification of the underlying items belonging to the contract.
Further conditions need to be met to qualify insurer's share in the
surplus as (variable) fee. Other contractual features like
inheritance and mutualisation may add complexity to the measurement
of the cash flows under a contract and their effect is explained.
Changes of the overall variable fee expected to be received under
the influences the subsequent measurement of the Contractual
Service Margin, the key difference of the VFA to the general model.
The explanation of those differences will be the main part of the
second session. However, the web session cannot focus on
consequences and solutions for specific jurisdictions.
further details
Web Session "Neural Networks Meet Least Squares Monte
Carlo at Internal Model Data" on 8 & 15 June
2022
Solvency II aims at implementing a set of robust solvency rules
for insurance companies, which takes the most material risks into
account in an adequate way. In principle, the Solvency II framework
requires the derivation of the full loss distribution of the
available Own Funds, with the goal of deriving its correct
Value-at-Risk. This particularly does not only involve a market
consistent calculation of the economic balance sheet items at the
valuation date but also its re-evaluation for each possible
scenario at the risk horizon (one year within Solvency II).
Most insurance companies avoid this enormous effort by applying
the standard formula approach to calculate the Solvency Capital
Requirement (SCR). But the largest life insurers usually stick to
the original Solvency II requirement and develop a full-scale
internal model which allows them to calculate the economic balance
sheet for thousands of one-year scenarios. The focus of this web
session is on presenting a regression-based Monte Carlo approach in
order to estimate the SCR. By doing so, we challenge the
state-of-the-art Least Squares Monte Carlo approach based on
polynomials by the most promising machine learning technique,
namely ensemble of neural networks.
further details
EAA's Climate Day 3.0: "Actuaries & Climate Scientists
Join Forces" on 13 June 2022
It is becoming increasingly evident that the actuarial community's
understanding of climate risk is not yet as developed as its
expertise on traditional insurance risks such as mortality risk.
However, we have no good excuse to continue operating actuarial
projection models over horizons of 40 years and beyond, without any
allowance for climate change impacts. Yet how can we bridge the gap
between complex climate models and complex actuarial models?
In our Climate Day, we address this challenge by leveraging
actuarial know-how as well as that from climate science and data
science in order to discuss the following questions:
- Which climate data challenges are we
facing and how can we overcome them?
- How are atmospheric circulation, surface
weather and climate extremes linked?
- Why does Net Zero represent a unique
investment opportunity?
- How can we measure alignment of an asset
portfolio with Net Zero?
further details
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