C3 Phase III
Generator model for interest rate scenarios
The Academy's Economic Scenario Work Group (ESWG) has developed a proposed scenario
generator model that could be used in interest rate modeling for life and annuity principles-based capital and reserve calculations.
About the model
The Academy's proposed model includes 10,000 interest rate scenarios, based on the September 30, 2007 U.S. Treasury curve, and a scenario picking tool.
This will allow companies and Academy work groups to test drive the scenarios
while the ESWG continues to work on requirements for companies to use alternative
generators. In the near future, a scenario generator itself will be released,
and it will allow scenarios to be generated for alternative dates.
It is anticipated that eventually the interest rate model will apply to C-3 Phase I calculations as well (but no 2007 requirements regarding the interest rate model will be changed for C3 Phase 1).
Comments and suggestions invited
The ESWG welcomes comments and suggestions, especially from those who have applied scenarios to a unique block of business. Please send comments to Academy Life Policy Analyst Natalie Jones (jones@actuary.org).
Legal disclaimer
From time to time, the American Academy of Actuaries makes available through its website or other means various scenarios and tools. The Academy takes reasonable steps to develop such scenarios and tools consistent with accepted actuarial principles and practices. However, the Academy does not warranty these scenarios and tools as fit for use in any respect, and no warranty should be assumed or implied by any individual.
Actuaries, insurers, regulators and other parties use the Academy's scenarios and tools at their own risk. The Academy disclaims all responsibility for any party's use or misuse of its scenarios or tools and for any work product generated through use or misuse of the scenarios and tools.
Background
The September 2007 ESWG report to the NAIC's Life and Health Actuarial Task Force provides background and other details about the work group's proposed scenario generator model and calibration criteria.
Stats calculator
The ESWG has developed a tool that will calculate statistics for interest rate scenarios. The tool is designed to support the interest rates in the file format created by the ESWG. It can also support other interest rate scenarios if they are in the correct file format.
Documentation is provided regarding the required format for the input file for the stats calculator. In addition, an alternate file format is supported that the utility will convert to the required format.
More info
For more information, please contact Life Policy Analyst Natalie Jones at the Academy (202.223.8196, jones@actuary.org).
|
About us
