Milliman 基于风险的资本框架中未来可自由支配福利的损失吸收能力.pdf

1、SINGAPORE ACTUARIAL CONFERENCE 202426-29 August 2024Avoid filling this space with text,will not be seen by audienceLoss absorbency of future discretionary benefits in risk-based capital frameworks27 August 2024Presenter:Alex Bryant,Principal and Consulting Actuary,MillimanSINGAPORE ACTUARIAL CONFERE

2、NCE 202426-29 August 2024Agenda1.Risk-based capital(“RBC”)background2.What is loss absorbency(focus on par business)?3.Allowances under different RBC regimes4.Impact of the approach used5.Pros and cons of different approaches6.Loss absorbency in universal lifeSINGAPORE ACTUARIAL CONFERENCE 202426-29

3、 August 2024Avoid filling this space with text,will not be seen by audienceRisk-based capital(“RBC”)backgroundSINGAPORE ACTUARIAL CONFERENCE 202426-29 August 2024Regulatory solvency and capitalAssetsLiab-ilitiesAssetsLiab-ilitiesSolv.marginBuffer for uncertaintySINGAPORE ACTUARIAL CONFERENCE 202426-

4、29 August 2024Solvency margins to risk-based capitalOld“solvency margin”approachX%reserves,Y%SAR,etc.Generic/bluntDoes not reflect specific risk profile of individual insurerRBC approachSolvency margin based on risks specific to each insurerSupposed to reflect potential loss to insurer from each ris

5、kPerform stresses for each risk and measure the lossStresses usually calibrated to a certain probability level(e.g.1 in 200)Evolved over timeSINGAPORE ACTUARIAL CONFERENCE 202426-29 August 2024RBC 101 Required CapitalAssetsLiab-ilitiesSurplusAssetsLiab-ilitiesSurplusSurplusSurplusRC(A)AssetsLiab-ili

6、tiesSurplusSurplusSurplusRC(N).Stress CRC(B)RC(C)RC(D)RC(E)Required capital(“RC”)for each risk is the loss of surplus from each stressRC from all risks are accumulated to give total required capitalAggregation typically allows for diversification effectsSINGAPORE ACTUARIAL CONFERENCE 202426-29 Augus