Practical Issues in Stochastic Modelling. September 2004 Nigel Knowles (Standard Life) Michael Payne (Scottish Widows). Agenda. Overview of realistic balance sheets The liability model Model points Asset model calibration Modelling assumptions Dynamic behaviour Dynamic decisions
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
Nigel Knowles (Standard Life)
Michael Payne (Scottish Widows)
7.4.168 R The market-consistent asset model in PRU 7.4.167R(1):
(1) means a model that delivers prices for assets and liabilities that can be directly verified from the market; and
(2) must be calibrated to deliver market-consistent prices for those assets that reflect the nature and term of the with-profits insurance liabilities of the with-profits fund.
(1) the experience of the firm in the past; and
(2) the changes that may occur in the future if options and guarantees become more valuable to policyholders than in the past.
7.4.51 R Prospective management actions refer to the foreseeable actions that would be taken by the firm’s management, taking into account:
(1) an appropriately realistic period of time for the management actions to take effect; and
(2) the firm’s PPFM and its regulatory duty to treat its customers fairly.