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PD-12 Update on Changes to MCCSR Mortality Factor Dan Doyle

PD-12 Update on Changes to MCCSR Mortality Factor Dan Doyle. AGENDA. Review proposal Survey results Recommendations. PROPOSAL. Compute volatility component at major product line level, then aggregate:. Standard deviation. Net Face. ln(duration). NAAR. PROPOSAL.

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PD-12 Update on Changes to MCCSR Mortality Factor Dan Doyle

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  1. PD-12 Update on Changes to MCCSR Mortality FactorDan Doyle

  2. AGENDA • Review proposal • Survey results • Recommendations PwC

  3. PROPOSAL • Compute volatility component at major product line level, then aggregate: Standard deviation Net Face ln(duration) NAAR PwC

  4. PROPOSAL • - Groupings based on similar durations and adjustability • - 50% for adjustable products • - Includes ADB coverage's PwC

  5. PROPOSAL • Catastrophe Component • CC = .1 x C x G/H • 50% for adjustable • Sum all lines for total PwC

  6. PROPOSAL • Group - Lack of Seriatim Data • B = 1 for adjustable • B = 2 for non-adjustable PwC

  7. SURVEY • - Second survey sent to respondents of first • - Results for 35 companies are shown PwC

  8. SURVEY PwC

  9. SURVEY • Overall improvements in Ratios – 6% • Companies with higher mortality variance (risk) require more capital • Current formula does not adequately reflect underlying risks PwC

  10. SURVEY • Regulators following up with extreme outiers • Overall comments were favourable PwC

  11. SURVEY • Comments: • No explicit credit for MFAD or premium • Difficulty in projection • Approximation PwC

  12. RECOMMENDATIONS • Lead time (transition) • Continue review • 50% factor • MFAD • Models PwC

  13. Sub-Committee members • Ben Meckler (Chair) • Marc-Andre Belzil • Bill Brath • Gord Challes • Dan Doyle Jean-Guy Lapointe Les Rehbeli Sylvain St-Georges Jim Witol PwC

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