Presentation Title Q4 2002

1. Presentation TitleQ4 2002 Discounting and risk margins for property casualty insurance liabilities Ralph Blanchard, FCAS, MAAA Bob Conger, FCAS, MAAA (Tillinghast) Sam Gutterman, FCAS, FSA, MAAA (PwC) February 15, 2005

2. Discounting & Risk Margins – P/C LiabilitiesOverview • Framing the discussion • Issues associated with discounting, risk margins • Tillinghast • PriceWaterhouseCoopers • Implementation issues • Discounting alternatives – pros/cons

3. Discounting & Risk Margins – P/C Liabilities Framing the discussion Property/Casualty (“general”) insurance claim liabilities Annual policies (norm in many countries, but not all) Obligations may take days to decades to settle Typically not discounted, no explicit risk margin (exceptions exist – Canada, Australia, lifetime claims, etc.)

4. Discounting & Risk Margins – P/C Liabilities Framing the discussion Alternatives • Don’t discount, no explicit margin (primarily status quo) • Discount, no risk margin • Discount, benchmark or “rule of thumb” margin • Discount, theoretical margin Presentations concerning application of discount, risk margin theory • Bob Conger – Tillinghast • Sam Gutterman - PwC

5. Discounting & Risk Margins – P/C Liabilities Tillinghast, PwC presentations