Events Library

In this concluding session of our three-part series, our speakers will explore recent developments in insurance solvency regulations across Asia, focusing on Japan’s Economic Value-Based Solvency Regulation (ESR) and Korea’s K-ICS. We will examine the design, implementation status, and key challenges of each framework. In Japan, preparations are underway for the implementation of ESR in the fiscal year ending March 2026, with key issues including strengthening governance, managing interest rate risk, and enhancing disclosure practices. In contrast, Korea has already adopted K-ICS, facing practical challenges such as alignment with IFRS 17 and disparities in company readiness. The session will also discuss how both systems align with international capital standards (ICS) and the strategic responses required from insurers. It will provide practical insights for industry professionals navigating this period of regulatory transition.

We present an individual claims reserving model based on the conditional Aalen–Johansen estimator, as developed in Bladt and Furrer ((2023a) arXiv:2303.02119.). In our approach, we formulate a multi-state problem, where the underlying variable is the individual claim size, rather than time. The states in this model represent development periods, and we estimate the cumulative density function of individual claim sizes using the conditional Aalen–Johansen method as transition probabilities to an absorbing state. Our methodology reinterprets the concept of multi-state models and offers a strategy for modeling the complete curve of individual claim sizes. To illustrate our approach, we apply our model to both simulated and real datasets. Having access to the entire dataset enables us to support the use of our approach by comparing the predicted total final cost with the actual amount, as well as evaluating it in terms of the continuously ranked probability score.

Latin America is facing the problems of ageing and the results of social security schemes (pensions) based on pay-as-you go basis or individual capitalization. In both cases, respectively problems are arising, due to the negative gap between incomes as contributions and expenditures, and on low replacement rates. My experience in actuarial valuations and pension reforms indicates that there is a need of sound actuarial participation, with elevated level of professionalism and applying ISAP-1 and ISAP-2, with high abilities in communication. Also, negotiation and transparency are important subjects. Different participants, like social and economic sectors, implies a complicate area to achieve an agreement. What actuaries can do? We must work in teams, without losing our identity and professionalism, combining quantitative activity with soft abilities, to obtain consensus and at least, to get a reasonable medium term interim solution. The paper will show guidelines to perform an appropriate work in this social conflictive area of actuarial practice.

Labor markets, typically subject to ageing population, today are sensible also to the implications still deriving from the recent Covid-19 pandemic. In such scenario, it is increasingly challenging to ensure that social security systems continue to meet their objectives of adequacy of benefits and sustainability constraints. Financial sustainability and adequacy of benefits are two sides of the same matter and must be jointly considered. In the medium to long term, unsustainable pension systems may not be able to guarantee enough level of the benefits. At the same time, the financial sustainability, pursued through a compression of the benefits, may be not socially feasible. In this work the so-called Pension Wealth indicator (PW) is used to measure the adequacy on benefits provided by social security schemes, in the light of the after effects of the pandemic with a focus on the Italian workers’ protection system. PW is the ratio between the actual value, on pensionable age, of all the pension payments that are expected to be paid (generally for the entire life) and the last salary received. PW is highly related to the future mortality trends and its study may give useful information on how to face the recent shocks on expectancy of life. PW can be thought as the lump-sum needed to buy an annuity giving the same cash flow as that of a generic annuity. The PW is generally referred to old age pensioners, but the aim of this study is to present a redefinition of PW with reference to specific vulnerable workers: the Italian injured worker broken down by accidents and occupational diseases and by impairment level.

The same processors that once fueled the Bitcoin gold rush and now train cutting-edge AI like ChatGPT are quietly revolutionizing actuarial science. While cryptocurrencies harnessed GPU power to mine digital coins, and AI uses it to process billions of data points, actuaries are discovering these chips can run complex mortality simulations in minutes instead of days. What began as hardware for gaming graphics has become our most powerful tool - turning overnight batch processes into real-time analytics and making trillion-scenario modeling suddenly practical. This presentation will explore how this transformative technology is reshaping our field, and why the actuaries who master GPU computing will lead the next wave of insurance innovation.

This paper is an extension of the “Insurance Risk with Markov Chain Monte Carlo (MCMC) and Method of Moments (MM)”, the method is applied to a portfolio of insurance policies with guaranteed profitability and surrender option. Retrospective valuation is associated with the debt that is reported to the policyholder by the insurer. On the other hand, the insurer performs the prospective valuation of the cash flow that must be discounted with a yield curve, and which must contain the surrender option by the insured. For discrete-time stochastic scenarios, it is feasible to determine the structure of the probability distribution of future flows, which is not necessarily a normal distribution. It will be demonstrated by MM that for insurance with a surrender option, such as endowment or whole life, the expectation of future flows E(BEL) and its respective future variance V(BEL), can be obtained, both in present value, and as a consequence, calculate the contractual insurance margin (MCS) of the insurer. It will also be shown that by MCMC the convergence of the mean (BEL) and sample variance σ^2 (BEL), the probability distribution of future (MCS) flows will be graphed in 2 and 3 dimensions as a function of time. Likewise, it will be demonstrated that there is no single scalar statistic that, when multiplied by the σ(BEL) standard deviation, results in a standardized risk adjustment.

This research discusses the design, implementation, and performance of AI agents to meet regulatory standards and industry requirements. AI-enhanced ALM can better manage risks and optimize portfolio performance under various market conditions compared to traditional methods. The integration of AI in ALM processes presents promising opportunities for actuaries to advance their risk management frameworks, providing enhanced value to stakeholders in volatile economic landscapes.

Advanced solvency frameworks, such as Solvency II, require both a regulatory balance sheet separate from a statutory one and a standardized solvency capital model, imposing high demands that are very challenging in both setup and oversight for regulators and operators in non-mature insurance markets. This paper proposes a simplified risk-based capital scheme based on the Premium Allocation Approach (PAA) under IFRS 17, aligned with the International Association of Insurance Supervisors (IAIS) Insurance Core Principles (ICPs), to provide an accessible and practical solvency framework tailored for such markets. This approach streamlines capital calculations, minimizes data demands, and simplifies compliance processes, making it feasible for insurers and regulators in developing countries to adopt a risk-based regime without the extensive rigor of mature frameworks. As a simpler alternative, the framework is flexible enough to accommodate additional accounting standards, such as GAAPs, making it suitable for a range of regulatory environments. The framework facilitates faster implementation of risk-based regulatory systems, supporting financial stability and growth within different insurance markets. It offers a balanced solution that maintains alignment with key principles of capital adequacy and solvency, while addressing the specific constraints faced by developing nations or small insurers.

The paper breaks down the contingent liability of a universal healthcare system into two components: the implicit healthcare debt and the pay-as-you-go asset. It estimates these two components in several countries (with different demographic structure) and presents international comparisons. The results show the direct correlation IHD and the age distribution per country. The paper recommends a partial prefunding mechanism in order to reduce the IHD.