UL Valuation using Polysystems' ULMaster

[Non-Actuary]

Can anyone help me validate a UL reserve calculation done in Polysystems ULMaster? I agree with GMP, GMF, R Ratio, PVFB, $1 Annuity, Net Premium,etc. but the actual reserve calculation appears to be adjusted from simply taking the calculated value: PVFB - $1 Annuity * Net Premium. I've tried discounting values using interest and mortality and still can't come up with actual numbers. Thanks.

[Carnifex]

Can anyone help me validate a UL reserve calculation done in Polysystems ULMaster? I agree with GMP, GMF, R Ratio, PVFB, $1 Annuity, Net Premium,etc. but the actual reserve calculation appears to be adjusted from simply taking the calculated value: PVFB - $1 Annuity * Net Premium. I've tried discounting values using interest and mortality and still can't come up with actual numbers. Thanks.

These types of things happen when you work with black box software such as Poly Systems. This a question that their help desk is qualified to answer, since I doubt anyone on here is willing to spend the time. If they can't help you, then you should probably get different valuation software.

[jraven]

Are you matching the present values from the VMF, or from a trace report? The trace report contains present values on a monthiversary basis, whereas the VMF contains the values on the valuation date. Poly gets the valuation date present values (along with the resulting reserve) by performing a partial-month adjustment to the monthiversary values; the exact method is described somewhere in the Poly docs.

[Non-Actuary]

Thanks, jraven. I am matching the values from a trace report and I can match the GMF by making the partial-month adjustment and, therefore, get the correct R ratio. It's making the partial-month adjustment to PVFB and PVFP where I can't match. Unfortunately my Poly docs got corrupted and it errors out when I go to the help. Unfortunately we are not on support so the help desk is not an option. I will do some more work to see if I can resurrect the help docs.

[echo]

Thanks, jraven. I am matching the values from a trace report and I can match the GMF by making the partial-month adjustment and, therefore, get the correct R ratio. It's making the partial-month adjustment to PVFB and PVFP where I can't match. Unfortunately my Poly docs got corrupted and it errors out when I go to the help. Unfortunately we are not on support so the help desk is not an option. I will do some more work to see if I can resurrect the help docs.

The help documents should be pdf files in the ulmtable subdirectory.

[Non-Actuary]

Thanks, echo, found them.

[Chuck]

I don't know Poly, but my first guess when I see something like this is that some kind of floor is being applied? (ie ultimate 1/2 Cx, CSV, secondary guarantee, etc)

[Non-Actuary]

Thanks, Chuck, but, no, it's not a floor issue. It's definitely in the discounting of the PVFB and PVFP back to the valuation date from the month-a-versary following valuation.