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  #31  
Old 12-16-2009, 10:35 AM
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Carol Marler
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Oh wait, is that 12/31/2011? or are they actually still aiming for 12/31/2010 with the report due in 2011?
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  #32  
Old 12-16-2009, 10:52 AM
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My turn to ask for a link. I have a C3P2 practice note, 87 pages, but I'm not finding anything at the AAA website for C3P3.
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Carol Marler, "Just My Opinion"

Pluto is no longer a planet and I am no longer an actuary. Please take my opinions as non-actuarial.


My latest favorite quotes, updated Nov. 20, 2018.

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JMO is right
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I agree with JMO.
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Originally Posted by Westley View Post
And def agree w/ JMO.
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This. And everything else JMO wrote.
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I feel like ERM is 90% buzzwords, and that the underlying agenda is to make sure at least one of your Corporate Officers is not dumb.
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  #33  
Old 12-16-2009, 10:53 AM
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From the slides:

"If C3 Phase III is not finalized by the Spring meeting, there will not be 2010 implementation"

This was decided on NAIC's winter meeting.

This portion of the, PBA Update 17, webcast was by Philip Barlow.
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  #34  
Old 12-16-2009, 10:57 AM
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Quote:
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My turn to ask for a link. I have a C3P2 practice note, 87 pages, but I'm not finding anything at the AAA website for C3P3.

Sorry. It is in the Practice Notes section:

http://www.actuary.org/pdf/life/life...eNotefinal.pdf
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  #35  
Old 12-16-2009, 10:59 AM
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Thanks very much.
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Originally Posted by Westley View Post
And def agree w/ JMO.
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This. And everything else JMO wrote.
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I feel like ERM is 90% buzzwords, and that the underlying agenda is to make sure at least one of your Corporate Officers is not dumb.
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  #36  
Old 12-16-2009, 11:01 AM
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No problem.
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  #37  
Old 12-16-2009, 05:17 PM
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Default What stochastic model is used in phase3? also why no price inflation?

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I want to make a separate post, because the point concerns me very much. On page 28 of the RBC instructions draft is found "Appendix 1b - Frequently asked questions."
Question 1 asks about the interest rate generator. The unmodified text:


This doesn't seem to refer to the C3P3 generator, http://www.actuary.org/life/phase3.asp which has from time to time been caused to produce 10,000 scenarios.

If we are going to have to use that monster, then we need a commitment from the AAA for much faster turnaround on their updates. Last time I looked, their scenarios were still based on Sept 30, 2008. I'm pretty sure that is not a year-end typo, since it has not changed since it first appeared, well before Sept 30, 2009.

OK, rant mode off.
By the way, which stochastic model is the AAA using to generate the US treasury yield curves (and US + international equity total returns?) at http://www.actuary.org/life/phase3.asp?. Can actuaries use different models if they prefer, and is the "phase3" model intended for use for life, general insurance, health insurance or pensions, or all 4 areas?

I notice that it doesn't seem to include any projections for price inflation, which is something that stochastic models used for UK liabilities would normally need to include (e.g. because pensions in payment normally have some element of annual increase related to price inflation, or because for insurance companies expenses of operating the business are normally at least partly dependent on price [or indeed salary] inflation) - is that not felt to matter in the US context?
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  #38  
Old 12-17-2009, 07:59 AM
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Actually, the C3P3 project is primarily about disintermediation risk for life insurance plans. Variable annuities were subject to C3P2, but idea is to sweep them into the C3P3 generator as well. Then other annuities are next on the agenda.

Some time in the indefinite future, the regulators also want to look at principle based approaches to other life insurance company risks, such as mortality, morbidity and expenses, none of which currently prescribes any stochastic analysis.

By way of background, the primary risks were categorized quite a while back as:
C1 - investment return
C2 - pricing (e.g., mortality)
C3 - disintermediation
C4 - operational and other

The "required surplus" formulas for each of these risks are prescribed by the National Association of Insurance Commissioners (NAIC) with ongoing input from the actuarial profession.
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Carol Marler, "Just My Opinion"

Pluto is no longer a planet and I am no longer an actuary. Please take my opinions as non-actuarial.


My latest favorite quotes, updated Nov. 20, 2018.

Spoiler:
I should keep these four permanently.
Quote:
Originally Posted by rekrap View Post
JMO is right
Quote:
Originally Posted by campbell View Post
I agree with JMO.
Quote:
Originally Posted by Westley View Post
And def agree w/ JMO.
Quote:
Originally Posted by MG View Post
This. And everything else JMO wrote.
And this all purpose permanent quote:
Quote:
Originally Posted by Dr T Non-Fan View Post
Yup, it is always someone else's fault.
MORE:
All purpose response for careers forum:
Quote:
Originally Posted by DoctorNo View Post
Depends upon the employer and the situation.
Quote:
Originally Posted by El Actuario View Post
Therapists should ask the right questions, not give the right answers.
Quote:
Originally Posted by Sredni Vashtar View Post
I feel like ERM is 90% buzzwords, and that the underlying agenda is to make sure at least one of your Corporate Officers is not dumb.
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  #39  
Old 02-09-2010, 01:03 PM
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Did I read THIS right? It seems to imply that C3P3 is going to be ULSG only?!?!?!?!
If so, this could be very good news to several of us.
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  #40  
Old 02-09-2010, 01:11 PM
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Originally Posted by GadgetGeek View Post
Did I read THIS right? It seems to imply that C3P3 is going to be ULSG only?!?!?!?!
If so, this could be very good news to several of us.
ACLI has proposed this limitation, and according to my grapevine, it seems to be on track to happen.

Part of the issue, I suspect, is the way the test calculations proved (again) that XXX reserves are overly conservative.
__________________
Carol Marler, "Just My Opinion"

Pluto is no longer a planet and I am no longer an actuary. Please take my opinions as non-actuarial.


My latest favorite quotes, updated Nov. 20, 2018.

Spoiler:
I should keep these four permanently.
Quote:
Originally Posted by rekrap View Post
JMO is right
Quote:
Originally Posted by campbell View Post
I agree with JMO.
Quote:
Originally Posted by Westley View Post
And def agree w/ JMO.
Quote:
Originally Posted by MG View Post
This. And everything else JMO wrote.
And this all purpose permanent quote:
Quote:
Originally Posted by Dr T Non-Fan View Post
Yup, it is always someone else's fault.
MORE:
All purpose response for careers forum:
Quote:
Originally Posted by DoctorNo View Post
Depends upon the employer and the situation.
Quote:
Originally Posted by El Actuario View Post
Therapists should ask the right questions, not give the right answers.
Quote:
Originally Posted by Sredni Vashtar View Post
I feel like ERM is 90% buzzwords, and that the underlying agenda is to make sure at least one of your Corporate Officers is not dumb.
Reply With Quote
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