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Old 12-22-2011, 07:22 PM
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Default NY 7 or NY 8 scenarios

I've been told there are now a set of 8 New York scenarios for cash flow testing. News to me.

Looking at this year's 'Halloween Letter' which is dated Dec 5, 2011, I only see a reference to 7 scenarios--with the allowance for doing more inverted, normalized, etc.

What is the 8th scenario? And does is have a red nose?

http://www.dfs.ny.gov/insurance/life...f/spec_con.pdf


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Old 12-23-2011, 08:00 AM
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Ask the person who told you what specifically they're referring to.
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Old 12-23-2011, 12:26 PM
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When the NY7 were created, many thought that the non-level ones were pretty extreme. Recent reality: we've witnessed volatility that makes some seem more realistic. Appointed actuaries must be more careful about ignoring low-interest risks.
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Old 12-23-2011, 01:48 PM
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I know we're testing a pop-up +500 scenario for the first time this year, but I don't know any details about why or where that came from.
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Old 12-23-2011, 02:12 PM
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Normalized level as the 8th scenario?
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Old 12-23-2011, 05:54 PM
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In the 90's the company I was with used an inverted scenario in addition to the NY 7. Don't remember the specifics, but that was how we got to 8 in the old days.
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Old 12-23-2011, 06:51 PM
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Thumbs up inversion

Quote:
Originally Posted by Steve Grondin View Post
In the 90's the company I was with used an inverted scenario in addition to the NY 7. Don't remember the specifics, but that was how we got to 8 in the old days.
I have seen a number of actuarial opinion memoranda that included inversion as the 8th standard scenario.
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Old 12-27-2011, 03:38 PM
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Yes, it is an inverted scenario. I remember from my CFT days that inverted scenarios were often part of asset adequacy analysis as additional, non-required tests. Also nowadays, I've seen companies run 15-22 scenarios to test other interest rate patterns over longer periods of time (like 20 years) in addition to the 1 yr or 10 yr period in which rates may change under the NY7.

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Old 04-04-2012, 06:12 PM
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Some appointed actuaries are ignoring negative results under low-rate NY7. Others modify them to represent less severe scenarios. Are the NY7 scenarios that include low interest rates out-of-date?
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Old 04-05-2012, 09:13 AM
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See the lead article in the Smaller Insurance Company section newsletter regarding the definition of "moderately adverse" in the context of the Actuarial Opinion and Memorandum.

ETA - Wasn't there also a webcast about this issue? I seem to remember that a survey of participants was done on the question.
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