Risk aggregation under IFRS 17

We are very proud to announce that Tachfine El Alami, PhD student at ISFA Lyon University and part of our Addactis teams, has been selected to present his work on the IFRS 17 standard at the 25th International Congress on Insurance: Mathematics and Economics and at the 2022 European Actuarial Journal Conference!

Here is the abstract of the paper he submited and will be presenting at both events:

The standard IFRS 17 requires a risk adjustment to reflect the compensation the insurance entity requires for bearing the uncertainty associated with non-financial risks. The risk adjustment is one of the primary calculations in IFRS 17 disclosures and is an influential factor to profit reporting and allocation over time.
IFRS 17 does not prescribe any specific techniques on calculation methodologies; insurance entities are free to adopt their own while meeting several qualitative rules to ensure its consistency.

This paper focuses on the recommendations of the paragraph §B88 stating that the risk adjustment is required to reflect the degree of diversification benefit for bearing the risk. We suggest a method for aggregating elementary risk adjustments based on the Solvency 2 elliptical aggregation. We introduce the concept of ultimate run-off correlation as opposed to Solvency’s one-year correlation and provide a theoretical bridge between both depending on a time diversification parameter. We explore correlation structures involving this time diversification and discuss analytical properties in terms of possible correlations values and the resulting impact on the aggregated RA behavior.

July 12 -15, 2022

Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results.
To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.
>> More information and registration here <<

August 22-24, 2022

European Actuarial Journal Conference: The EAJ is the journal of the EAJ Association, a European platform with the goal to increase collaboration among European national actuarial associations in order to promote actuarial science.
Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available.
The EAJ Conference takes place every two years. The association provides the opportunity for academics and practitioners to discuss and present their work. The EAJ particularly focuses on links between actuarial theory and practice.
>> More information and registration here <<

Watch our video and learn how the addactis® IFRS 17 solution can help you:

✓ addactis’ positionning and our understanding of the IFRS 17 issue
✓ Your main challenges as an insurer to implement an IFRS 17 solution
✓ Our vision and approach to tackle them