Staff-T1
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I explained the difference between a policy term and contract boundary in my first answer to the OP. It is basically very similar to the length of the policy with some minor nuances. A contract boundary is set during negotiations and represents the …
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There is already a catastrophe component in the standard BCAR score. This is calculated first. We then test the impact of a 1 in 100 PML event after. So the order is standard BCAR score -> 1 in 100 PML event
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Ignore the phase-in method (PML 420). It is no longer relevant going forward
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The reason that they are doing this is because we are looking for the cumulative excess/deficiency ratio which means we have to take into account all calendar years that AY 2011 has gone through. There is a difference between the cumulative excess v…
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Basing an internal target on ORSA basically means setting an ICT that is independent of the supervisory target. The supervisory target capital is just 150% and is pretty arbitrary. You can't just say well I would like to be 30% of the supervisory …
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I believe you mean the *second catastrophe event is a 1 in 100 PML event. But otherwise that seems like an acceptable answer
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Its from an older version of the BCAR paper which has since been updated. The wiki is the most updated version that you should remember for the exam
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In general, premiums are always positive on an expected value basis. If a line of business is unprofitable, you would just not write it. Also, just because your expected value is positive, does not mean your surplus will increase. If that is the cas…
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I think the key here is that policies and procedures are not focuses of a program, but aspects that tie into certain focuses. For example, a focus could be risk mitigation. Adequate documentation could then be provided as to how a firm should determ…
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I don't think it is outdated, no. These are all the things I consider when I actually do my FCTs. These statement you have made are all implicit in the FCT paper. They did not list it out nicely into a single list for you of course so you'd need to …
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Im not sure I follow - cash is included in short term investments. Short-term investments are ultra liquid investments such as short term government bonds, term deposits and cash
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Yes, exactly. You just need the OCI for CY 2017, which is the difference in 2017 AOCI and 2016 AOCI
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In-force here probably means all in-force and previously in-force policies. Although I do agree with you that the wording should be changed to clear up the ambiguity
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Are you talking about the randomly generated calculation problem? I am not seeing what you are seeing - All that problem is doing is calculating the ERC using the 2 different approaches (model and standard). I do not see a max(formula 1, formula 2)
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Your initial understanding of (A + B + C) = reinsurance assets and (D + E + F + G + H) as collateral is correct. This calculation is mainly done to adjust the capital available. There is no risk charge associated here. My understanding is that OSF…
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What is meant here is that A* = GMM ARC + PAA ARC. A* includes both the PAA and GMM estimate of the LRC. You are correct in that we do not need the GMM ARC, which is why we are removing it from A*. Look carefully at the components of A, the GMM ARC…
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Yes that's right. I've updated the excel here
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You can usually see from the way the question is structured. For example, they will not give you both discounted and undiscounted reserves. Also, if they provide you pages from the P&C it's a pretty big hint that they are looking for the CCIR ca…
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I think what they're implying here is that they are evaluating for a loss component, not that there is necessarily a loss component. But yes if they already have a loss component then it would for sure be onerous, which would be too simple and clear…
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Yes that's right
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There isn't a method of moment calculation in the LRC paper. With regards to the excel exhibit, I think you should be familiar with the calculations but I don't think you'd need to be able to reproduce the whole document exactly in the exam
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No, you're supposed to deduct (D+E+F+G+H) - (A+B+C) if it is greater than zero. I've attached the corrected files here
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Regarding the time AAD adjustment: 1. It is only applicable to the LRC 2. Yes that's correct. I doubt they would require you to perform this calculation, what more for policies with terms > 12 months. I think it's safe to just memorise that …
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Future acquisition costs not being discounted implicitly assumes that all future acquisition costs will be fully incurred at day 1, so there is not need for any discounting. DAC is not used in the GMM and does not need to be discounted. You're confu…
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Yeap it's a typo. Your understanding is correct
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You can use credit score for Auto, just not in Ontario. Grouping just refers to ensuring similar risks are placed together. If credit score isn't a factor for rating, then why shouldn't they be grouped together as they'd be seen as virtually ident…
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No I'm not saying that. If you're discounting premium liabilities or LRC in this case, you need to "shift" the accident date by subtracting (0.5-0.33). The derivation relies on sole calculus that you do not need to know but is basically because you'…
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As I mentioned above in October last year, the implicit assumption here is that future acquisition costs are incurred immediately, which means while they should be discounted, they aren't because they're not spread out over the term of the policy wh…
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Part 4: Yes, we have one column for the cancellations adjusted DAC and the other column for the unadjusted DAC. What you are doing is removing the expenses related to policies that are expected to be cancelled (net DAC - gross DAC) sometime during t…
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Yup that's right