Running an ORSA on IFRS17 Financial Statements - A Stochastic Approach

This paper shows the results of running ORSA scenarios in an IFRS 17 reporting framework, projecting the financial statements for 5 years into the future.
So far regulatory quantitative impact studies, company specific dry runs and parallel runs have focused only on producing IFRS 17 results for a single valuation period. Companies reporting under IFRS 17 need to incorporate IFRS 17 into their own risk assessment when submitting their 2023 ORSA somewhere in the first half of 2024.
New in this paper is using a full financial projection with ORSA scenarios under IFRS 17, where real world scenarios and risk-neutral scenarios are generated and used for a life insurance portfolio with complex options & guarantees. The goal is to show the effect of risk mitigation strategies on key KPIs, given a set of scenarios and IFRS 17 risk management actions.
All underlying assumptions are shared, such as mortality tables, lapse rates, product features, etc. such that the actuarial reader can reproduce results closely. More importantly, how these assumptions will change over time alongside the updates to policy data and scenarios.
The results give the uncertainty around the portfolio CSM into the future before and after applying risk mitigating techniques, as well as for other key IFRS 17 metrics and KPIs.
Future research may also include the impact of cohort creation granularity, and the impact of other accounting options (e.g. using the PAA instead) which may still be relevant for those countries adopting IFRS 17 in 2024 or later.
 
Find the Q&A here: Q&A on 'Modelling for Our Future World'