Mortality under PBR: Deep Dive on Emerging Topics

The margin on the mortality assumption is largely prescribed and represents the largest source of margin in principles-based reserves for most writers. This is causing both reinsurers and direct writers to sharpen their pencils when setting their anticipated experience assumption, as well as discretionary elements of associated margin. In this session, the presenters will share best practices and considerations on setting mortality in a PBR context, including but not limited to: Emerging topics and trends in mortality Simplified Issue / Fully Accelerated Underwriting mortality (how to set company and industry mortality when guidance is not available) Mortality segments (how are they defined and developed) Relative Risk tool use (extent of use and output adjustments) Historical mortality improvement on 2015 VBT (standardization of approach) Documentation/disclosure (what regulators are looking for)

Serena Katherine Chao FSA,MAAA (Moderator)

Mary J Bahna-Nolan FSA,MAAA,CERA

Senior Vice President, Head of Product Innovation & Strategy; Pacific Life Insurance Co

Mary recently joined Pacific Life as SVP, Head of Product Innovation and Strategy. In her role, Mary oversees Pacific Life’s product design and strategy, underwriting innovation and data analytics for the Life division. Prior to joining Pacific Life, Mary was most recently Executive Vice President, Head of Life R&D, for SCOR Global Life. In that role, she was responsible for building and shaping the company's global strategic direction for all R&D activities supporting the interaction of mortality, underwriting, medical research, behavioral research and business development. Through Mary’s leadership, she built an industry recognized multi-disciplinary team over a three-year period. Accountable for driving key innovation initiatives at SCOR, Mary oversaw the Plug & Play InsureTech Anchor Partnership and vendor approach, use of big data in risk selection, accelerated and automated underwriting, and helped introduce the use of advanced analytics including machine learning and AI into business processes. Mary was also responsible for experience analysis including expert judgment for best estimate assumptions for mortality and policyholder behavior risks for a $1.7 trillion inforce block as well as mortality and policyholder-behavior risk calibration for SCOR’s internal model under Solvency II. Mary was instrumental in developing SCOR’s strategy and purpose-driven culture and was a mentor in SIGN, SCOR’s women’s leadership development program.Over a nearly 30-year career, Mary served in Senior Management roles, including Chief Actuary, Chief Product Actuary, and Chief Risk Officer for various domestic and global organizations. Mary consulted for seven years with PwC, providing audit and advisory services to life insurance and reinsurance clients, focusing on principles-based reporting, ERM, capital management, M&A, governance, controls, market consistent embedded value, and expense/performance management. Throughout her career Mary has lead strategic and cultural transformation.Mary has a Bachelor of Science from the University of Michigan in Actuarial Mathematics and Economics. She is a Fellow and Chartered Enterprise Risk Analyst in the Society of Actuaries (SOA) and a Member of the American Academy of Actuaries (MAAA). In addition to internal corporate boards, Mary is currently on the board for MIB, served on the boards of the Academy of Actuaries and Society of Actuaries and served on and/or Chaired numerous committees for both organizations. She is a frequent industry speaker and author of several papers.domestic and global organizations.  Mary also spent seven years with PwC where she provided audit and advisory services to life insurance and reinsurance clients, focusing on principles based reporting standards, ERM, capital management, merger and acquisition, governance and controls, market consistent embedded value, and expense and performance management.  Mary has a Bachelor of Science degree from the University of Michigan in Actuarial Mathematics and Economics.  She is both a fellow and chartered enterprise risk analyst in the Society of Actuaries (SOA) and a member of the American Academy of Actuaries (AAA or Academy).    Mary has served on the boards for both the American Academy of Actuaries and Society of Actuaries and has served on and/or chaired numerous committees for both organizations.   She is a frequent speaker at industry meetings and author of several papers and articles.

Timothy C. Cardinal, FSA, CERA, MAAA

President, Cardinalis 1 Consulting LLC

Tim is President of Cardinalis 1 Consulting providing actuarial services including VM-20 and PBR Actuarial Reports peer reviews and GAAP LDTI. He has 29 years of experience in the life insurance industry. For 19 years he was an Executive Officer with a mid-size insurer and was head of the actuarial financial reporting, corporate actuarial, and risk management departments. He is a 2014 SOA Volunteer of the Year recipient, was Exam Chair of the SOA Advanced Corporate Finance & ERM Exam, has been on the CFE Curriculum Committee since 2011, was Project Oversight Group Chair of the LIMRA-SOA VAGLB Report, has served on numerous industry councils and committees, and is a frequent author and presenter on a variety of business, actuarial and risk management topics. Tim is the author of the SOA commissioned PBA Implementation Guide and Sequel and developer of two online PBA courses.

Nina Han FSA,MAAA,CERA

Oliver Wyman

Nina Han is currently working at Oliver Wyman US Life practice as an actuarial consultant. Before joining Oliver Wyman she worked as the marketing actuary for the Swiss Re Group Life and LTD team in supporting their client markets team for 2 years. Before that, Nina spent her first three years at Swiss Re as an actuarial student in the Corporate U.S. Valuation team working on GAAP and EVM valuation of their Life and Health business.

Rachel C Hemphill FSA,MAAA,FCAS

Rachel Hemphill is the PBR Team Lead in the Financial Regulation Division at the Texas Department of Insurance. Prior to joining the TDI, Rachel Hemphill was the Chief Systems Actuary at the California Department of Insurance, heading the CDI’s Office of Principle-Based Reserving.  Rachel's teams first at the CDI and then at the TDI are active in PBR Actuarial Report Reviews as well as in NAIC task force work for Valuation Manual revisions.

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08/31/2020 at 3:30 PM (EDT)  |  Recorded On: 09/10/2020
08/31/2020 at 3:30 PM (EDT)  |  Recorded On: 09/10/2020
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