Practical considerations for Orsa modelling

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This paper outlines three key areas of the own risk and solvency assessment (Orsa) requirements, for which we observe a need for further improvement to actuarial modelling techniques. The Orsa guidance establishes that an Orsa report should contain analysis that includes:

  • A forward looking assessment of risk and solvency levels for future years (balance sheet projection capability)
  • An ability to report on the monitoring of solvency on a continuous basis (solvency monitoring)
  • A sufficient analysis of risk through tools such as stress, scenario and reverse stress testing

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