The IFRS 17 regulatory framework requires insurers to define the discount curve with respect to the liquidity characteristics of their liabilities. During this web session, we will review the regulatory requirements and the two main approaches recommended. We will then detail the steps involved in the construction of the IFRS 17 discount curve and highlight the various possible choices.

This web session will first provide a presentation of the challenges related to the definition of the risk-free rate curve. This will be followed by a presentation of the approaches to assess the illiquidity of liabilities based on the link between the illiquidity of assets and liabilities. The presentation will then provide an overview of methodologies to quantify the illiquidity premium of an asset portfolio.

Our research and development work on this topic, coupled with our benchmark vision of market practices, will allow us to present a wide range of available approaches and to describe their advantages and disadvantages from an operational insurance implementation perspective. 

Organised by the EAA - European Actuarial Academy GmbH.

The web session is open to all interested persons working within the insurance industry.

Technical requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for this online training). Please also make sure that you are joining the web session with a stable internet connection.

The aim of this online training is to provide an overview of the challenges related to the construction of the IFRS 17 curve and the assessment of the illiquidity of liabilities.

The language of the web session will be English.

Pierre-Edouard Arrouy
Pierre-Edouard is leading the financial modelling team inside the Research & Development section of Milliman France; his consulting work relates to the design, the implementation and the review of financial models within risk-neutral and real-world ESGs. His current research topics deal with calibration methods for interest rates models with stochastic volatility, modelling of credit risk, as well as the pricing of complex derivatives. He is also actively involved in the development of the cloud based ESG solution Milliman CHESS.

Grzegorz Darkiewicz
Grzegorz is a senior consultant with Milliman, leading Milliman Research and Development activities for Italy and Central & Eastern Europe. Grzegorz has 20 year experience in actuarial field and specializes in financial modelling, asset-liability management, valuation and risk management. In 2005 he earned his Ph.D. degree at Catholic University in Leuven (Belgium). He lead development of financial modelling tools for asset-liability management and ESG.

Russell Ward
Russell is a Principal with Milliman, focusing on capital modelling, guarantee product development and ALM all of which involve the use of ESGs. Prior to joining Milliman, Russell headed Ernst & Young’s actuarial modelling services for Europe leading implementation of stochastic asset-liability models and the review of ESGs for some of the firm’s audit clients. While on secondment to the FSA, Russell played a key role in the development of the regulator’s approach to the review of risk-based capital under the Individual Capital Assessment (ICA) regime.

Freek Zandbergen
Freek is a senior consultant with Milliman, based in Amsterdam. His main focus is on capital management and ALM related topics, including IFRS 17 discount rate and Solvency II internal model developments. Freek joined Milliman in 2020 after 5 years with NN Group in different risk functions, including the head of ALM & Hedging. Prior that he worked at Aegon NL between 2006 and 2015 in several roles in the capital management and risk departments.