Posted on by Sari Broberg

Library Update 2023.12: Experience Studies, New and Updated Workbooks

Updated Slope Life Library

Pricing Variables

Pricing variables across all liability products have been updated to work with a new Pricing Parameters input table that allows for the pricing basis to be set for each run. This includes specifying the basis under which pricing is being run as well as pricing targets.

The pricing variables have been updated to read from this table, but pricing logic is still only supported under US bases in this release. Additional calculation bases will be added in future releases.

Long-Term Care

  • Added support for benefit pools that have been partially exhausted as of the projection start date. Users can now specify the amount of benefits remaining on a given policy, which will be used to limit remaining benefits projected on the policy.
  • Corrected the calculation of in-force policy counts to correctly reflect all potential statuses, including continuation of joint benefit pool options.
  • Corrected an issue with on-claim policies showing an incorrect number of in force lives
  • Corrected the calculation of LTC benefits for policies with lifetime benefits

US GAAP LDTI

  • New variables were added to all products to support additional disclosures under LDTI
  • New discounting logic was added at all levels to support calculation of LDTI under Higher Performance Mode

Variable & Table Renaming

Numerous variables and tables have been renamed across the library to create consistency in naming conventions and provide greater clarity on the scope of the variables.

Other Updates

  • Inputs to control the method of dividend payments on the Whole Life product were moved to a new Dividend Payment Method table which is now referenced from the Whole Life Plan Code table.
  • Data Defaults were added to liability products to provide a default value of Policy Counts (1), Plan Code (“DEFAULT”), and Premium Mode (“DEFAULT”). These values can now be excluded from model point files without causing errors.
  • Variable tags were updated on multiple liability products to ensure complete coverage when utilizing variable tag controls on projections.
  • US Valuation interest rates were updated through November 2023.
  • A number of variables with Present Value functions were revised such that the present values are calculated over a time period up until the end of the policy termination rather than a constant 100 years
  • For Externally Projected Liabilities and Externally Projected Assets, created a new Cash Flow Projection Boundary variable to limit the present value of specific market value metric variables. This variable is currently set to a constant 100 years and will be updated in a future release to allow for more configuration setups.
  • A number of variables referencing a USD currency were revised to reference an appropriate currency variable such that a user only needs to configure the currency in one place.
  • Corrected some inconsistencies in the plan code table relating to the benefit periods and maximum benefit ages for some plans codes
  • Added a few model points to the LTC model point file to illustrate on-claim model points and lifetime benefits
  • Miscellaneous clean-up in the LTC product variables that do not affect results

Bug Fixes

  • The initial asset scaling will no longer cause a duplication of assets in the portfolio at time 0.
  • Excluding Pricing variables on annuity products with the variable tag controls will no longer cause an error.
  • Monthly lapse rates on fixed premium products (Term, Whole Life, CI, LTC, IDI, and Hospital Indemnity) that lapse at times corresponding to the time of premium payment were corrected to reference the prior year’s annual lapse rates. This change is consistent with the default lapse rate timing to occur at the beginning of the year for these products.

Experience Study Analysis

Experience Study Model

Slope has published a standard library model for performing experience studies. This library includes the following functionality:

  • Selection and categorization of actual claims/experience data transactions
  • Construction of expected values and exposure records
  • Calculation of actual rates, actual vs. expected rates, and credibility analysis
  • Splits by any data category desired

Experience Analysis Workbooks 

Two new workbooks have been added to the Slope System workbooks in the Experience Study folder:

Experience Study Results provides tools to analyze results of the experience study library runs including calculations of actual rates, actual vs. expected values, and credibility calculations. The workbook includes dynamic grouping values to calculate results by age and/or duration groups.

Experience Study Validation provides a framework for running validation analysis across the set of actual transaction and expected data records. This includes data validation rules and statistical information to help analyze the data being processed through the experience study.

New & Updated Workbooks

Asset Purchase/Sale Details

This investment details report provides details on the amount of assets being purchased and sold and how those investments are applied down to the model point level. This report is helpful in understanding how your investment strategies are operating.

LDTI

New workbooks to show results of US GAAP LDTI have been added. These include analysis and disclosure based output.

Bermuda

New workbooks have been added to the Bermuda folder that provide details for the calculation of the Best Estimate Liability (BEL) under the Scenarios Based Approach (SBA).

Indexed Annuity

Indexed Annuity Single Policy Details

Fixed Annuity

Fixed Annuity Single Policy Details

Coming Soon

  • Additional IFRS 17 validation workbooks
  • Example design patterns for reporting workbooks to more easily illustrate how to create custom workbooks
  • Projection comparison workbook(s)
  • Example ALM setup