Dossier: How to deal with volatility under SII

Article published in the 'Forum Financier / Revue Bancaire et Financière' by Daphné de Leval, member of IA|BE.

In this article the long-term measures applicable to the risk-free rate, namely the Volatility Adjustment (VA) and the Matching Adjustment (MA) are discussed.

Then the concept of Own VA assessment where the VA is calculated starting from the assets and taking inte account the assets and liabilities interactions of a specific insurer is introduced.

Some other possible adjustments for long-term business are considered.

To end an illustration of those possible adjustments on a simplified example as well as some conclusions on the key takeaways are made.

Remark: the views and opinions expressed in this article are those of the author and do not necessarily represent the position of IA|BE.