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Research

Research Studies–Data Requests

Analysis of the Stochastic Exclusion Test

1. Background

The SOA recently sponsored research that involved companies "field testing" the proposed principle-based framework for determining reserves and capital for four product lines- whole life, term, universal life and deferred annuities. A summary of results can be found on this page.

As part of this study, each company was asked to calculate the components of the Stochastic Exclusion Test (SET) ratio. In examining the SET results, it became evident that a broader representative sample would provide more meaningful results. In particular, small-to mid size life insurers will likely face more challenges than larger companies in implementing the proposed statutory framework and should be adequately represented in the sample. In addition, the initial analysis was limited to four product types and a wider product examination may reveal more insights. Thus, the SOA is seeking additional company data to perform further analysis.

2. Data Request

It is believed that companies may have already performed internal studies regarding the proposed SET or intend to do so in the near future in connection with its 2009 cash flow testing or other analysis. The SOA requests any of the following a company may have available:

• SET results for individual product blocks, and descriptions of the block
• SET results for any aggregate insurance blocks, including descriptions of the primary insurance coverages included in the block.
• Comparable SET results ignoring reinsurance, if applicable.
• A brief description of the nature of the assumptions. For example, "We used company anticipated experience" or "We used company experience with margins for adverse deviation", etc.
• Commentary regarding the difficulties or problems encountered during the process of executing the SET analysis.
• Contact information for someone familiar with the SET analysis for potential follow up from the research team.
3. Notification of Intent to Submit Data

If you intend to contribute data, please send a written notification by October 30, 2009 to Ronora Stryker, SOA Research Actuary, at rstryker@soa.org. In the email, please provide the following information: Company name and company contact information, a description of the data and product blocks to be provided; and when the data will be submitted.

Questions may be directed to Ronora Stryker at rstryker@soa.org or 847.706.3614.