EAA Web Session: Setting Up Discount Rates Under IFRS17: Getting the Job Done

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.

Registration deadline: 11 February 2022