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Until September 2022, 2 chapters need to be updated:

1. 2.7/3.7 Pandemic Benchmarking
2. 2.12/3.12 Unemployment, Termination Rates

The working folder is the following:
O:\CapMod_GRM_LA\Validation Report\2022\01_Life_Validation_Report

Unemployment: check in the segmentation report (ask Katharina as well) whether unemployment business is small (probably belongs to nonlife income category).

Termination Rates: send email to all MEs and ask how material is Termination Rates business. Check what changed for Taiwan disability and double-check with Katharina regarding Termination Rates business.

• 08/09 June 2021, 13.35 start (3 times)
• Presentation (Anita, me, Niklas)
• Topics:
  1. Kick-off + past experience (Anita)
  2. New Proxy Model (Smart Selection + GPR Model) (me)
  3. FUrther improvements (HIPPO db, ...) (Niklas)
  4. FInal words + questions for further improvements (Anita)
• Link to the R:\LH-CA\Organisational\Ausbildung\Klausurtagung

Dummies (Loss Ratio ICM, especially France):

• business that is not yet signed, but is planned to be signed soon (we want to apply Rc0 already, so we already kind of recognize it earlier to show the capital there)
  AMS doesn't model the Dummies (because the business doesn't have booked numbers)
  Usually Rc0 is lower in Q4 because there are a lot of Dummies (business that will be signed in Q1), and since they are not modelled by AMS yet, we see the reduction in Rc0.

CDT: O:\CapMod_GRM_LA\CFM_output\2021_2\Counterparty Default\EUC\EUC Template_Counterparty Defalt Data Aggregation Tool_v1.1.docx

Pandemic: O:\CapMod_GRM_LA\Calibration\2022_1\Pandemic\EUC\EUC Template_Pandemic Calibration Model Tool_v1.1.docx

https://www.amazon.de/LB-Dekorativer-Schriftzug-Ostern-Holzherz/dp/B0796VZK2S/ref=sxbs_sxwds-stvp?__mk_de_DE=%C3%85M%C3%85%C5%BD%C3%95%C3%91&cv_ct_cx=osterdeko+holz+lila&keywords=osterdeko+holz+lila&pd_rd_i=B0796VZK2S&pd_rd_r=96177523-05f1-41a7-810d-6824bd384f52&pd_rd_w=h3oeJ&pd_rd_wg=ujgKi&pf_rd_p=6d84c7ba-ae72-4e53-b9a4-5df18ccb370e&pf_rd_r=JXCCAGRX4MT2208CQ5A1&psc=1&qid=1583400790

https://www.amazon.de/LB-Osterdeko-Osterhase-Aufsteller-Naturtöne/dp/B07NN8MFSN/ref=pd_sbs_201_23?_encoding=UTF8&pd_rd_i=B07NN8MFSN&pd_rd_r=6a470fa1-c996-4e4a-a450-9d4ec072f1bd&pd_rd_w=gsIvk&pd_rd_wg=DDmcF&pf_rd_p=c8718c55-fb13-473f-a41c-592a17ad3468&pf_rd_r=42AY01RWSWSV3CDFDEN6&refRID=42AY01RWSWSV3CDFDEN6&th=1

Shane intro to Pandemic model

17.12mm -> 53 and 3/4

3 new stresses (regarding Proportion married) will be added to the analysis.

Compare results from SIR model and GPR tool.

For selected lines of business compare 100k results based on :

• US seeds + SIR
  vs
• US seeds + GPR
  vs
• gen_xxx + GPR

Timeline: Feb/Mar

Responsible: L&H + support from DFA

Only data for 7/19 branches available: L1, L2, L6, KOR, MAL, FRA, IND available.
Only high-level check will be done due to lack of time for proper validation.

discuss the process with Matthias and Christian

Adjustment for the Concentration QRT

Add a file with top 10 positive changes in Exposure (FWH - BEL) and top 10 negative changes for the comments.

Link: 'H:\Work\Report YE'

The first thing would be to automatize Cashflows pattern check:

• show additional barplot graphic with x = CPs, y = deltas (only for big deltas)
• add additional net column (BEL + Deposits)
• store final tables as excel sheets

For CaT-XL treaties section of Pand Calibration Report:

• update Total Pandemic Capacity (total from column G from GCS report) [GCS CAT-XL](O:\CapMod_GRM_LA\Calibration\2021_1\Pandemic\CAT XL\hc inkl. Pandemie CAT Business Reporting LH 01.01.2021.xlsx)
• add a section with total capacity provided (column C from GCS report)
• link to the model: "O:\CapMod_GRM_LA\Cat XL\2017_Pandemic Modelling"

• one additional update for CMLA (for more details see emails chain here: "O:\CapMod_GRM_LA\CFM_output\2021_1\Counterparty Default\Q2\RE Q1 2021 Risk Report - Frage zu Colonial Mutual.msg")

First steps:
Questions to Fabian:

1. What is the right quarter to apply the seeds (Q2 or Q4)?
2. To discuss those files from Fabian ("O:\CapMod_GRM_LA\Documents\Automation IM L&H\For Fabian\APDM_Extract_EC_Proxy - New DMI-03-31-2019_Seeds - EC Stochastic_Yes DMI.csv" and other)
3. Which discounting is used (stochastic or deterministic)?
4. For which LoBs concentrate analysis on?

Main tasks:

1. To make the update of what Kerstin has done last year
2. To set up the meeting with Dirk, Christina, Justine, Ciaran and me to discuss the next steps
3. Think about what we can learn from the new results, do we need to make any changes (e.g., SA), do we need to consider external Pandemic models as benchmark.

Comment Dirk:
wir sollten bei den Swaps zukünftig auch sagen, welche Volumina wir im Modell haben. Benutzen alle Tranchen dieselben Gewichte zwischen den Ländern, oder die spezifischen pro Tranche? ->
In future, we should also say what volumes we have in the model for swaps. Do all tranches use the same weights between countries, or the specific weights per tranche?

[Link to email]("O:\CapMod_GRM_LA\Calibration\2022_1\Pandemic\RE Calibration Reports Q3.msg")

"R:\LH-CA\Seminars Meetings\Neue Mitarbeiter\Calibration_Training.pptx"

Whenever we obtain the new treaties (from RCL) with Deposits we need to understand whether they are Capital market risk exposed or not. If "Yes" then we need to add the new subblock to this file (or the new one) "R:\LH-CA\Solvency II\01 Pillar III reporting\2021 Q2\List FWH exposed to capital market risk_2021 Q2.xlsx" or to let DFA know that there is a new Capital market exposed deal.

• We need to make the manual adjustment (change SAP-UIN for CMLA to the same one that AIA Australia has) because all treaties from CMLA were transferred to AIA.
  See email here: "O:\CapMod_GRM_LA\CFM_output\2021_1\Counterparty Default\Q2\RE Changes in ratings for the Colonial Mutual (CMLA).msg"

Proxy Model

Adjustment is needed for some of checks (VA check f.e.)

The deadline is Monday evening

New changes since Q1 2022 CDT:

1. For aggregated file use the most up-to-date FX rates (based on 30.09.2022)
2. check that the exposure for AIA Life is fully allocated to SHA (HR LE) and not to Ir