Pandemic Briefing – Best Estimate Assumptions, Capital Margins, Target Surplus and ICAAP

The latest Pandemic Briefing prepared by the COVID-19 Working Group has been designed to assist Life Insurance actuaries navigate through the pandemic with a range of considerations.

The briefing provides a list of considerations on the issues related to:

  • Setting best estimate assumptions.
  • Considerations around capital margins and other PCA considerations.
  • Target Surplus policy and ICAAP.


At the time of writing, the results from the COVID-19 risk margins survey were still in the process of being reviewed and any findings have not been explicitly included in this note. The insights from the COVID-19 risk margins survey should also be considered alongside the considerations raised in this discussion note.

The Working Group is keen to hear your thoughts on this briefing. All feedback can be directed to the discussion forum here.

View the briefing here

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Image of Mr Brent Walker
Mr Brent Walker says

28 July 2020

It is amazing how out of date a document on this virus becomes in as little as six weeks.
The document talks about a possible second wave. Well we have got that and had it for several weeks now. The document doesn't talk about the damage COVID-19 can cause to other organs of the body, although I did mention the damage to hearts in one of my pieces in April. Heart damage is going to be one of the major concerns for life offices and health insurers. It occurs because viral infections of the heart muscle can damage it permanently. This (depending on where the weakness is) then causes Atrial Fibrillation (hence the increased likelihood of strokes and other issues caused by blood clots) and also the weakened (scarred) part of the heart muscle will likely have damaged (thickened) blood vessels (the epithelium of blood vessels have ACE-2 receptors) and be more susceptible to atherosclerotic issues (hence the chance of a heart attack or the need for a stent increases). People whose hearts have been damaged by this virus will end up with cardiac issues for the remainder of their (probably shortened) lifetime.

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