We model
what happens next.
The mathematical scaffolding beneath pension funds, insurance reserves, and corporate risk portfolios — so promises made today can be kept thirty years from now.
Actuate was founded on a single conviction: that the actuarial profession's highest value lies not in producing numbers, but in making those numbers legible to the people who must act on them. Every engagement begins with a clear statement of the problem, proceeds through documented assumptions, and ends with conclusions that can be defended in front of a trustee board, an audit committee, or a regulatory supervisor.
"Our funding ratio has fallen from 98% to 81% in eighteen months and the trustees have no clear path to full funding."
A FTSE 250 manufacturing group with a closed defined benefit scheme carrying £340m in technical provisions. The deficit had widened following a prolonged period of negative real yields, compounded by higher-than-projected member longevity in the 58–68 age cohort. The sponsoring employer faced a triennial valuation with the Pensions Regulator expecting a credible recovery plan within six months.
Analytical Approach
Actuate rebuilt the scheme's liability model from first principles, replacing the incumbent actuary's CMI 2018 longevity projections with CMI 2023 and recalibrating the discount rate to a gilts-plus 0.5% basis consistent with TPR's 2023 DB funding code. A full asset-liability matching analysis identified a £47m duration mismatch. We modelled twelve recovery plan scenarios across three employer affordability bands, stress-tested each against a 200bps yield shock and a 10% equity drawdown, and produced a submission-ready actuarial valuation report.
Key Assumptions— All assumptions documented per TAS 100
| Parameter | Base Case | Stressed | Liability Impact |
|---|---|---|---|
| Discount Rate | Gilts + 0.50% | Gilts + 0.25% | +£18.4m |
| Longevity (CMI) | CMI 2023, 1.25% | CMI 2023, 1.75% | +£12.1m |
| Inflation (CPI) | Swap curve | +0.50% p.a. | +£9.7m |
| Salary Growth | CPI + 0.25% | CPI + 0.75% | +£3.2m |
Sensitivity Analysis
Measurable Outcome
The revised valuation established a technical provisions deficit of £58m — £14m lower than the trustee's initial estimate, owing to the updated mortality tables. A ten-year recovery plan was agreed with the employer at £6.2m per annum, accepted by TPR without challenge. The scheme's funding ratio recovered to 89% within fourteen months following the LDI hedge implementation.
"Our external auditors have flagged material uncertainty in our IFRS 17 liability for remaining coverage — we have four weeks before sign-off."
A specialist Lloyd's of London syndicate writing professional indemnity and directors' liability cover. The syndicate's finance team had constructed their IFRS 17 measurement model in-house, but the auditors identified three areas of material uncertainty: the discount rate derivation lacked a documented yield curve construction methodology, the risk adjustment was set at a flat 6% without statistical justification, and the CSM roll-forward contained an allocation error affecting £8.3m in premium experience adjustments.
Analytical Approach
Actuate conducted a focused four-week technical review. We reconstructed the discount rate curves using a bottom-up approach referencing EIOPA's risk-free rate term structures with an illiquidity premium overlay appropriate to the syndicate's liability profile. The risk adjustment was recalculated using a Value-at-Risk approach at the 75th percentile confidence interval, consistent with IFRS 17.119. The CSM error was isolated to a sign convention inconsistency in the experience adjustment formula and corrected across three years of retrospective data.
Key Assumptions— All assumptions documented per TAS 100
| Parameter | Base Case | Stressed | Liability Impact |
|---|---|---|---|
| Risk-Free Rate | EIOPA RFR Dec-25 | EIOPA RFR + VA | +£2.1m |
| Illiquidity Premium | 35bps | 20bps | +£4.8m |
| Risk Adjustment | VaR 75th pctile | VaR 80th pctile | +£3.4m |
| Claims Development | Chain ladder | Bornhuetter-Ferguson | -£1.9m |
Sensitivity Analysis
Measurable Outcome
The corrected IFRS 17 model was accepted by the auditors without further qualification. The CSM correction resulted in a £8.3m restatement, which the syndicate disclosed as a prior period error under IAS 8. The risk adjustment methodology document was adopted as the syndicate's standard for subsequent reporting periods. Audit sign-off was achieved within the four-week window.
"The PRA has asked us to demonstrate that our Solvency II SCR remains adequate under a combined market and longevity stress — we have sixty days."
A UK life insurer with £1.2bn in annuity liabilities seeking internal model approval. Following a supervisory review meeting, the PRA issued a Section 166 notice requesting a full demonstration of SCR adequacy under a combined stress scenario: a 40% equity market fall concurrent with a 25% improvement in mortality rates across all age cohorts. The insurer's internal model had not been stress-tested against a combined scenario of this severity.
Analytical Approach
Actuate constructed a combined stress framework using the insurer's existing internal model as the base, extending it with a correlated scenario generator that applied the PRA's specified market and biometric stresses simultaneously. The correlation structure between equity returns and mortality improvement was calibrated using 20 years of UK historical data. We produced a full Own Risk and Solvency Assessment (ORSA) supplement documenting the scenario methodology, correlation assumptions, and capital adequacy conclusions. The submission included a management actions overlay quantifying the SCR impact of four credible management responses.
Key Assumptions— All assumptions documented per TAS 100
| Parameter | Base Case | Stressed | Liability Impact |
|---|---|---|---|
| Equity Stress | Standard Formula | PRA: –40% | +£89m SCR |
| Mortality Improvement | CMI 2023 base | +25% improvement | +£134m SCR |
| Correlation (ρ) | 0.25 (standard) | 0.45 (stressed) | +£31m SCR |
| Management Actions | None | Full overlay | –£67m SCR |
Sensitivity Analysis
Measurable Outcome
The PRA accepted the ORSA supplement and confirmed SCR adequacy under the combined stress scenario. The internal model approval was granted six weeks ahead of the original timeline. The management actions framework developed during the engagement was subsequently embedded in the insurer's standard stress-testing governance process.
The regulator isn't coming to ask questions. They're coming to confirm answers they've already formed.
Actuate's regulatory advisory practice prepares clients for supervisory engagement with the same rigour applied to the underlying actuarial work. We have supported 23 insurers through PRA supervisory review meetings, 14 pension schemes through TPR Fast Track and Bespoke pathway submissions, and 6 firms through FCA actuarial function reviews. Our approach is straightforward: we ensure that the story told to the regulator is consistent with the mathematics, and that the mathematics is consistent with the business.
Is your reserving team ready for the regulator's next visit?
Most insurers underestimate the data requirements of IFRS 17 until they're six months from the deadline. Our readiness checklist maps the eight critical workstreams where preparedness gaps most commonly surface during PRA review.
Checklist covers
- Classification of contracts under IFRS 17 measurement models
- CSM (Contractual Service Margin) calculation methodology
- Discount rate derivation and yield curve construction
- Risk adjustment quantification under a 75th percentile confidence interval
- Transition approach selection: full retrospective vs modified
- Group of insurance contracts aggregation rules
- Reinsurance contract accounting treatment
- Systems and data requirements for Day 1 compliance
IFRS 17 Readiness Checklist
8-page PDF. Covers all critical workstreams. Used by 34 insurance finance teams preparing for their first IFRS 17 reporting cycle.
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The liability review is a focused two-hour engagement. We examine your current actuarial assumptions, identify the top three risk concentrations, and deliver a written summary with recommended actions. No retainer required to begin.