Valuation Data Support
Our client provides innovative, bespoke risk management solutions to the trustees and sponsors of defined benefit pension funds.
Background
The process for onboarding new schemes, and the ongoing process for updating pension policy data for the production of reserving valuations, has often resulted in peak workloads for our client.
As a consequence of the trusted relationship developed with APR, this client has frequently made use of APR’s actuarial associates, often at the recently graduated level, to support this work.
Project Aims
Although the precise scope of each project varies according to the specific requirements of the scheme, fundamentally most schemes will follow a similar pattern.
Data arrives from the pension scheme administrators in various different formats; the data needs to be transformed to a consistent format and then updated on a regular basis so that the client can accurately forecast its liabilities.
For many of the pension schemes insured, this is a relatively straightforward task, but for schemes which are either more complex, or have not been updated for several years, significantly more work is required to update the data and investigate any changes in the resulting reserves.
APR's Role
Although often the APR associates provided have limited hands-on experience at the outset of the project, the specific and intensive training provided by APR prior to commencing means that they are invariably able to pick processes up very quickly.
Pension policy updates typically involve the following processes:
- Updating pension policy data to enable accurate reserving.
- Using MoSes modelling software to calculate reserves and project cashflows.
- Analysing these cashflows and reserves (both on a scheme and individual level) to identify errors, understand changes since the previous update and adapt data where required.
- Making additional adjustments to enable accurate modelling of the reinsurance data.
- Building and documenting Excel and VBA models which deal with complex scheme-specific requirements to pension schemes.
- Using Extract-Transform-Load (ETL) software to process data received from administrators.
- Identifying and correcting any bugs in the MoSes code and the ETL which would lead to inaccurate reserves and / or cashflows.
- Extensive testing of the ETL software to ensure that all changes over the last 12 months worked correctly, and that there were no unexpected or adverse effects.
- Education of the client’s Actuarial Finance team on using the updated ETL process.
Outcome
APR has been providing associates to this client on valuation data projects for the past five years, helping to ensure that the schemes can be accurately reserved for.
In addition to the core data work, the strong technical skills APR staff possess have enabled them to provide valuable assistance in other areas. As an example, in the course of the data valuation work one of our associates identified some potential issues in the longevity-swap modelling process, resulting in an extension to his secondment to enable him to plan, implement and hand over changes to the swap process.
The client is also embarking on a wider project to transform data across its entire scheme base, thus reducing the need for ongoing updating and adjustment. This is likely to involve the secondment of further APR staff over the coming months to support the project.