phone:        (516) 418-2549
fax:              (631) 582-1702
address:     245 Southlawn Avenue
                    Central Islip, NY, 11722

Assumption and Model Development, Peer Review, and Governance

Insurers are faced with an increasingly complex regulatory and business environment in which:

  • Principle-based approaches are replacing prescribed methodologies for valuation
  • A company's own experience can substitute for prescribed industry tables
  • Internal models and judgment can be used to self-assess risk and set capital under ORSA
  • Alternative data sources and new analytic techniques are used to attract and retain customers, predict policyholder behavior, and draw correlational and inferential conclusions

This has elevated the importance of adequate documentation, assumption and model validation, replicability, use of "sound science" and intuition and a top-down "risk culture" to ensure validity of results, adequacy of capital, ongoing solvency, and delivery of stakeholder value.

The Kind of Consultant One Needs:

This new paradigm has increased demand for experienced actuarial modelers who can:

  • Intuitively approaching new data, processes, models, and risks from "30,000 feet" drawing on DEEP experience to see if a general approach simply "makes sense" before using valuable time, people, and money fruitlessly
  • Approaching familiar data, processes, models and risk in the context of their BROAD experience- to determine whether what's observed in once case is consistent with outcomes from other substantially similar cases  
  • Dive into the technical weeds, when needed, to find strengths and critique weakness based on DEEP theory

The Types of Services Clients are Demanding: 

Mr. Mangini has extensive experience with setting assumptions as a product actuary and chief reinsurance pricing officer. As Deputy Global Corporate Actuary for a multi-line insurer he was personally responsible for overseeing setting and resetting both asset and liability assumptions for more than 100 products in 19 business units in the US, Canada, and Asia reporting under principles-based, IFRS, US GAAP, and Embedded Value accounting regimes. As a Chief Risk Officer he was responsible for developing Sensitivity Tests, Stress Scenarios, and Extreme Event Models. Leonard has supervised global valuation model vetting and served on Global ALM and Product Risk Committees.

Leonard is a frequent speaker on Current and Emerging Issues related to assumption and model governance, the use and misuse of predictive analytics, and actuarial professionalism:

He has reviewed past experience, evaluated credibility, and set future assumptions for a broad range of products and traditional and non-traditional distribution channels on both the asset and liability sides of the ledger.

Asset Side Assumptions:

  • Public Bonds, Corporate Bonds, Mortgages, Private Placements
  • Asset-Backed Securities, Insurance/Longevity-Linked Securities
  • Public Equity, Private Equity
  • Infrastructure, Real Estate, Oil & Gas
  • Hedges

Liability Side Assumptions

  • Biometric Risks: Mortality, Lapse, Longevity, Morbidity
  • Dynamic Behavior: Premium Persistency, Lapses, Rider Election, Anti-Selective Lapses/Conversion Mortality
  • Trends and Events: Mortality Improvement, Pandemic, Nuclear/Bio/Catastrophe Modeling

Best Estimate Assumptions and Provisions for Adverse Deviation

  • "One Version of the Truth"- Coordinating Pricing, Valuation, ERM, and Embedded Value Assumptions
  • Principles-Based Reserve Margins, IFRS PaDs, US GAAP Margins
  • Sensitivity Testing, Shock Scenarios, Tail Risk/Extreme Event Scenarios
  • Operational Risks


  • Guidance and Documentation
  • Methodology, Credibility
  • Peer Review, Assumption Review, Model Vetting
  • Self-Consistency Across Product Lines
  • Sensitivity Testing

Please Click the Company Logo to set up a free consultation on Assumptions, Models, Peer Review and Governance: