Realistic Liabilities and Risk Capital Margins for With-Profit Business

The paper addresses some of the practical and theoretical issues raised by the move to a market consistent calculation of realistic liabilities and solvency capital for with-profit business. It also proposes some changes to the presentation of the realistic balance sheet, which the authors believe will provide greater transparency, and more closely reflect the way in which with-profits business should be managed in the future. Keywords: With-Profits, Realistic Liabilities, ‘Twin Peaks’ Approach, Risk Capital Margin, Market Consistent Valuation, Guarantees, Options, Asset Models, Management Actions