国際財務報告基準（International Financial Reporting Standard、IFRS）第17号の発効日である2023年1月が近づき、（再）保険会社は、残る準備期間を最後の微調整および分析に追われています。

新たな財務報告上の結果に対して役員会および経営幹部がより納得できるようにするため、これまで以上に大きな注目を現在集めている一つの分野が「IFRS第17号モデルおよび結果の包括的検証」の必要性です。

契約上のサービスマージン（Contractual Service Margin、CSM）およびリスク調整（Risk Adjustment）などの新たな計算を新たなレベルの粒度（ポートフォリオ、収益性、コホート単位）で実施する新しいモデルがあります。またIFRS第17号割引率や帰属費用か非帰属費用かの経費の分割など、決定すべき新しい前提条件もあります。求められる結果および開示情報を作成する新たなプロセスおよびシステムがあります。

これら新しい要素のテストが、一般的に開発プロセスの一環として実施されます。しかしこのテストは、完全な検証とは異なる範囲を対象としていると思われます。開発テストは、担当部門において実施され、当初は計算の機能性のテストに注力します。通常、モデルの精緻化・開発中に実施され、完全な文書化はこの時点では行われません。

検証テストは、モデルのガバナンスおよび文書化に加え、インプット、計算、アウトプットを含むプロセスのあらゆる側面を対象とするはるかに包括的なものです。検証テストにおいて検討すべき事項は、モデルおよび結果が概念的に適切であり、目的に合致することを確実にすることです。これは、規定された規則がなくプリンシプルベースであり、様々な解釈が可能となるIFRS第17号では特に重要です。検証のこの側面に関する一般的市場慣行の知識および業界の見解が重要になります。

多くの会社のコアモデルのソルベンシーIIについての検証は行われていますが、IFRS第17号では、損益計算書（P&L）についてもバランスシートについても計算が適切である必要があるため、その重大性の基準はソルベンシーIIよりも低くなるとみられます。また、IFRS第17号では、ソルベンシーIIにも既存の財務報告にも存在しない、新規CSM/Loss Component/Loss Recovery Componentなどの概念を財務諸表に導入する上、その他包括利益（Other Comprehensive Income、OCI）との相互関係も利用できます。また、会計レベルの単位でCSMの計算（即ち、ポートフォリオの交点、収益性、年次コホート）といったレベルでの結果の分析に企業が慣れていないため、結果を解釈する上での課題を生む可能性があります。

モデルの検証テストは、IFRS第17号モデルの実施を監督しながら、決められた部署が実施する必要があります。これは（例えばリスク管理部署、数理部署、あるいは財務部署内の独立したチームにより）内部的に、あるいは外部の支援を受けて実施できるでしょう。いずれの場合も、数理部署がIFRS第17号の結果を準備する際にしばしば使用されるソルベンシーIIの最良推計およびそのパラメータ、前提条件、変動分析などについての責任を有するため、ここでも重要な役割を果たすことになります。

手法、会計上の選択肢、また会社特有事項の決定の周辺領域について、企業は監査人と事前に話し合いをするでしょう。しかし通常、監査人の独立が、モデルの開発に深く関与することを阻みます。最初の財務諸表の結果が社外監査に送られる前に、厳格なモデルの検証を実施する必要があります。これはプロセスの後半に行われるため、この段階で何らかの発見に対して改良することが難しくなるためです。モデルの検証は、監査レビューに対する有用なインプットにもなります。

With the January 2023 effective date of International Financial Reporting Standard (IFRS) 17 fast approaching, (re)insurers are busy making their final refinements and analyses in the remaining window.

One area that is now receiving greater focus is the need for comprehensive validation of IFRS 17 models and results to provide the board and senior management with additional comfort over the results in the new financial statements.

There are new models performing new calculations, such as the Contractual Service Margin (CSM) and Risk Adjustment, at a new level of granularity (portfolio/profitability/cohort groups). There are also new assumptions being determined, such as the IFRS 17 discount rate and the split of expenses between those that are attributable and non-attributable. There are new processes and systems to produce the required presentation of results and disclosures.

Testing of these new elements will generally have been carried out as part of the development process. However, this testing will likely have had a scope that is different from a full validation. Development testing is carried out by the business function and is initially mostly concerned with testing the functionality of calculations. It is generally carried out while models are still being refined and developed and full documentation is usually not in place yet.

Validation testing is much more comprehensive, covering all aspects of the process including inputs, calculations, and outputs, as well as model governance and documentation. A key consideration in validation testing is ensuring that the model and results are conceptually appropriate and fit for purpose. This is particularly important for IFRS 17, which does not have prescribed rules but instead is principle-based and can have different interpretations. Knowledge of general market practice and industry views will be important for this aspect of the validation.

Although the core models for many companies may have already been validated for Solvency II, it is likely that materiality thresholds for IFRS 17 will be lower than for Solvency II, as calculations need to be appropriate for the profit and loss (P&L) statements as well as the balance sheet. In addition, IFRS 17 introduces concepts that are not present in either Solvency II or existing financial reporting such as the new CSM/Loss Component/Loss Recovery Component in the new financial statements, as well as the interaction with Other Comprehensive Income (OCI) that can be used. Additionally, the calculation of the CSM at unit-of-account level (i.e., the intersection of portfolio, profitability and annual cohort) can create challenges in interpreting results, as companies are not used to analysing results at this level.

Model validation testing should be carried out by the function tasked with providing oversight of the IFRS 17 model implementation. This could be completed internally (for example, by the risk function, actuarial function or an independent team within the finance function) or with assistance from an external party. In any case the actuarial function will play an important role in the validation process, as the actuarial function has responsibility for the Solvency II best estimate and its parameters, assumptions, analysis of movement etc., which are often used in preparing the IFRS 17 results.

Companies will have had discussions with their auditors around methodology, accounting choices and entity-specific decisions in advance, but auditor independence normally precludes heavy involvement in model development. Rigorous model validation should be carried out before the first set of financial statement results go to external audit, as this will occur late in the process, making it difficult to make enhancements for any findings at such a late stage. Model validation can also be a useful input to the audit review.

Figure 1: IFRS 17 methodology

An IFRS 17 model validation exercise could include the following aspects:

• A review of data quality compared to IFRS 17 requirements, e.g., assigning data the correct unit of account.
• A review of assumptions and methodology, including expert judgements and any simplifications, against IFRS 17 requirements and market practice.
• Testing that models are correctly implemented using the agreed methodology. This may include sample policy testing, reconciliations against independent calculations, and reconciliation to other financial metrics. The testing would be carried out across a range of different test cases and covering all aspects of the calculations, e.g., including the best estimate cash flows, allowance for reinsurance, risk adjustment, transition CSM, CSM roll-forward, the loss component for onerous contracts and the use of OCI.
• A review of the presentation of results and disclosures against IFRS 17 requirements.

Model validation can provide the board and senior management with additional comfort over the results in the new financial statements, and should be an important part of any IFRS 17 project.

More details on the importance of model validation and governance can be found in our briefing note: https://www.milliman.com/en/insight/Structuring-an-effective-model-risk-management-and-validation-framework.

To discuss how Milliman can help with the validation of your IFRS 17 models and results please contact your usual Milliman consultant or Andrew Kay or Gillian Tucker.

More information on Milliman insights, products and services related to IFRS 17 can be found at: https://www.milliman.com/en/insurance/ifrs-17