A Discussion of the Tables of Percentiles in the September 2005 Discussion Draft of GN47
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Document ID: 2005-826 (previously 2005/011)
Published on: 30th September 2005
Author: Craig McCulloch
The UK Actuarial Profession published a draft discussion version of the guidance note GN47: Stochastic Modelling of Economic Risks in Life Insurance, along with an attaching paper detailing the methodology used in preparing the tables of minimum acceptable values for percentiles of equity & property returns, and for minimum percentiles of interest rate changes. This note sets out some comments on the proposed tables of percentiles set out in these notes.
