There is a very fine article in InsuranceERM just published. Behind a paywall I am afraid, but it explains the idea of Eumaeus very well, although I would say that. For those without a subscription, an interesting part is here
As InsuranceERM went to press in December, the PRA published its policy statement (PS31/18), which Buckner largely welcomed. “For the first time it settles, with great authority and a wealth of cogent reasoning, how life insurers should correctly value a portfolio of simple European put options,” he says.
But he is scathing of the PRA’s change of heart on applying the rules for valuing guarantees to business written before Solvency II came into effect. Insurers can now apply different treatment to the same type of loans, depending on whether they were written before or after 1 January 2016. “It makes no sense to me,” he says.
Indeed it made so little sense to me that I queried it with the PRA after the interview.
