Prudential Regulation Authority Rulebook

11C.1

A firm must ensure that it documents the following processes:

1. (1) the collection of data and analysis of its quality and other information that relates to the calculation of technical provisions;
2. (2) the choice of assumptions used in the calculation of technical provisions, in particular the choice of relevant assumptions about the allocation of expenses;
3. (3) the selection and application of actuarial and statistical methods for the calculation of technical provisions; and
4. (4) the validation of technical provisions.

11C.2

For the purposes of 11C.1(1), the firm must ensure that the documentation includes:

1. (1) a directory of the data used in the calculation of the technical provisions, specifying their source, characteristics and usage;
2. (2) the specification for the collection, processing and application of data referred to in Technical Provisions - Further Requirements 4.3(5); and
3. (3) where data is not used consistently over time in the calculation of technical provisions, a description of the inconsistent use and its justification.

11C.3

For the purposes of 11C.1(2), a firm must ensure that the documentation includes:

1. (1) a directory of all the relevant assumptions that the calculation of technical provisions is based upon; this must include assumptions on future management actions;
2. (2) a justification for the choice of the assumptions underlying the calculation of technical provisions;
3. (3) a description of the inputs on which the choice is based;
4. (4) the objectives of the choice and the criteria used for determining the appropriateness of this choice;
5. (5) any material limitations in the choice made;
6. (6) a description of the processes in place to review the choice of assumptions;
7. (7) a justification for the changes of assumptions from one period to another and an estimation of the impact of material changes; and
8. (8) the relevant deviations from assumptions about future management actions referred to in Technical Provisions - Further Requirements 8.2.