What is the risk adjustment under IFRS 17 and how is it calculated?

Under IFRS 17, the risk adjustment for non-financial risk is the compensation an insurer requires for bearing uncertainty about the amount and timing of cash flows from insurance contracts. It must be disclosed at a confidence level equivalent under a technique such as Value at Risk (VaR) or Conditional Tail Expectation (CTE). Common calculation methods include cost of capital, quantile and explicit approaches. Shasat calculates risk adjustments independently, with full methodology documentation suitable for audit.

What actuarial work is required for IFRS 17 implementation?

IFRS 17 requires actuarial input across several areas: estimating future cash flows (premiums, claims, expenses) using best-estimate assumptions; calculating the risk adjustment for non-financial risk; determining the contractual service margin at inception and its subsequent unlock; identifying onerous contracts; and producing disclosure-ready outputs on coverage units, loss component and risk adjustment confidence level. For entities using the Variable Fee Approach, actuarial modelling of underlying item fair values is also required.

Does Shasat's actuarial team have experience with specific insurance sectors?

Yes. Shasat's actuarial desk is led by Michael Winkler, a former Chief Actuary at Swiss Re and Union Re with over 25 years of experience. The team has specific expertise in life and health insurance, longevity and annuity products, property and casualty, reinsurance structures, and public sector pension schemes. We have supported major reinsurance companies on IFRS 17 financial impact assessment and mitigation strategies.

Actuarial Risk Modelling

Overview

Actuarial Expertise for Complex Insurance Liabilities

Shasat's actuarial desk provides independent, technically rigorous modelling for insurers and reinsurers navigating IFRS 17, Solvency II, ASC 944 and related regulatory frameworks. Our team is led by former chief actuaries with active industry experience, ensuring every engagement reflects real-world practice rather than textbook theory.

Accurate actuarial modelling is foundational to IFRS 17 compliance. The standard requires probability-weighted estimates of future cash flows, a risk adjustment for non-financial risk, and a contractual service margin that must be managed and released over the coverage period. Each element demands actuarial judgement, appropriate methodology and documentation that will withstand audit scrutiny.

Our services are available as standalone independent assessments, as support to your in-house actuarial team, or as a fully outsourced actuarial function for smaller insurers and new market entrants.

What we deliver

Actuarial Services

IFRS 17 Liability Valuation

Full calculation of fulfilment cash flows under the General Measurement Model, Premium Allocation Approach and Variable Fee Approach. Covers best-estimate cash flows, risk adjustment and contractual service margin determination at inception and on an ongoing basis.

Risk Adjustment Calculation

Independent calculation of the IFRS 17 risk adjustment for non-financial risk using cost of capital, quantile (Value at Risk) or Conditional Tail Expectation approaches. Full confidence level disclosure prepared to auditor requirements.

Solvency II Modelling

Technical provisions, best-estimate liabilities, risk margins and capital requirements under the Solvency II framework. Includes internal model validation, SCR calculations and support for Own Risk and Solvency Assessment (ORSA) reporting.

Longevity and Mortality Modelling

Development and calibration of mortality tables, longevity trend projections and policyholder behaviour models for annuity, life and pension products. Includes experience analysis and basis review against industry and population data.

Stochastic and Deterministic Modelling

Probabilistic reserve calculations and economic scenario generation using stochastic techniques for complex, long-tail insurance liabilities. Deterministic projections for pricing, planning and regulatory reporting where appropriate.

Stress Testing and Scenario Analysis

Regulatory and management stress testing of insurance liabilities under adverse mortality, lapse, expense and catastrophe scenarios. Supports ORSA, ICAAP and board risk reporting requirements for insurers operating under Solvency II and equivalent frameworks.

Our actuarial desk

Led by Former Chief Actuaries

Every actuarial engagement at Shasat is led by practitioners with direct board-level actuarial experience at major insurance and reinsurance groups — not analysts applying a template.

Michael Winkler

Head of Actuarial Desk, Shasat

Former Chief Actuary, Swiss Re and Union Re

Michael has over 25 years of actuarial experience in life, health and reinsurance. As Chief Actuary at Swiss Re and Union Re, he led the international project group that developed the first Spanish annuitant mortality tables in 2000 and authored the Swiss Re publication on longevity and pensions insurance in Europe. He specialises in IFRS 17 financial impact assessment and Solvency II technical provisions, and has been nominated to the board of several international insurance companies.

Use cases

When Actuarial Modelling Is Required

IFRS 17 First-Time Adoption

Full liability measurement under GMM, PAA and VFA at transition date and ongoing

Solvency II Technical Provisions

Best-estimate liabilities, risk margin, SCR and ORSA support

IFRS 17 Ongoing Reporting

Quarterly and annual CSM unlock, risk adjustment release and disclosure support

Reinsurance Valuation

IFRS 17 measurement of reinsurance contracts held including loss recovery recognition

M&A and Portfolio Acquisition

Independent liability assessment for insurance portfolio acquisitions and disposals

ASC 944 and US GAAP Reserving

Long-duration contract reserving under ASC 944 for US GAAP reporters and dual reporters

Standards applied

Regulatory and Accounting Frameworks

Shasat's actuarial modelling is carried out in compliance with the applicable framework for your reporting jurisdiction and regulatory environment.

IFRS 17 IFRS

IFRS 4 (transitional) IFRS

Solvency II EU Regulation

ASC 944 US GAAP

IPSAS 39 IPSAS

IAS 19 IFRS

IVSC IVS IVSC

IAA Standards Actuarial

FAQs

Common Questions

Under IFRS 17, the risk adjustment for non-financial risk is the compensation an insurer requires for bearing uncertainty about the amount and timing of cash flows from insurance contracts. It must be disclosed at a confidence level equivalent using a technique such as Value at Risk (VaR) or Conditional Tail Expectation (CTE). Common calculation approaches include cost of capital, quantile and explicit probability weighting methods. Shasat calculates risk adjustments independently with full methodology documentation suitable for audit review.

Deterministic modelling uses fixed assumptions to produce a single set of projected outcomes. Stochastic modelling generates a range of outcomes by simulating thousands of scenarios across uncertain variables such as mortality rates, lapse rates and interest rates. IFRS 17 fulfilment cash flows require probability-weighted estimates, which stochastic techniques address more rigorously than deterministic approaches for complex, long-tail insurance liabilities. Shasat applies both depending on the product type and purpose of the engagement.

IFRS 17 requires actuarial input across several areas: estimating future cash flows (premiums, claims, expenses) using best-estimate assumptions; calculating the risk adjustment for non-financial risk; determining the contractual service margin at inception and managing its subsequent unlock; identifying onerous contracts at inception; and producing disclosure-ready outputs covering coverage units, the loss component and the risk adjustment confidence level equivalent. For entities applying the Variable Fee Approach, actuarial modelling of underlying item fair values is also required.

Yes. Shasat's actuarial desk is led by Michael Winkler, former Chief Actuary at Swiss Re and Union Re, with over 25 years of experience across life, health, longevity, reinsurance and pension products. The team has worked with major global reinsurers on IFRS 17 financial impact assessment and mitigation strategies, and has board-level experience across multiple international insurance entities. Michael also led the development of the first Spanish annuitant mortality tables in 2000.

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