It is normal in the course of setting capital requirements and evaluating asset adequacy for actuaries to identify troubling scenarios. The present value of the worst accumulated deficiency is a notorious reporting value.
What most actuaries don’t know is what exactly generates such poor performance. Sure equities drop, or interest rates behave adversely, but there are other more troubling items that aren’t immediately apparent. Take, for example, the most recent C3P2 results. It turns out that scenario 242 wreaks havoc on the annuity block. But what is driving this?
