The National Association of Insurance Commissioners continues to evaluate new economic scenario generators for U.S. principle-based reserving. To help companies navigate these changes, this paper presents an illustrative framework for quantifying the potential impact of the scenario reform for a prototypical in-force block of variable annuities (VAs). We evaluate VA reserves and capital between the American Academy of Actuaries’ interest rate generator and alternative economic scenarios with respect to the following:

• Dispersion of conditional tail expectation
• Hedge credit
• Market sensitivities
• Mix of business