Market risk benefits (Tables)

6 Months Ended

Jun. 30, 2023

Market Risk Benefit [Abstract]

Market Risk Benefit, Activity

The following table presents a roll-forward of MRB:

	Six Months Ended June 30
(in millions of U.S. dollars)	2023		2022
Balance – beginning of period	$	800	$	812
Balance, beginning of period, before effect of changes in the instrument-specific credit risk	776		755
Interest rate changes	37		(356)
Effect of changes in equity markets	(144)		482
Effect of changes in volatilities	31		62
Effect of timing and all other	6		(46)
Balance, end of period, before effect of changes in the instrument-specific credit risk	$	706	$	897
Effect of changes in the instrument-specific credit risk	16		17
Balance – end of period	$	722	$	914
Weighted-average age of policyholders (years)	73		73
Net amount at risk	$	2,048	$	2,667

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

For MRB reinsurance, Chubb estimates fair value using an internal valuation model which includes a number of factors including interest rates, equity markets, credit risk, current account value, market volatility, expected annuitization rates and other policyholder behavior, and changes in policyholder mortality. All reinsurance treaties contain claim limits, which are also factored into the valuation model.

	Valuation Technique	Significant Unobservable Inputs	June 30, 2023			June 30, 2022
			Ranges	Weighted Average(1)		Ranges	Weighted Average(1)
MRB (1)	Actuarial model	Lapse rate	1% – 30%	4.0	%	3% – 31%	4.0	%
		Annuitization rate	0% – 100%	4.2	%	0% – 100%	4.4	%

(1)The weighted-average lapse and annuitization rates are determined by weighting each treaty's rates by the MRB contract's fair value.