Market risk benefits (Tables)

3 Months Ended

Mar. 31, 2024

Market Risk Benefit [Abstract]

Market Risk Benefit, Activity

The following table presents a roll-forward of MRB:

	Three Months Ended March 31
(in millions of U.S. dollars)	2024		2023
Balance – beginning of period	$	771	$	800
Balance, beginning of period, before effect of changes in the instrument-specific credit risk	749		776
Interest rate changes	(57)		63
Effect of changes in equity markets	(77)		(75)
Effect of changes in volatilities	(20)		57
Actual policyholder behavior different from expected behavior	30		(2)
Effect of timing and all other	(31)		(16)
Balance, end of period, before effect of changes in the instrument-specific credit risk	$	594	$	803
Effect of changes in the instrument-specific credit risk	17		27
Balance – end of period	$	611	$	830
Weighted-average age of policyholders (years)	74		73
Net amount at risk (1)	$	1,683	$	2,296

(1)    The net amount at risk is defined as the present value of future claim payments assuming policy account values and guaranteed values are fixed at the valuation date, and reinsurance coverage ends at the earlier of the maturity of the underlying variable annuity policy or the reinsurance treaty. No withdrawals, lapses, and mortality improvements are assumed in the projection. GLB-related risks contain conservative mortality and annuitization assumptions.

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

For MRB, 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	March 31, 2024			March 31, 2023
			Ranges	Weighted Average(1)		Ranges	Weighted Average(1)
MRB (1)	Actuarial model	Lapse rate	0.5% – 30.0%	4.3	%	0.5% – 30.4%	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.