Market risk benefits (Tables)

3 Months Ended

Mar. 31, 2023

The following table presents a roll-forward of MRB:


	Three Months Ended March 31
(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	63		(140)
Effect of changes in equity markets	(75)		111
Effect of changes in volatilities	57		37



Effect of timing and all other	(18)		(32)
Balance, end of period, before effect of changes in the instrument-specific credit risk	$	803	$	731
Effect of changes in the instrument-specific credit risk	27		34
Balance – end of period	$	830	$	765
Weighted-average age of policyholders (years)	73		73
Net amount at risk	$	2,296	$	1,913

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

March 31, 2023

March 31, 2022

Ranges

Weighted Average(1)

Ranges

Weighted Average(1)

MRB (1)

Actuarial model

Lapse rate

1% – 30%

4.0

3% – 31%

4.4

Annuitization rate

0% – 100%

4.4

0% – 100%

3.7

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