One of my colleagues, Chris Bailiss, has written a number of great articles describing how BI service applications authenticate in SharePoint 2010.  If you are interested then head over here to part 1 (link below) now:

http://blogs.msdn.com/b/mcsukbi/archive/2011/11/26/bi-service-applications-in-sharepoint-2010-authentication-classic-vs-claims-and-identity-delegation-kerberos-part-1.aspx