Descriptions

A1–Mortality Risk Management–Solutions in Longevity Derivatives

Moderator:
Nicola Barrett, FSA, MAAA

Presenters:
M. Bryan Freeman Habersham Funding, LLC
Don Solow, Wachovia Capital Markets

From newspapers to television, life settlements are getting more and more publicity, and investors are showing more creativity in the ways mortality can be structured, packaged, and traded. This session focuses on:

• Secondary trading performance of life settlements during the financial crisis
• Use of off-shore funds based on underlying portfolios of physical or synthetic life settlement portfolios to provide investors with desired exposures
• Applications of derivatives, notes, swaps, and indexed funds for investors

F1–What Are We Hedging Anyway? GAAP, Stat, or Economics?

Moderator: Amit Ayer

Presenters:
Ross Bowen, FSA, CFA Phoenix Life Insurance Company
Jim Lloyd, MD Societe Generale

The adoption of Principles Based Reserving methods has made the process of hedging more complicated. Gains on a hedging strategy that protects GAAP earnings may not protect company surplus. Some companies are implementing macro hedges that protect the statutory balance sheet as an overlay to GAAP hedges. Ideally a macro hedge protects downside without giving up too much upside. In this session the panel will cover:

• Rules involved in taking statutory credit for derivatives holdings in the standard scenario
• Challenges to modelling in stochastic-on-stochastic world
• Various macro hedging strategies and their impact on GAAP, stat, and economic measures

I1–Pensions without Tears?

Moderator:
Eric Palley

Presenters:
Karen Harris, ASA Callan Associates Inc.
Igor Balevich, FSA, EA, MAAA Barclays Capital

The global financial crisis has once again triggered vigorous debate on asset allocation for pension plans, where the "old approach" of implementing a static policy may no longer be optimal. As the marketplace shifts its focus more towards risk management, at the forefront of this shift is dynamic asset allocation. This session will provide:

• Overview of dynamic asset allocation techniques, which plan sponsors may adopt
• List of implementation challenges one might face going down this path.

A2–Deflation and Extreme Inflation–Severity, Timing, and Risk Management

Moderator:
Allan Levin, FSA,CFA, FIA

Presenters:
Riddhi Barman, Deutsche Bank
Gang Hu, PIMCO
Torsten Slock, Deutsche Bank

The direction and magnitude of inflation in the near term has attracted many different views from economists, as well as a variety of suggestions from investment professionals on what to do about it. This session will explore these topics by focusing on the following:

• Inflation outlook–what are the potential scenarios and their likely probabilities?
• Inflation volatility–how long will it last? How has it changed participants' views on inflation risk?
• Risk-managing inflation exposure–tools and instruments available. What are institutions implementing?
• Emerging trends–how is the market developing?

F2–VA Guarantees–Lessons from the Past Year

Moderator:
Bogdan Ianev, FSA, CFA, MAAA

Presenters:
Andy Rallis, FSA, MAAA MetLife
Shuang Chen, FSA Prudential
Eric Lhomond, CFA AXA Equitable

The recent economic crisis has forced (re)insurers to re-evaluate their hedging strategies and policyholder behavior assumptions. This session will explore:

• What we have learned about VA hedging through crisis.
• How did policyholder experience over the past two volatile years compare to expectations?
• Implications on companies' hedging strategies and product design

I2–Strategic Asset Allocation in Action

Moderator:Ed Martin, FSA, CFA, MAAA

Presenters:
Ellen Cooper, CERA, FSA, Goldman Sachs
Thomas Idzorek, CFA Ibbotson Associates

Have traditional asset allocation techniques been proven outdated? Are they still relevant to insurers and pension funds? Our presenters will provide the latest thinking on the topic by exploring:

• Current best practices in strategic asset allocation analysis
• Ways of implementation by investors
• Strengths and weaknesses of different approaches
• Impact of investor constraints on the investment strategy

A3–Catastrophe Bonds–A Diversification Tool

Moderator:
Jingsu Pu, CERA, FSA, FRM

Presenters:
Maria Wittman, Swiss Re
Stuart Silverman, FSA, MAAA, CERA Milliman

Investors are looking for alternatives to diversify their portfolio after recent financial market volatility. This session will discuss how Insurance-Linked Securities (ILS) fits in as a good diversification tool and its recent performance. It will cover ILS such as Catastrophe Bonds, Industry Loss Warranties (ILW), Extreme Mortality Bonds, and life securitization related to XXX, AXXX, embedded values, and capital relief. In particular, it will focus on:

• Correlation of ILS performance with general financial market.
• Current supply and demand.
• Recent development and innovation.

F3–Replicating Portfolios in the Insurance Industry

Moderator:
Hueyfang Chen, CERA, FSA

Presenters:
Curt Burmeister, Algorithmics
Mike Dorsel, ASA, CFA Aegon
Patricia E. Matson, Principal, Deloitte Consulting LLP

Replicating portfolios have long been considered in the insurance industry as a powerful tool to understand and manage the insurance liability. It has become even more popular as innovation on insurance products exposes the industry to bigger financial market risks. This session will discuss:

• How far has the insurance industry gone in applying the replicating portfolios technique in risk management, internal reporting, hedging, and solvency measures
• Benefits realized for use of replicating portfolios
• Difficulties in applying replicating portfolios to insurance liability
• Potential solutions

I3–Challenges in Index Replication

Moderator:
Allan Levin, FSA, CFA, FIA

Presenters:
Matthew Roux, Deutsche Bank
Solomon Teller, CFA, Proshares ETFs and ProFunds
Miguel Alvarez, Deutsche Bank

During the volatile environment of the past two years, correlations between asset classes deviated significantly from their historical performance. The resulting high basis risk across various funds and indices has presented several challenges for index replications. This session will provide an update on index replication by exploring:

• Delivery of index returns–cash vs. futures vs. structured notes vs. ETFs vs. swaps. Pros and cons of each
• Leverage–wicked or wonderful?
• Methodology and processes in implementing index replication
• Tracking error–what are the main culprits and can they be tamed?
• Market Crisis–divergence from benchmarks and other issues around index replication under stress

A4–Momentum and the Financial Crisis

Moderator:
Eric Konigsberg, FRM, PRM, CAIA

Presenters:
Ann Tucker, Ph.D. Stony Brook University

The momentum factor is a well documented market anomaly that continues to exhibit strength well after it was first documented in the academic literature. There is evidence that momentum exposure, or long exposure to assets with good recent performance and short exposure to assets with poor recent performance, is especially widespread within the hedge fund community. The extent of the exposure became painfully clear during the third and fourth quarters of 2008 when Lehman's bankruptcy triggered a global unwinding of risk in almost every asset class. This session explores:

• The contribution of momentum-related strategies in equities, commodities, interest rates, and foreign exchange to the buildup of risk in the global financial system and the chaos that ensued when the great reversal occurred
• The roles played by the U.S. dollar and the Japanese yen as carry currencies of choice during this period in the context of the momentum environment and the unwinding of the carry trade

F4–ALM in Today's Environment

Moderator:
Frank Zhang, FSA, CFA, FRM, MAAA, PRM

Presenters:
Pin Johnny Chung, Allianz Life Insurance Co of North America
Axel Andre, Goldman Sachs

Interest rates in the U.S. are at their lowest levels for many years. As a result, financial institutions are very focused on the best way to achieve efficient asset-liability matching policy while watching out for potential rising in interest rates. This session explores:

• How the insurers and/or banks manage the interest rate risks
• Managing margins in relative low interest rate and high credit volatility environment
• Keeping the earnings at risk under control
• ALM Framework–are revisions necessary given recent market events?
• Managing interest rate risks when in both rising and falling interest rate environment

I4–Market Overview and Trends in Insurance Portfolio Management

Moderator:
Ken Griffin, ASA, CFA

Presenters:
Len Carlson, Conning
Scott Robinson FSA, CFA, Moody's
Greg Smith, FSA, MAAA, Conning

In the aftermath of the credit crisis of 2008, discussion frequently arise on the past, present and future state of the economy and capital markets. This session will explore:

• Effects of government intervention on the economy and markets over the short and long term. Are there permanent distortions?
• What can investment managers expect going forward?
• Have rating agencies altered their approach to analyzing life insurance companies as a result of the past year?
• What are rating agencies focusing on for 2010 and beyond?
• How do credit ratings of life insurers compare to market-implied ratings?
• How did differences in investment strategies play out during the financial crisis?

A5–Foreign Exchange as an Asset Class and as a Pivot to Cross Asset Hedging

Moderator:
Josee Deroy, FSA, CFA, MAAA

Presenters:
Cyrille Buisson BNP Paribas
Raghu Ramachandran, Old Mutual (Bermuda) Ltd.

Insurance companies have significant operations abroad which may have not necessarily required specific foreign exchange (FX) hedging strategies in the past. Some immediate consequences of currency strengthening / weakening on profits repatriation, for instance, have been recognized and absorbed reasonably through P&L volatility while others have created concerns on risk based capital requirements. This session will explore:

• Techniques applicable on specific currencies where FX hedging becomes critical
• Option strategies
• Ways to generate alpha
• The use of cross-gamma to leverage hedging profiles

F5–Accounting Considerations for Insurance Companies

Moderator:
Ross Bowen, FSA, MAAA

Presenters:
Michael Lockerman, FSA, MAAA, PricewaterhouseCoopers
Brian Jobe, Deloitte

The financial crisis roiled the financial services industry in many ways, but perhaps none were as significant as the mark to market issue for assets in frozen markets. The panel will update the attendees on:

• Asset valuation issues in the various accounting regimes that apply to the insurance industry
• Other recent changes in accounting rules

I5–Investment Assumptions for a New World

Moderator:
Ken Griffin, ASA, CFA

Presenters:
Daniel Finn, ASA, FCAS, Conning
Anthony Dardis, FSA, FIA, MAAA, CERA, Barrie & Hibbert
Edward Yao, FCAS, Conning

Recent financial events have forced investors to evaluate development of their investment assumptions. The following questions will be addressed in this session:

• What impact has the economic crisis had on expected asset returns, volatility, and correlations
• How well have models predicted the extreme events of the past two years
• Are current modeling techniques sufficiently robust to capture the risks inherent in financial institutions

A6–Default and Distress in RMBS and CMBS

Moderator:
Daniel Hui, FSA, CFA, FCIA, MAAA

Presenters:
Laurie Goodman, Amherst Securities Group LP
Ted Hong, Beyondbond, Inc.

Two of the biggest investments on insurance companies' book are CMBS and RMBS. This session features two speakers who are active in this space to discuss:

• The challenges and issues facing practioners and investors
• Future trends in residential and commercial properties market

F6–Liability Driven Investing

Moderator:
Navin Sharma

Presenters:
Ken Akoundi, Deutsche Bank Securities Inc.
Ronald Ryan CFA, Ryan ALM, Inc
Shalin Bhagwan, Legal & General Investment Management
Chad Hueffmeier

The financial crisis tested strategies employed by investors seeking to match assets to liabilities. This session will cover:

• Strategies being employed in liability-driven investing (LDI)
• Changes in the LDI landscape resulting from the financial market turmoil
• How successful have LDI strategies been?
• Evolution in the thinking about LDI

I6–Capital and Liquidity Considerations for Effective Risk Management

Moderator:
Shaio-Tien Pan FSA, MAAA

Presenters:
Al Capra, MD, Societe Generale
Martin le Roux ING, Investment Management
Michael Sheptin, Ernst & Young LLP
Byron Clift, Ernst & Young LLP

In 2008, liquidity showed its ability to evaporate even from the most liquid of markets. Everyone was holding on to their cash and capital became of concerns for many insurance companies. This session will explore the interaction between the insurers and the capital markets and the ways to successfully mitigate these risks by focusing on:

• What are the implications to insurers
• What funding strategies are available to insurers
• Managing liquidity gap
• What are the relevant stress scenarios for testing liquidity and funding risks
• How capital management and liquidity management interact

A7–Incorporating Government Actions in Investment Decisions

Moderator:
Bogdan Ianev, CFA, FSA, MAAA; Kishore Yalamanchili, Blackrock

Presenters:
Chandrajit Bhattacharya, Credit Suisse
Mani Sabapathi FSA, CFA, Prudential
Kishore Yalamanchili, Blackrock

To curb a financial system breakdown, the U.S. Government implemented a number measures to slow down mortgage foreclosures and alleviate some of the financial burden from the struggling consumer. This session will study the effectiveness and impact of these programs by focusing on:

• Impact that Government actions taken in 2007/2008 to slow mortgage loan foreclosures have had on actual mortgage performance
• Level of utilization of such programs by customers and servicers
• Impact on mortgage loan performance
• Implications of these steps on the investment decision-making process

F7–Investment Implications of a Principal-Based Approach to Capital

Moderator:
Ross Bowen, FSA, CFA, MAAA

Presenter:
David Wicklund FSA, CFA, MAAA, Ernst and Yound LLP

Regulatory framework modernization is taking place throughout the industry both domestically and abroad –C3P2 and AG43 are in effect in the U.S., and Solvency II is being implemented internationally. Like the principles-based regulations in place for fixed and variable annuities, all U.S. life products will soon fall under the new C3P3 regulation. The panel will update the attendees on the following:

• Developments in the principles based world
• Impact on capital and reserve levels
• Resulting implications on investment policy

I7–Impact of Economic Crisis on OTC Derivatives Markets for Insurers

Moderator:
Frank Zhang, FSA, CFA, FRM, MAAA, PRM

Presenters:
Naveed Choudri, Credit Suisse Securities LLC
Sean Huang, MetLife
John Wiesner, CBOE

In light of increased counter-party risk awareness among traders and companies, more market participants are looking for ways to mitigate credit concerns. This session will focus on the developments in the derivatives markets and will cover the following topics:

• The new focus on counter-party risk management
• Managing hedging programs with limited trading liquidity
• The stress scenarios of limited trading liquidity
• Interactions of credit risk and trading liquidity
• Use of OTC markets vs. exchanges