Description: This article addresses the serious consequences of non-compliance with Sarbanes-Oxley.

Description: Panelists at this session of the SOA 2003 Washington, DC Spring Meeting discuss how changes in interest rates affect the assets and liabilities of a life insurance company and what a company can do to prepare. This session examines historical trends in interest rates and how companies have reacted to both sudden and gradual changes.

Description: This paper examines the theory of surplus for a mutual life insurance organization. The paper tries to answer several important questions - What exactly is surplus, what is its purpose, of what magnitude might it be, from whence does it arise, and what are its implications with respect to equity between policyholders.

Description: At this session 164S of the New York Annual Meeting presenters discuss SOA-sponsored research on private placement asset risk and returns, and specifically the results of the 1986-94 Experience Study. Also examined are current and changing trends in the private placement marketplace. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: The Society of Actuaries’ Committee on Finance Research and Joint Risk Management Section Research Committee are pleased to make available a research report developing a framework for quantifying and analyzing various forms of contractual designs.

Description: This article summarizes key points from the recently published research paper “Deep Learning for Liability-Driven Investment,” which applies reinforcement learning and deep learning techniques to liability-driven investment (LDI).

Description: Read the June 2020 issue of Risks & Rewards published by the Investment Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This article defines operational risk, gives some real-life examples of improperly managed operational risks and the consequences thereof, and provides advice on steps necessary to mitigate operational risk.

Description: A central problem for regulators and risk managers concerns the risk assessment of an aggregate portfolio defined as the sum of d individual dependent risks Xi. This problem is mainly a numerical issue once the joint distribution of (X1,X2, . . . ,Xd) is fully specified. Unfortunately, while the marginal distributions of the risks Xi are often known, their interaction (dependence) is usually either unknown or only partially known, implying that any computed risk measure of the portfolio is subject to model uncertainty. Previous academic research has focused on the maximum and minimum possible values of a given risk measure of the portfolio, in the case in which only the marginal distributions are known. This approach leads to wide bounds, as all information on the dependence is ignored. In this paper, we integrate in a natural way available information on the multivariate dependence and provide easy-to-compute bounds for the risk measure at hand. We observe that incorporating the information of a well-fitted multivariate model may, or may not, lead to much tighter bounds, a feature that also depends on the risk measure used. We illustrate this point by showing that the Value-at-Risk at a very high confidence level (as used in Basel II) is typically prone to very high model risk, even if one knows the multivariate distribution almost completely. Our results make it possible to determine which risk measures can benefit from adding dependence information (i.e., leading to narrower bounds when used to assess portfolio risk), and, hence, to identify those models for which it would be meaningful to develop accurate multivariate models.

Description: This report covers credit risk loss experience during the period 2003 through 2015 on non-Rule 144A private placement securities (and, with limited exceptions, some specific types of Rule 144A bonds) held by participating companies of the life insurance industry.