Description: As the Valuation Manual continues to evolve and PBR standards for additional products are drafted and incorporated, it will become increasingly important for companies to understand where the requirements are consistent across products, as well as how they differ. This session will scan the life (VM-20) and annuity (VM-21, VM-22) PBR standards across the Valuation Manual to compare and contrast key requirements. Attendees will understand where common methods and techniques can be used across products and platforms. Attendees will also be better positioned to consider assumption and margin setting, asset and derivative modeling, and model efficiency techniques for all types of principles-based valuations. Additionally, this session will profile specific challenges that can arise when actuaries use models to project PBR reserves at future dates for internal planning, pricing, and projections across life and annuity businesses.

Description: This session from the 1993 Valuation Actuary Symposium looks at asset models and economic scenario generation.

Description: Asset cash flow modeling and asset assumptions are growing in importance with PBR especially considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee have formed a Low Interest Rate Asset Adequacy Testing Task Force which has conducted an industry survey to raise awareness and summarize the actuarial best practices for financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny on the asset side ratchets up, actuaries must consider how best to develop the asset assumptions as well as model the reinvestment and disinvestment strategies. Coherent assumptions and modeling practices across modeling exercises are expected while respecting the purpose of each calculation.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. Consequently, complete price sensitivity information is derived which is equally applicable in all yield curve environments. In addition, this model is practical and relatively easy to apply. From the Actuarial Research Clearing House ARCH 1989 Vol. 2.

Description: This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the multivariate context. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper examines a differential equation model, whose solutions have yield curve shapes. The paper also examines the relevance of the model with historical monthly U. S. Treasury nominal rates. From the Actuarial Research Clearing House 1992 Vol. 1 .

Description: This article suggests ways for small insurance companies to obtain modeling information on more intricate assets, such as collateralized mortgage obligations [CMO], at a low cost.