Description: This paper introduces the symbolic valuation, a stochastic valuation which allows flexible interest rate and cash flow assumptions, and provides an illustration which values a simple SPDA product. From Actuarial Research Clearing House 1992, Vol. 1.

Description: There will be inflection points in the value of an instrument when interest rates change. These inflection points could materially impact the approximation of value change using ALM metrics. In this part of the seven-part series, I will highlight: • How to identify the inflection points; • the range of rate changes where ALM metrics may be relied upon i.e., the “validity” range, outside of which recalculation of the ALM metrics is required and the potential that one needs to rebalance the portfolio; • a technique to improve on the approximation of value change beyond the validity range; and • a technique to convert non-linear change on the yield curve to be used with duration and convexity.

Description: S&P Global released its initial version of proposed changes regarding its Insurer Risk-Based Capital Adequacy methodology and assumptions on Dec. 6th, 2021. Unlike prior guidance notes or criteria releases, the proposed changes comprehensively updated the current S&P rating criteria released in 2010. These updates would directly impact many insurers. S&P Global anticipates that 10 percent of existing ratings in the insurance sector would be impacted and the change would lead to more positive rating implications than negative impact. This article focuses on the proposed changes on the S&P risk-based capital (RBC) vs. the current model, then simulate impacts to a representative U.S. life insurer through an illustrative case study.

Description: Many seniors who own houses in the United States have most of their wealth in their houses. Home Equity Conversion Mortgages are designed to allow seniors to borrow money against their house. This paper describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the senior is alive and living in his/her home. From Actuarial Research Clearing House 1990, VOL. 2.

Description: The Life Meeting, is the result of combining the Life & Annuity Symposium (LAS) and the Valuation Actuarial Symposium (ValAct). The Life Meeting will offer sessions specific to pricing and valuation as well as sessions on emerging issues relevant to both groups. These common themes include InsurTech, diversity, accounting change and the current economic environment.

Description: Hot Topics in Setting Pension Return Assumptions is the third in a series, following Mathematics of Pension Return Assumption and Inflation, focusing on Effects, Forecasts, and Role in Pension Valuations. What time horizon is more appropriate for Capital Market Assumption (CMA) forecasts: mid-term or long-term time horizon, or a blend of both? How do we map the asset classes of a plan's own investment policy to the asset classes of investment forecasters' CMAs? If we use asset-smoothing for valuation assets, should we use market-driven expected returns or smoothed/average versions of them?

Description: The purpose of this paper is to provide a method for calculating special contingency reserves for investment losses. The method is derived by first building a stochastic investment model and then utilizing its probabilistic structure. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: At the conclusion of the first part, attendees will be able to describe sources of reserve redundancy for products under Principle Based Reserve (PBR) and products under Commissioners' Annuity Reserve Valuation Method (CARVM). Such products include Term Life, Whole Life, Universal Life, and Fixed Annuity with and without rider. We will also review sources of capital redundancy from the C-1 factor under Risk-Based Capital (RBC) and assets such as Unrated Asset Credit Fund can have high C-1 factor even if its risks are limited. At the conclusion of the second part, the attendees will learn about potential Reserve Relief reinsurance solutions. Such solutions can provide Reserve Relief for annuity and term life businesses, as well as potential innovative asset-side solutions. Asset managers can structure assets that the C-1 factor aligned with the corresponding risk.

Description: This paper explores the considerations involved in the merger of mutual life insurance companies, with emphasis on the unique problems of maintenance of equity between the various policy owners affected. The paper written by Howard Kayton and Robert Tookey is followed by a discussion from several people

Description: 1999 SOA Regional Meeting, Atlanta. In this presentation on translating bond default experience studies into a pricing deduction, the panelists focus on: 1. An approach to anticipating defaults of publicly rated companies. 2. Use of bond default experience studies in a specific company environment. 3. A Wall street approach.