Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: The purpose of the article is to summarize the results and conclusions of the C-1 Risk Task Force Report prepared for the Committee on Valuation and Related Areas. A key question: Is the risk to insurance companies of defaults on junk bonds sufficient to justify increasing required surplus levels?

Description: The SOA is pleased to make available a report updating the 2012 risk assessment performed by Porteous et al. The report also provided an economic capital analysis for a stylized US plan with the same member profile and the USS provisions modified to reflect a typical US DB plan.

Description: Diverse Risks 2016 Call for Essays

Description: The asset portfolios of retirees’ serve many purposes including current income, liquidity, purchasing power, estate, tax minimization, and so on. Multiple objectives with different levels of importance lead to a complex asset allocation problem for retirees. Existing asset allocation methods normally focus on a subset of the multiple objectives of retirees in an approximate way. The simulation-based multiple objective asset allocation method objectively assesses each allocation plan against multiple objectives in a consistent way and provides a more holistic picture of possible outcomes. This information is critical for finding the optimal allocation plan. The optimization is based on the weighted performance relative to multiple objectives. At the same time, it requires more inputs and advanced modeling.

Description: This report describes trends in asset allocation of major life insurers across eight Asian markets.

Description: It is the purpose of this paper to examine the questions of equity, and practicality of refinements in, the methods of allocation of net investment income and gain by line, class or subclass. Discussions of this paper are included.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: Complete issue of the August 2014 Risk Management newsletter.

Description: This paper develops a detailed mathematical basis for the investment generation technique for allocating assets and investment income across lines of business in an insuance company.