Description: Presented at October 1996 Annual Meeting. This panel reviews asset valuation methods in use for retirement plans, pros and cons of each method, how to relate with actuarial assumption and solvency position, tracking with market value, and dealing with new asset categories.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: Panelists discuss the process and challenges presented by mergers or acquisitions. From the Record of the Society of Actuaries, Vol. 24, No. 2.

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 paper presents a model that projects withdrawal and investment returns for a hypothetical retirement account. From Retirement Needs Framework, M-RS00-1.

Description: Provides a how-to session on modeling assets and liabilities in the Valuation Actuary's work to comply with the Standard Valuation Law. Comparisons of the methods discussed are occasionally made with the requirements of New York Regulation 126. Session 12 of the 1991 Valuation Actuary Symposium.

Description: This session from the 1993 Valuation Actuary Symposium discusses the growth and deterioration of commercial mortgages and the modeling of commercial mortgages, real estate and CMO's.

Description: This abstract describes a paper that investigates how to best choose a model from a flexible set of regime-switching models where the individual regimes are not constrained to be from the same distributional family.

Description: This session at the 1997 Valuation Actuary Symposium presents the highlights of developing an asset model for asset adequacy purposes. Assumptions, projecting cash flows, and market values of the portfolio are discussed.

Description: Article AERF in The Actuary, May 1979, Volume 13, Number 5