Description: This session from the 1993 Valuation Actuary Symposium focuses on problems and solutions observed by consulting firms including cash flow testing, modeling of assets and liabilities, who the valuation actuary relies upon and the software being used for valuation actuary work.

Description: This session from the 1993 Valuation Actuary Symposium focuses on general modeling issues associated with the completion of the opinion and memorandum required by revisions to the Standard Valuation Law. It concentrates on liability modeling.

Description: U.K. life insurers writing participating business are required by the Financial Services Authority to value their assets and liabilities on a market-consistent basis. The purpose of this paper is to: • Explain the valuation approach based on market-consistent values and its rationale. • Set out the issues faced by life insurers in implementing the regime. • Explain how insurers addressed these issues. • Explain the importance of the modeling techniques they used.

Description: This session from the 1994 Valuation Actuary Symposium discusses expectations from asset adequacy analysis including the process of financial condition examination by regulatory authorities, asset cash flows particularly related to mortgages, reliance on investment professionals and recent developments at the NAIC level.

Description: 1987 Valuation Actuary Symposium. This session discussed the implementation of a solvency testing process, associated company considerations, and the ways in which the process might be viewed by other parties.

Description: This paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational risk capital charges for banks and insurance companies with regard to U.S. regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the aggregated capital charges in the context of various classes of copulas. From Actuarial Research Clearing House, 2006.

Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.