Description: This paper, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ presented by the SOA’s Committee on Finance Research, describes the results of a survey of industry practices on the mechanics and implementation of hedging programs used by life insurance companies to minimize risk for product guarantees on variable annuities.

Description: In this article, the current state of the liabilities market is discussed. Two paradigms are then explored for defining and subsequently calculating an insurance liability market value. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: 1994 SOA Spring Meeting, Orlando. This teaching session introduced Course 230 to seasoned actuaries who missed the opportunity to study ALM material on their road to Fellowship. The focus of this session was to expose the various subjects covered, identify reading materials, and highlight a few topics.

Description: The purpose of this paper is to provide a unified theory for the evaluation of underwriting requirements where this evaluation is based on the measurement of the levels of mortality costs associated with such requirements. A discussion of this paper is included.

Description: This session 5PD of the 1998 SOA Annual Meeting panel examines the recent developments and emerging thinking on efforts to explore and develop a fair value or market value based accounting approach. From the Record of the Society of Actuaries, Vol. 24, No. 3.

Description: This session at the SOA 1990 Annual Meeting looks at default risks and yield curve risk including discussion of historical experience, NAIC proposals for MSVR, duration leverage, and asset/liability management in a total return environment.

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. To motivate the multivariate approach, simple examples are presented that demonstrate the limitations of the traditional model when yield curve shifts are not parallel.

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. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper presents a new insight into the mathematical structure of asset share-type calculations. Asset shares are interpreted as accumulations of insurance cash flows, which along with their related investment income, are treated as Stieltjes integrals. From Transactions of Society of Actuaries 1978, Vol. 30.

Description: With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included.