Description: Economic Scenario Generator - Investment Section Web Series Session #2 - Real World This session will cover the following points: 1. NAIC ESG 2. Strategic Asset Allocation and Optimization Techniques 3. Covid-19 Postmortem: Modeling and calibration changes because of recent events

Description: Discussion of the new scenario generator selected by the NAIC and its behavior at low interest rates.

Description: Since insurance contract liabilities are uncertain in amount, an estimate is required. And under most accounting frameworks, the estimate of an uncertain amount should contain some sort of margin for uncertainty. This paper provides a mathematical connection between that margin and the market price of risk as measured by the cost of capital. The connection makes use of the theory of utility and an exponential utility curve.

Description: Scenario generators used in financial models to quantify risk are sometimes described as being as either “real-world” or “risk-neutral”. The difference is in the treatment of the market price of risk. This report explores the relationship between real-world and risk-neutral scenarios and when it is appropriate to use each type.

Description: The Society of Actuaries Smaller Insurance Company Section, the Financial Reporting Section, and the Committee on Life Insurance Research are pleased to make available new research investigating simplified methods for determining reserves under VM-20.

Description: A discussion of setting margins for financial reporting of insurance contract liabilities, with a focus on the cost - of - capital approach.

Description: The author refers to a separate article in this edition of Risks and Rewards, in which Babbel, Gold and Merrill provide an excellent exposition of three approaches to present-valuing a series of risky cash flows and provide several insights into the way modern finance theory deals with risk. The purpose of this article is to bring these insights to the world of insurance risks and view them in relation to existing actuarial techniques. The author also discusses direct discounting and the actuarial appraisal method and their consistency.

Description: Full version of The Financial Reporter, Issue No. 65, June 2006.

Description: This research report analyzes the risk associated with the use of models through the potential for model error.

Description: This presentation is a panel discussion, session number 33PD, from the 2002 Valuation Actuary Symposium, held September 19-20 in Lake Buena Vista, FL. The panelists provide an update of the 2002 progress made by the International Accounting Standards Board [IASB] in moving to a type of fair-value reporting as presented in the IASB’s draft statement of position on insurance accounting. The panelists then present arguments supporting and opposing fair-value reporting, including comparison with U.S. GAAP accounting. Discussion from participants is included.