Description: This paper examines the risks involved with equity investing for pension funds. From Transactions of Society of Actuaries 1959, Vol. 11, No. 31.

Description: 1998 SOA Spring Meeting, Maui. The panelists discussed the many factors involved with insurance company decisions on whether they are putting their money to work in a most prudent fashion. This session focused on the practical aspects of asset allocation.

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: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

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: 2002 Valuation Actuary Symposium, Lake Buena Vista, FL. In this teaching session the instructor explained how to scrutinize model results and use models to make strategic decisions. Specific topics included validation of asset models, modeling considerations for derivatives and assets with embedded options, using models to assist with portfolio management, and using models to improve portfolio yields and realized product spreads.

Description: This presentation is from session number 3, presented at the 1999 Valuation Actuary Symposium, held September 23-24 in Los Angeles. The panelists address specific asset modeling issues of current interest, including purpose of model considerations, dynamic reinvestment strategies, and less than rigorous modeling of asset optionality.

Description: Presented at May 2005 Spring Meeting. Panelists discuss the process of setting long-term investment assumptions from a practical perspective, including changes in equity return premium, use of risk-neutral scenarios and methodology, and special considerations for setting pricing scenarios.

Description: Presented at June 1996 Spring Meeting. Provides overview of modern pricing of assets such as derivatives. It includes theory and practical applications, particularly how they relate to insurance companies.

Description: Presented at May 1996 Spring Meeting. Panelists provide guidance and suggestions in modeling certain forms of an insurance company's assets, including equity and equity-linked notes, non-dollar investments, real estate, commercial mortgages, and asset pools.