Description: Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity measures, and regulatory demonstrations per VM-20.

Description: An observation is made regarding the impact interest rate scenarios have on VM-20 stochastic reserves.

Description: Results of an industry survey on life insurance companies' efforts to implement the recently adopted Life Risk-Based Capital Phase II Instructions, which include new requirements for variable annuity contracts. Adopted by the NAIC on October 14, 2005, the new requirements are effective for year-end 2005. Also discusses a summary of the requirements set forth in the instructions.

Description: This article discusses scenario generators to price or value insurance products.

Description: This article presents a case study that examines the implication of using real-world interest rate scenario generators with a block of fixed deferred annuities. We contrast cash flow testing results based on New York 7 deterministic scenarios to stochastic scenarios generated with the Academy Interest Rate Generator , as well as an alternative economic scenario generator designed explicitly to capture the risk of a persistently low interest rate environment and the transition to a rising interest rate environment.

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

Description: This article describes some of the drawbacks to the assessment of longevity risk adopted by most practitioners within the UK together with an initiative that provides a platform for an alternative approach that is both (a) more forward-looking in nature and (b) can complement current practices.

Description: Target volatility, as an investment strategy, has been used by many funds not only as a way to smooth return but also as a way to manage risks of the VA guarantees. Contrary to existing research which favors volatility targeting over fixed allocation, this article shows that because of the existence of market jump risk, target volatility strategy does not necessarily offer an improved risk profile for VA writers. Further, target volatility coupled with leveraging can significantly increase tail risk for insurance companies.

Description: This article discusses the pending elimination of Section 7 exemption for small companies.

Description: According to the Actuarial Standards Board’s Actuarial Standard of Practice No. 49 (ASOP 49), actuarially sound Medicaid managed care capitation rates will include a provision for underwriting gain in order to provide compensation for the risks assumed by an MCO. However, there is no generally accepted method for quantifying underwriting gain in managed Medicaid capitation rates. This article discusses a new model developed to address this void and calculate underwriting gain. The model was developed by researching existing financial literature and performing a statistical analysis of industry data to build out a framework that can be leveraged to estimate underwriting gain.