Agenda Day 3

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Tuesday, March 15
7:00 a.m. – 8:00 a.m.
8:00 a.m. – 9:00 a.m.

Presentation(s): View Presentation

Moderator(s): Frank M. Grossman, FSA, FCIA, MAAA

Presenter(s): Sherle Schwenniger

Actuarial models typically rely on a growth assumption -- growth in gross domestic product that is -- when gauging consumer demand for products or services, or projecting investment returns for example. Yet what are the prospects for GDP after seven years of anemic economic growth since the financial meltdown? The US economy has changed radically over the 45 years since GDP supplanted gross national product as the national account of interest. Digital manufacturing, the sharing economy and basic environmental sustainability weren't headline issues then -- but they are now. Join us for this session during which we'll take a hard look at GDP to determine whether it remains fit for purpose.

Session Coordinator(s) Frank M Grossman, FSA, FCIA, MAAA

Facilitator(s)

9:15 a.m. – 10:30 a.m.

Presentation(s): View Presentation

Moderator(s): Bruce Fox

Presenter(s): Mark C. Abbott; Jeff Jacobs; Vadim Konstantinovsky; Lisa Longino

Advancements in fixed income trading platforms and analytic tools continues at a rapid pace. Information is at the fingertips of institutional fixed income investors like never before. Despite this, there is widespread concern about a significant decline in fix income trading liquidity with many thinking the worst is still ahead of us. Given stable liabilities, insurance companies have been thought to be beneficiaries of the risk premium to be earned from less liquid assets. With changes in the nature of insurance liabilities, cash requirements under cleared derivatives and compression of a wide variety of risk premiums, this historic argument is worthy of a rethink. This session will delve into changes liquidity conditions and risk and opportunities for insurance companies.

Session Coordinator(s) Bruce Fox

Facilitator(s)

Presentation(s): View Presentation

Moderator(s): David Paul

Presenter(s): David Paul; Chad R. Runchey, FSA, MAAA

Analytical models of many descriptions and purposes are used throughout insurance and pension organizations. To the extent that a model is not reality but is merely a simplified representation of reality all models are subject to the risk of simply being wrong. This session will focus on the how financial organizations can quantify, document and reduce the potential for errors within their models. Due to regulatory concerns (as illustrated in Federal Reserve release SR 11-7) a consistently increasing amount of resources are being applied in this area. Industry critics have argued that this focus has been misplaced on trivial but easily identified problems (e.g. data quality) while ignoring the greater intellectual challenge of dealing with models that are theoretically unsound, as many believed played an important part in bringing forth the Global Financial Crisis of 2008-2009.

Session Coordinator(s) Ken Griffin, ASA, MAAA

Facilitator(s)

Presentation(s): View Presentation

Credits: 1.50 Noncore EA

Moderator(s): Thomas J. Egan Jr., FSA, EA, FCA

Presenter(s): Daniel P. Cassidy, FSA, CFA, EA, FCA; Jeri Savage; Richard M. Schmitt, FSA, MAAA, EA

DC plans have become the major retirement vehicle for most Americans. This session will present the results of an annual survey of investment practices of leading DC plans. Additionally, the speakers will present an approach to using DB-type hedging practices in custom target date funds and the advantages and the best approaches for participants for frequent rebalancing of DC plan accounts.

Session Coordinator(s) Thomas J. Egan Jr., FSA, EA, FCA

Facilitator(s)

10:30 a.m. – 10:45 a.m.
10:45 a.m. – 12:00 p.m.

Presentation(s): View Presentation

Moderator(s): Dan diBartolomeo

Presenter(s): Mike Ervolini; Hugh Massie

Behavioral finance is a term used to describe how the actions of investors (both individual and institutional) often seem inconsistent with traditional representations of economic utility (see Bernoulli 1738). This session will provide a background on these issues as they pertain to both investors, and financial service organizations that service investors. There will be three areas of focus, firstly showing that investors are often illogical or biased in their financial behavior for reasons that are ascribed to be psychological. Secondly, we will consider how such biases at board and senior management levels may negatively impact institutional investors. Finally, we will address retail investor behavioral traits and how those should be considered both in both the strategic and compliance aspects of long term investment plans.

Session Coordinator(s) Dan diBartolomeo

Facilitator(s)

Moderator(s): James G. Stoltzfus, FSA, CERA, MAAA

Presenter(s): James G. Stoltzfus, FSA, CERA, MAAA; Fiona Wing Sum Ng, FSA, CERA, MAAA; Yuan Yuan

Many long term asset owners believe that there is a substantial return premium associated with holding illiquid assets that are impractical for many investors that require liquidity. In particular, the level of disrepair of public infrastructure in many counties has led to a belief that financing public infrastructure offers superior return/risk tradeoffs for long term investors. At the same time there have been technical advances in the modeling of illiquid alternatives such that these investments can be evaluated on a level playing field with traditional traded asset classes.

 

Session Coordinator(s) James A. Kosinski FSA,MAAA

Facilitator(s)

Presentation(s): View Presentation

Credits: 1.50 Noncore EA

Moderator(s): Thomas J. Egan Jr., FSA, EA, FCA

Presenter(s): Jodan H. Ledford; Christopher M. Wittemann, FSA, CERA

This session will focus on the use of derivatives as part of an LDI strategy. The potential legal issues and the pros and cons from the sponsor's perspectives will be examined. Case studies will be presented showing how derivatives might be used for various types of employer and plan's funded status.

 

Session Coordinator(s) Thomas J. Egan Jr., FSA, EA, FCA

Facilitator(s)

12:15 p.m. – 1:15 p.m.

Moderator(s): Marc Groz

Presenter(s): Richard Borden; Anshuman Jaswal; Ron Quaranta

Whether or not bitcoin and related "programmable" currencies become mainstream, many technologists believe that the underlying technology of "block chains" can play a significant role in restoring trust to cyberspace, aka "the digital commons." How can this be accomplished? And what new risks are created in the process?

Session Coordinator(s) Marc Groz

Facilitator(s)