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Register for the Investment Day Webcast Series
Pension Discount Rates: Managing Pension Risk and Stakeholder Expectation
11:00 am – 12:15 pm ET
Moderator: Alexander Pekker, ASA, CFA, Ph.D.
Presenters: Ciaran Carr, CFA; Marina Mets, CPA, CMA
EA Credit: 1.50 Non-Core
Under U.S. accounting regulations, corporate (and other single-employer) pension plan liabilities are valued using yields on high-quality corporate bonds, generally interpreted to mean Aa. The limited nature of the Aa universe and different approaches to yield curve construction can result in variation in the Aa discount curves produced by different market participants. This variation has implications for pension valuation, risk management and investment management, including de-risking glide paths and liability-hedging portfolios. During this webcast, we will outline key aspects in the construction of Aa discount curves, explore real-world scenarios and suggest best practices for managing plan sponsor expectations.
Expected Shortfall: Rethinking Risk Measurement for ALM Portfolio
1:00 pm – 2:15 pm ET
Moderator: Tully Sun Cheng, FSA, CERA, MAAA
Presenters: Tully Sun Cheng, FSA, CERA, MAAA; Steven P. Miller, FSA, MAAA; Yazhong Wang
Many insurance companies have liability cash flows projected to occur more than 30 years in the future. Due to a lack of fixed income instruments with maturity greater than 30 years, cash flows past 30 years typically cannot be hedged effectively . One solution to this challenge is to divide the portfolio into two different pieces that address different liability cash flows:
- Liability-Hedging Portfolio: Designed to hedge the first 30 years of cash flows by reducing surplus volatility associated with interest rate risk and spread risk.
- Return-Seeking Portfolio: Designed to maximize returns and minimize risk to increase probability of meeting 30-year+ cash flow demands in 30 years. For the return-seeking portfolio, we argue that the appropriate risk measure is not asset volatility or surplus volatility, but it's the probability of meeting the cash flow requirement in 30 years.
In this webcast, we develop a strategy to find the portfolio that minimizes the probability of shortfall with discovering that it may not even fall on the mean-variance efficient frontier. By finding an optimal solution for each portfolio and then reaching an optimal combination of the two portfolios, a life insurance company can find a solution for the total portfolio while incorporating different risk considerations.
Scenario Planning for Emerging Risks
3:00 pm – 4:15 pm ET
Moderator: Gary A. Hatfield, FSA, CERA, MAAA
Presenter: Mark E. Alberts, FSA, MAAA; Max J. Rudolph, FSA, CERA, CFA, MAAA
Recent SOA research investigated the potential causes and impacts of a low-growth economic environment, extreme levels of interest rates, and emerging risks of all types. Scenario planners should plan for the impacts of both high and low interest rates, possible regulatory changes, pandemics and climate change. A low-growth environment will require choices to be made between worthwhile objectives.
Your registration includes access to the subsequent webcast recording.
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The SOA is committed to fulfilling your professional development needs during this unprecedented time as we face the COVID-19 pandemic. With most organizations working remotely, we want to make it easier than ever to access our webcasts. You may use your organization’s technology to broadcast SOA webcasts to those working remotely when you select the 3+ option. You will not need to purchase additional links for remote viewing. This option will remain in place until social distancing guidelines are lifted by the CDC and other governmental authorities.