Transition to a High Interest Rate Environment: Preparing for Uncertainty

The Society of Actuaries Research Expanding Boundaries (REX) Funding Pool, the Financial Reporting Section and the Committee on Life Insurance Research announce the release of a report that focuses on the impact of interest rate volatility on life insurance and annuity products. Performed by a research team led by Max Rudolph of Rudolph Financial Consulting, LLC, the paper examines the implications of interest rate changes for the life insurance industry, current stress testing practices, and how a risk manager can proactively prepare for an uncertain future. This paper uses a sample model office to help practitioners look at their own exposures. In addition, the paper summarizes results of a survey to establish current practices for how insurers are testing interest rate risk currently.

The Sponsors would like to thank the companies that participated in the study and the following individuals that served on the Project Oversight Group:

    Matt Clark, Chair
    Zoe Bi
    Donna Megregian
    Bill Sayre
    Mark Tanner
    Jim Thompson
    Ronora Stryker, SOA Research Actuary
    Jan Schuh, SOA Sr. Research Administrator

If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at rstryker@soa.org.