Description: This 1978 session focused on valuation techniques for pension plans. Topics covered: 1. Asset Valuation Methods 2. Use of projections and forecasts 3. Has application of forecasts allowed the actuary to determine short range best estimate of future costs different from traditional methods? 4. Treatment of salary scales, turnover assumptions, retirement decrements

Description: This 1978 session focused on Group Life Insurance. Questions discussed included: 1. How does current group mortality compare with the 1960 Basic Group Mortality Table? 2. What is the relationship of female to male mortality rates? 3. How do the premium rates of insurance companies compare with the 1960 Basic Group Mortality Table? 4. What group and industry experience indicate the appropriateness of premium discounts and loadings? 5. To what degree are alternative funding approaches utilized for group life insurance? 6. How many life years of exposure are necessary for credibility to be given to the experience of a group? 7. What measures are utilized to hold experience fund deficits to a manageable level for group life? 8. What is the proper reserve for pending or unknown death claims? 9. What is the proper reserve for pending or unknown disability waiver of premium claims? 10. What is the proper reserve for approved waiver of premium claims?

Description: In this presentation, the authors develop a stochastic generator for the generation of scenarios of the S & P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. They first create a set of 'stylized facts' for these series. These in-sample statistical models are themselves not suitable for generation of scenarios for decision making, but instead are additional stylized facts that assist in model development. The 'best' statistical model according to standard statistical model selection criteria can easily lead to a model that is highly unsuitable for generation of scenarios for decision making. The authors develop a stochastic generator that is suitable for decision making under uncertainty. From Actuarial Research Clearing House 1997, Vol. 1.

Description: The so-called pension max life insurance marketing concept is generating a great deal of excitement among life insurance marketers. It's also received some skeptical reviews in the popular news media, the most recent being a Newsweek article by Jane Bryant Quinn in the April 4, 1994 issue. The marketing concept calls for electing an unreduced pension, that is, maximizing the pension, in lieu of electing a reduced contingent annuity [CA] or joint and survivor [J&S] option. Further, the marketing concept calls for the purchase of life insurance on the employee to substitute for the economic exposure created by not electing the CA or J&S option. Although the marketing concept is clear and simple, its economics continue to generate a great deal of discussion. This paper attempts to add some clarity to this issue. From Transactions of Society of Actuaries 1995, Vol. 47.

Description: One important lesson learnt from the recent financial crisis was that overreliance on financial models could lead to unforeseen and harmful consequences. Model risk management (MRM) is becoming a core and mandatory component in enterprise risk management for many financial institutions, especially Fed/OCC CCAR-compliant firms. In recent years, insurance companies are also being required to have model risk management programs by Solvency II, ORSA and other supervisory guidance. MRM is not just model validation. It consists of governance and policies regarding a model's life cycle including data, model development, model test and implementation, model validation, model monitoring and documentation. It also provides guidelines and standards for risk assessment and model inventory management. The presenters will discuss current and best practice MRM, approach for model validation and auditing, as well as topics for technical issues such as types of model risks. It will also discuss the differences between Fed/OCC standards and Solvency II standards. At the conclusion of the session, attendees will be able to: Describe best practice in model risk management; Explain requirements and standards; and Develop model validation procedure.

Description: Through a case study, this session at the 2004 Valuation Actuary Symposium explores the issues e.g., grouping, expenses, time period, etc. involved in determining deficiencies reserves for health products. Accounting guidance and standard industry procedures are discussed.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. In this open forum participants' questions were addressed by experts in the field. Some of the questions: 1. How does actuarial practice develop with regard to questions about interim results and asset-adequacy analysis projections? 2. If the present value measures used in typical asset-adequacy evaluation include a favorable adequacy opinion, are there patterns of interim results that under commonly accepted actuarial practice would require additional reserves to be established? 3. What is the most extreme stochastic modeling that you have seen? How many scenarios on how large a block, on how complex a model, on how many PCs or what type of computer that ran for over how many days? 4. Is codification retroactive? Does it impact any previous reserving methodologies put in place on policies issued before codification was effective? 5. What are your individual views on whether the federal government should provide a backstop to group or individual life insurance to handle terrorism catastrophes? 6. What are your thoughts are on the move toward stochastic methods for setting reserves?

Description: This session will cover current tools and techniques for excellent data visualization and understanding.

Description: Asset cash flow modeling and asset assumptions are growing in importance with PBR especially considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee have formed a Low Interest Rate Asset Adequacy Testing Task Force which has conducted an industry survey to raise awareness and summarize the actuarial best practices for financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny on the asset side ratchets up, actuaries must consider how best to develop the asset assumptions as well as model the reinvestment and disinvestment strategies. Coherent assumptions and modeling practices across modeling exercises are expected while respecting the purpose of each calculation.