Description: A discussion of methods used to determine the liability of segregated fund or separate account investment guarantees.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: Provides a metric based on the concept of "entropy" from information theory/signal processing, for modifying a stochastic scenario set to meet pre-defined targets on average across the set. Explains the concept and develops it in simple examples. Illustrates why an optimal adjustment to the scenario set is one that maximizes entropy. Provides guidelines to limit use of the technique appropriately and avoid invalid application of the tool.

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: This presentation is a Teaching Session, number 30TS, from the 2002 Valuation Actuary Symposium, held September 19-20 in Lake Buena Vista, FL. The panelists discuss modeling issues for products with embedded options, such as minimum living or death benefit guarantees on variable life and annuities, and annuity death benefit enhancements. They discuss the risks posed by these features and products, selecting realistic dynamic assumptions, techniques used in modeling these features and products, stochastic analysis, and presenting results to best communicate risks clearly. Discussion from participants is included.

Description: The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic i.e. non- stochastic framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

Description: This paper discusses some of the models used to quantify risk, note some areas where improvements in standard methods are needed, and in some cases suggest alternative approaches for risks in Property and Casualty Insurance and Life Insurance.

Description: In this note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal generators and Laplace transforms. Using these same tools, it is shown that the probability of ruin has an algebraic decay rate if the insurance company invests its capital in a risky asset with a price which follows a geometric Brownian motion. The latter result is shown to be valid not only for exponentially distributed claim amounts, as in Frolova et al. 2002, but, more generally, for any claim amount distribution that has a moment generating function defined in a neighborhood of the origin.

Description: This research report on the effect of deflation or high inflation has six sections: 1. The first section provides background on inflation, describes some problems in measuring inflation, and explains some of its effects on an economy. 2. The second section reviews historical inflation rates. 3. The third section examines the effect of inflation or deflation on the property-liability and life insurance industries. 4. The fourth section proposes risk mitigation strategies for insurers to cope with either deflation or high inflation rates. 5. The fifth section describes a publicly available model that can be used to develop inflation/deflation projections under a regime switching format that can readily be adjusted to reflect current financial uncertainty. 6. The sixth section provides conclusions.

Description: Panelists discuss economic capital, capital modeling, and hedge modeling, especially for guaranteed living benefits [GLBs] on variable annuities. Session 34PD of the 2005 Valuation Actuary Symposium.