Description: 1996 Valuation Actuary Symposium. This session discusses the purposes of building an asset model, the resource requirements, model validation, model granularity, understanding spreads, and model interest rates.

Description: This article addresses the difficulties of risk modeling in a poor economic environment. The problems include imperfect vendors of data, facing events that have never occurred before, unpredictable consumer behavior, conflicting data sources, and AAA credit doesn't always mean AAA.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This article explains the concept of 'duration' for measuring asset sensitivity to interest rates, looks at different types of duration, and implications of relying on the wrong measure.

Description: How to set asset assumption, at the cycle or through the cycle and other considerations

Description: Real estate practitioners are increasingly using “economic location,” rather than “geographic location,” as their primary analytic tool. That trend has gained substantial support among academics and practitioners who believe “economic location” is a more effective basis on which to build the analysis of risk in real estate portfolios.

Description: 1996 Valuation Actuary Symposium. In this practitioners' forum the participants discussed interest rate scenarios that are used in cash-flow testing, what projection results you look at to determine whether you have a good result or a bad result, the concept of just what is reserve adequacy, and what does it mean to say that reserves are adequate.

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This article discusses calculating the present value given a set of non-level interest rates and a stream of cash flow emerging from that context. This is the nub of a problem that surfaces in determining the adequacy of a reserve in a manner which fully takes into account both the assets and liabilities involved.

Description: This article provides guidelines for practitioners of risk management. These guidelines fall under four general headings: 1. Understanding and fulfilling your role in the organization. 2. General risk management. 3. The use of derivatives. 4. Risk measurement systems.