Description: Panelists at this session of the SOA 1998 Maui I Spring Meeting presents their approach to an integrated risk management framework that assesses the level of risk in the organization and where it lies on the balance sheet.

Description: 1993 SOA Annual Meeting in New York. This session is about an intercompany study on credit risk of private placement bonds and commercial mortgages. The development of the study, results for the 1986-1989 period, ongoing nature of the study, and company leverage were discussed.

Description: Brief note that the report of this task force appears as “The Risk of Asset Default,” by Irwin T. Vanderhoof, Faye Albert, Aaron Tennenbein, and Ralph Verni, in Transactions of the Society of Actuaries, Volume XL1 1989, pages 547-582, and is not reprinted here.

Description: Report presenting a detailed description of how the actuary can analyze C-3 risk, using asset-liability analysis.

Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: Presents a way to study C-1 risk 'default risk' for fixed-income assets in the context of asset/liability management. This approach utilizes cash flow projections and Monte Carlo sampling.

Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: This paper presents a straightforward method of building a consistent framework for C-1 risk reserve calculation. Sample levels of required surplus are derived for fixed income and equity investments. From Transactions of Society of Actuaries 1986, Vol. 38.

Description: 1993 SOA Annual Meeting, New York. Insurance regulators commissioned a task force to develop cash-flow variability measurement standards. This session presented the recommendations of that task force and the relationship to cash-flow testing. Topics included: 1. The regulatory need and how the process was approached. 2. The types of CMO variability that the standards attempt to address. 3. A description of the scenario selection process that's used in this model. 4. The prepayment assumptions and the method to be used to collect prepayment data. 5. The relationship to cash-flow testing. 6. The regulators' reactions.

Description: 2001 SOA Spring Meeting, Toronto. A wide range of tools exists in both the insurance and banking industries to measure and mitigate exposure to risk. For some risks, given their nature and volatility, real-time measurement and monitoring has become a necessity. This session focused on the risk management tools and techniques that measure and mitigate exposure associated with products that have embedded options.