Description: As the Valuation Manual continues to evolve and PBR standards for additional products are drafted and incorporated, it will become increasingly important for companies to understand where the requirements are consistent across products, as well as how they differ. This session will scan the life (VM-20) and annuity (VM-21, VM-22) PBR standards across the Valuation Manual to compare and contrast key requirements. Attendees will understand where common methods and techniques can be used across products and platforms. Attendees will also be better positioned to consider assumption and margin setting, asset and derivative modeling, and model efficiency techniques for all types of principles-based valuations. Additionally, this session will profile specific challenges that can arise when actuaries use models to project PBR reserves at future dates for internal planning, pricing, and projections across life and annuity businesses.

Description: An update on the Capital Market Assumptions used for asset allocation maybe useful to actuaries given the parallels with the assumptions an actuary uses to measure plan obligations.

Description: Presented at September 1995 Valuation Actuary Symposium. This session talks about the tools and methods for asset modeling, particularly mortgages and asset-backed securities.

Description: This paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.

Description: In order for actuaries to play a valuable role in the realm of enterprise risk management ERM, they must provide value-added advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan’s solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities.

Description: A discussion of the theory underlying risk neutral investment scenarios

Description: 1996 Valuation Actuary Symposium. This session about asset modeling discussed securities with options and derivatives, corporate government debt, mortgage-backed securities, collateralized mortgage obligations, real estate equities, and investment and disinvestment strategies.

Description: 2002 Valuation Actuary Symposium, Lake Buena Vista, FL. In this teaching session the instructor explained how to scrutinize model results and use models to make strategic decisions. Specific topics included validation of asset models, modeling considerations for derivatives and assets with embedded options, using models to assist with portfolio management, and using models to improve portfolio yields and realized product spreads.

Description: This paper explores some of the implications of rejecting the hypothesis that successive interest rate changes are independently, identically lognormally distributed on cash flow analysis. Discussions of this paper are included.

Description: This paper examines the risks involved with equity investing for pension funds. From Transactions of Society of Actuaries 1959, Vol. 11, No. 31.