Description: 2011 Enterprise Risk Management Symposium. Chicago. This is the abstract of the entitled paper.

Description: This abstract describes a presentation that compares the fee obtained to the one deducted throughout the contract.

Description: This abstract describes a paper that lays out a theoretical basis with a parametric model to analyze the impact of the VIX-linked fee structure.

Description: Tidbits include discussions about: Policy loans in excess of cost basis, treatment of loss adjustment expenses, LAE, for life insurance companies, and separate account investments in group trusts.

Description: Starting with a review of recent VA and FIA industry policyholder behavior experience, this session will explore several critical elements in developing a sustainable and coherent framework to translate this complex experience data to assumption models, particularly for guarantee features such as GLWBs. The discussion will include the use of industry- and company-level data in building customized predictive models, and integrating models across behaviors such as income utilization and surrenders.

Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.

Description: Regulatory change and increased focus on internal risk management are driving a renewed interest in model efficiency. In this session, we will review several new and existing tools, that show significant promise for advanced modeling of equity linked products. These include: • Clustering • Use of unique--and potentially a different number of--scenarios for each policy • Semi Monte Carlo (SMC) – this is a proprietary technique that is similar to a combination of Monte Carlo and numeric integration • Using a neural network approach to optimize some of the more complex and manual aspects of clustering and improve the fit of the clustered model • Combining SMC with the use of unique scenarios per policy