Description: Three papers use sophisticated actuarial methods to develop a straightforward retirement income strategy that can be implemented in virtually any IRA or 401(k).

Description: This presentation is from session number 25, presented at the 1999 Valuation Actuary Symposium, held September 23-24 in Los Angeles. The panelists discuss Actuarial Guideline XXXIV, which was effective year-end 1998 and addresses reserving for minimum guaranteed death benefits associated with variable annuities, including the requirements of Actuarial Guideline XXXIII. Companies are now offering other guaranteed benefits such as guaranteed living benefits, and the National Association of Insurance Commissioners [NAIC] and the American Academy of Actuaries are working to address reserving for these benefits. The panelists describe the minimum guaranteed benefits in the marketplace and the risks associated with them. Current reserving practices and the latest NAIC and Academy developments are discussed. Discussion from participants is included.

Description: Diverse Risks 2016 Call for Essays

Description: This article explores the effectiveness of hedging delta and rho of equity options. This provides insight into the frequency and severity of losses due to not hedging volatility risk or other higher order risks. 10yr-equity put option strategies were chosen to represent the risk of hedging guaranteed benefits attached to variable annuities, while 1-yr put and call strategies were modeled to investigate the risk of hedging equity index interest credited to fixed indexed annuities. In both cases, the value of the option was compared to the value of delta/rho hedges in the tail of both actual historical and simulated scenarios for equity returns and volatilities. The historical path of interest rates and equities was generally used to highlight the hedge impact for different implied volatility assumptions in each example.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Practical Considerations for Implementing the New Statement of Position for Long Duration Contracts and Separate Accounts .

Description: Actuaries have traditionally recognized the links between risk and value, and in recent years have begun to incorporate aspects of modern financial economic theory into their traditional valuation and risk management approaches. As a result, there has been an increasing trend in the incorporation of explicit market-based risk adjustments into valuations, whether for internal or external purposes. The use of market-based metrics to reflect risk in valuations is becoming increasingly widespread—in fact, major external standard setters, including FASB, IASB, CFO Forum and the various parties setting standards for Solvency II, have prescribed varying levels of use of market-based metrics to measure risk in valuations. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Social Security provides financial protection by annuitizing retirement. This is not enough for many. My idea creates an additional annuity via Social Security.

Description: Drivers for mortality are apparently linked to socio-economic differentials within different societal groups. Actuaries are not the only profession interested in unravelling the mystery of why different groups within society experience such different mortality rates. The author gives examples from occupational pension plans in Canada, the UK and Germany.

Description: In the June 2014 issue of Product Matters, Doug Robbins of Pacific Life authored a fascinating article entitled “Velocity of Diversification.” Therein, he proposed a pricing measure that describes the “…speed at which confidence in profitability is attained”. How can stochastic modeling of mortality be applied to analyze the velocity of diversification, and how would that measure be affected by volatility in the underlying assumptions?