Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: Investment Fallacies: The Misconceptions of Retirement Risks

Description: From a session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Panel discussion overview of current risk-based capital RBC requirements of life insurers, as well as insight into topical issues and potential changes to RBC. Items covered include: • Recap of RBC law and RBC calculation rules • Tax impact on the factors • Common stock issue • C-3 testing • Proposed C-3 testing for Variable Annuity Guaranteed Living Benefits VAGLB • Liquidity risk issue

Description: background history of the insurance industry and the role of actuaries within it, followed by the current environment and anticipated future environment.

Description: Recurrence relations arise naturally in life contingencies for 2 reasons - the aggregate law of mortality, which relates the distribution of the future life times of 2 insureds, if one of them and the other is that most life insurance products can be constructed as a portfolio of 2 basic product types. We use the above simple idea and the extra freedom provided by the fractional age distribution to reveal a structure behind some common recursions. The structure has obvious pedagogical value. More interestingly, a software based on it has been implemented which facilitates actuarial computing.

Description: 1994 SOA Spring Meeting, Orlando. This session on credit risk presented a comparative survey of recent and ongoing research related to asset credit risk, and it provided analysis of SOA 1986-89 credit risk data.

Description: There have been many examples of interest rate swap deals which have not produced the desired results for the end-user, largely due to unanticipated interest rate movements. While the authors of this paper strongly believe that derivatives, such as IR swaps, are powerful tools, which when used properly can effectively transfer risk and enhance the efficiency of markets, they also believe it is critically important to analyze the potential exposure to interest-rate risk. In this article, they provide the necessary background to measure this potential exposure.

Description: This dialogue discusses the history and purpose of section 811(a) and its historic role in the computation of life insurance company taxable income and, in particular, reserves.

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.

Description: This paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House Volume 1993.3. It borrows from that paper the concept of benchmark weights for measuring the sensitivity of the present value of a set of cash flows to changes in interest rates. However, a completely different approach to calculating benchmark weights is presented.