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

Description: This report presents the results of the 1986-92 Credit Risk Event 'CRE' Loss Experience Study which represents a continuation of the 1986-89 pilot study analyzing loss experience by institutional investors on private placement bonds. This continuing study is being conducted under the auspices of the Society of Actuaries and involves thirteen institutional investors which accounted for between 34% and 42% of outstanding life insurance company private placement bond holdings during the study period. The study measures incidence rates, loss severities and economic loss rates associated with credit risk events for privately placed debt during the years 1986-92. From Transactions of Society of Actuaries 1997-98 Reports.

Description: This paper explores the considerations involved in the merger of mutual life insurance companies, with emphasis on the unique problems of maintenance of equity between the various policy owners affected. The paper written by Howard Kayton and Robert Tookey is followed by a discussion from several people

Description: The objective of this paper is to demonstrate that the long-term trends in the rate of company expansion affect policyholder costs and estimate the amount of the impact. Followed by several discussion papers submitted

Description: Discussion of interest rates and investments. The forum looked at the outlook for interest rates on life insurance funds, new developments for the investment of life insurance funds, common stock investments, inflation, and the nature and extent of the valuation problem created by direct investment private placement.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: With this paper, a new theory of immunization is introduced in which the approach is multivariate, and the goal is stochastic in the sense of minimizing stochastic risk. Discussions of this paper are included.

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: Provides a theoretical basis for determining an insurer's price-earnings ratio, discusses the effect on earnings of changes in investment income, and discusses the effect on surplus and earnings of changes in reserve basis.

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.