Description: The Joint Risk Management Section is trying to develop better estimates of policyholder behavior in the tail [PBITT]. The mission of the PBITT working group is to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios. As part of its work, the PBITT working group issued its sixth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits. This document contains the results of that survey.

Description: This is an Excel workbook that can be used as a tool for health insurance companies to model their potential risk exposure from an influenza pandemic. It is based on a model developed for a Society of Actuaries study examining the potential implications of a pandemic on the U.S. health insurance industry. The spreadsheet is saved with many of the same assumptions used in this research and reproduces the results of the exhibits contained in the June 2010 report, 'Potential Impact of Pandemic Influenza on the U.S. Health Insurance Industry.'

Description: In this session, panelists will lift the curtain on the main features of investment grade (IG) private placement bonds and below investment grade (BIG) private debt and compare them with available public bond and bank loan alternatives. The panel will examine the motivations for insurance companies and pension funds to invest in private debt and the legal, diligence and operational requirements to maintain a private debt portfolio. We will also conduct a 2017 private placement market review and look forward to 2018’s likely new USD and non-USD issuance and which industry sectors are likely to issue. This session will also cover their risk and reward characteristics, and the structural intricacies of the various IG and BIG debt types and whether there is sufficient compensation for illiquidity and other risks.

Description: Recaps the content of leading presentations at 2016 Inv Symposium. Topics include bond liquidity, investment outlook, low rate portfolio strategies

Description: This article pertains to the optimal asset allocation of surplus from an insurance company model. The insurance company is represented by a compound Poisson risk process which is perturbed by diffusion and has investments. The investments are in both risky and risk-free types of assets similar to stocks/real estate and bonds. The insurance company can borrow at a constant interest rate in the event of a negative surplus. Numerical analysis appears to show that an optimal asset allocation range can be estimated for certain parameters and compared with insurance data. Using a conservative method to minimize the probability of ruin, a reasonable optimal asset allocation range for a typical insurance company is about 4.5 to 8.2 percent invested in risky stock/real estate assets. An inequality and the exact solution are obtained for the pure diffusion equation. In addition, the asymptotic form of the ruin probability is shown to be a power function.

Description: The author provides an overview, from a banking perspective, of Value at Risk VAR and its use as a risk management tool. This article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: Update of the activities being carried out by the Joint Risk Management Section

Description: The author describes the 29th. edition of the International Summer School, held in Lausanne, Switzerland, organized by the Swiss Association of Actuaries.

Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

Description: Description of an ERM workshop delivered in Nigeria by Actuaries Without Borders in collaboration with the College of Insurance and Financial Management.