Description: This article discusses a good way for insurance companies to calibrate economic capital (tail risk level) that is consistent with the market opinion on its risk. It also establishes a bridge between a risk neutral evaluation and a real world evaluation.

Description: A study of the effect of random interest rates on life insurance programs and on annuities both certain and non-certain. This is done under several assumptions on the stochastic structure of the interest rates.

Description: This articles explains why many corporations are making massive reductions in risk related to their pension plans despite the fact that this means locking in costs at a time of historically low interest rates. This should help actuaries working with pension plans or pension investments advise clients on investment strategies and other approaches to de-risking.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: With the potential growth in the premium finance and life settlement industry, private equity and hedge funds are exploring ways to be involved in this market. With few organizations willing to enter the market offering reinsurance, risk management is being explored through alternative means such as the use of options. From Reinsurance Section News, November 2007, Issue No. 61.

Description: Presentation from the Actuarial Research Conference describing risk management at a leading Canadian Bank.

Description: Panelists discussed: [1] investment products oriented toward asset/liability matching, [2] asset/liability management [ALM] including the C-1 and C-3 Risks, [3] current ALM practices among life insurance companies, and [4] regulatory developments in this area. From the 1987 Record of Society of Actuaries, Vol. 13, No. 4B.

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

Description: Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been widely applied for equity-returns for investment guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching process. This presentation develops some methodologies for regime-switching portfolio replication and use real world data to demonstrate and evaluate their effects. A Bayesian approach for regime switching model fitting is used, which allows for the examination of the robustness of each of the optimization methods when parameter uncertainty is present.

Description: An overview of the articles in the August 2012 issue of Risk Management and a list of winners of the most recent call for papers, “Risk Metrics for Decision Making and ORSA.”