Description: This article discusses asset-liability management from two different paradigms, one a simulation of the firm as an external observer e.g. shareholder would view it, and the other a “still life” at a given moment from an internal viewpoint.

Description: Highlights using core skills in value added analysis and discusses the value of this analysis to insurers and to other businesses.

Description: This paper advocates asset/liability management for pension plans. It identifies the economic factors that influence the economic value of liabilities and discusses the typical asset portfolio that results.

Description: This paper defines Distributable Earnings as the generalized pricing and valuation framework for financial contracts containing the requirement to hold capital or reserves in support of the obligations. It examines the Market Value paradigm and its foundation arising from the pricing of fixed income securities. It reconciles these two methods, showing that market value methods ignore mandatory capital and reserve requirements, which carry both risk and cost. The paper makes the case for the Distributable Earnings framework, not Market Value, as the true basis for economic value for these financial contracts. Finally, it concludes that this framework must be employed in risk-management processes, else fail to recognize a significant source of risk.

Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: it discusses the framework and modeling of the market consistent valuation of fixed indexed annuity, against the backdrop of the convergence of accounting standards and internal risk management.

Description: Presentation of some of the factors to be considered, and approaches which might be employed, in valuing a life insurance company.

Description: Congress once again turns to defined benefit pension plans as a misguided source for financing programs that have nothing to do with retirement.

Description: This article looks at EVA calculation, its various issues and how it can be used to better manage a company. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: A discussion of the three kinds of reserve strengthening