Description: A discussion of how in recent years, the unpredictability of cash flows has become a bigger source of risk than it was in the past for insurers. Includes a discussion of how some of the risk due to this unpredictability might be managed through asset management strategies. From Asset-Liability Integration, M-0FI02-1.

Description: This session at the SOA 1990 Hartford Spring Meeting is about asset segmentation, i.e. segmenting assets among lines of business or liabilities, and how this enhances asset/liability mangement.

Description: This paper was published as chapter II of the 1987 Valuation Actuary Handbook. The authors discuss basic tools for analyzing cash flows, including duration, scenario testing and accumulation vs. present value approach. Discounting of cash flows is discussed including the limitations of using a level interest rate. The final section discusses discounting of interest sensitive cash flows, including a discussion of the disadvantages and advantages of duration analysis. The paper concludes that “duration analysis cannot replace traditional simulations analysis but should be seen by the valuation actuary as a valuable adjunct.”

Description: The Society's Task Force to Study Risk of Loss from Changes in the Interest Rate Environment C-3 Risk Task Force was formed in March 1981 with the charge to quantify C-3 risk. The Task Force made a preliminary report as part of a panel discussion on C-3 risk at the Society's October 1981 meeting in Atlanta. This presentation provides an update on the progress to date and its future plans.

Description: Discusses a case study based on an actual asset/liability management situation, and is reviewed by the consulting actuary, the chief executive officer and the investment officer involved. From the 1987 Record of Society of Actuaries, Vol. 13, No. 3.

Description: Panelists discuss: [1] a way to study interest-rate risk using stochastic methods, [2] a conceptual framework needed to evaluate the suitability of an investment strategy for insurance liabilities, and [3] how one company [Capital Holding] develops investment strategies and asset/liability management policies. From the 1988 Record of Society of Actuaries, Vol. 14, No. 2.

Description: This session discussion is about synchronization of crediting rates and investment strategies. What are the mechanisms for achieving coordination? How is the process affected by the insurance market? By the capital market? What is the effect of policy design? From Record of the Society of Actuaries Vol. 15, No. 3B.

Description: This paper looks at the problem of valuing and managing the ALM risks associated with insurance liabilities that are too long to be matched by available investments. Two options were explored and the paper concludes by arguing that the Static Control Model leads to more useful ALM strategies for long liabilities.

Description: Presentation of asset liability management techniques to better manage interest rate risk by matching the anticipated cash flows from assets with that of the companies liabilities. Some alternative perspectives/techniques from Canadian insurers are discussed. Article discusses the varying asset/liability management issues pertinent to life insurance companies and defined benefit plan sponsors

Description: This presentation is a panel discussion from the 1991 Annual Meeting of the Society of Actuaries, held October 20-23 in Toronto. The panelists discuss the duties and responsibilities of appointed actuaries, including compliance with qualification standards and actuarial standards of practice. They discuss the United States, where new regulations were recently adopted by the National Association of insurance Commissioners [NAIC], developments in Canada, where new legislation is expected to pass, and also world practice, looking at Europe and the U.K. Discussion from participants is included. From the Record of Society of Actuaries, Volume 17, No. 4B.