Description: In a recent Society of Actuaries' regional meeting, there was a discussion on an age-old actuarial problem. Within the same company, should the return on equity ROE target vary by profit center depending upon the risk of the profit center? For example, should company management demand a different ROE from the Group Health line than from the Ordinary Life line?

Description: This session from the 1995 SOA Spring Meeting reviews surplus management strategies. Topics addressed include risk-based capital RBC, reinsurance, growth and profitability, cost of capital, and required surplus.

Description: This paper describes a current approach to capital allocation, tail contribution analysis TCA, and then compares it to an alternate method called economic profit analysis, EPA. The advantages of EPA over TCA are then outlined. From 2006 Enterprise risk Management Symposium, M-AS06-1.

Description: A discussion of life insurance securitizations and how they can be structured to provide surplus relief associated with onerous reserve requirements.

Description: A recent SOA regional meeting featured discussion on an age-old actuarial debate: Within the same company, should the return on equity ROE target vary by profit center PC depending upon the risk of the PC?

Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.

Description: Comments on how US insurers have compensated for low interest rates by investing in a range of less liquid and lower quality assets.

Description: Discusses capital markets, bank loan financing, surplus relief reinsurance, and sound capital structures. From the 1988 Record of Society of Actuaries, Vol. 14, No. 2.

Description: In this paper, chapter V of the 1987 Valuation Actuary Handbook, the authors start with a discussion of how the recent economic environment with volatile interest rates has changed the valuation and surplus management process to one more dependent on actuarial judgment. In a discussion of surplus policy, the authors identify four “layers” of surplus which have been identified by scenario testing. These surplus layers, along with policy reserves, are based on specific invested assets. The paper discusses implications for the future and notes the actuary’s ability to advise management on surplus adequacy is a basic tool of risk management.

Description: This session at the 1998 Valuation Actuary Symposium presents a framework for managing surplus based on the knowledge bases of the CFA designation and the SOA curriculum for the finance and investment specialty.