Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 This session discusses emerging capital and reserve requirements on Variable annuities with guaranteed benefits and the effect that hedging/capital management strategies can have.

Description: This article discusses the current state of the IAIS' initiative on their group Insurance Capital Standard.

Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: Feature article describing how due to the recent financial crisis, fund trustees, plan sponsors, and administrators are reconsidering traditional asset-allocation strategies.

Description: This paper provides a novel approach to the valuation of the market value of economic surplus that is stable and immune from “market noise”.

Description: To be financially "well" is unique to an individual. Following a hierarchy of needs is key, along with saving more than the talking heads tell you to.

Description: From a panel discussion session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Overview of New York Regulation 163, including the limits on different types of derivative activities, the Derivative Use Plan required by New York, and the reporting and control requirements.

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.