Description: An Overview of Stochastic Simulation modeling techniques and usages

Description: This article describes changes to financial reporting for variable annuities under US GAAP, IFRS and Statutory regulations, and implications for hedging.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: Part 2 of a 2 part series. Tells about 5 concepts that can be thought to frame ERM. This article is about Alignment, Adaptability and Resilience.

Description: Hot topics and emerging trends in assumption development in US life insurance companies

Description: Risk governance is an important part of any risk management process, yet the insurance industry has not implemented the procedures and controls as extensively as banking. This session looks at the elements of risk governance and discusses their importance to the risk management process. Specific emphasis is placed on risk management organizational structures and how different organizational structures may facilitate effective risk management processes. Insurance and banking practices are contrasted. From the Record of the Society of Actuaries 2005, Volume 31, No. 1: 2005 New Orleans Life Spring Meeting, May 22-24, 2005, Session 83 OF.

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

Description: The author uses a generalized asset risk model to explore C1 risk, drawing heavily from investment theory and pension fund management, applying these to an insurance general account. This article has two parts the first part, contained in this issue of Risk and Reward, describes the basic C1 model itself. The second part, which will be published in the next issue of Risks and Rewards, discusses various implications of the basic C1 model, especially related to managing the company’s investment portfolio.

Description: This article explores the effectiveness of hedging delta and rho of equity options. This provides insight into the frequency and severity of losses due to not hedging volatility risk or other higher order risks. 10yr-equity put option strategies were chosen to represent the risk of hedging guaranteed benefits attached to variable annuities, while 1-yr put and call strategies were modeled to investigate the risk of hedging equity index interest credited to fixed indexed annuities. In both cases, the value of the option was compared to the value of delta/rho hedges in the tail of both actual historical and simulated scenarios for equity returns and volatilities. The historical path of interest rates and equities was generally used to highlight the hedge impact for different implied volatility assumptions in each example.