Description: This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates and prices on benchmark bonds without the intermediate step of determining spot rates. From Actuarial Research Clearing House 1993, VOL. 3.

Description: Institutional investors such as pension plans and insurance companies have enjoyed strong equity returns for a length of time with few historical precedents. Nearly a decade after the end of the financial crisis, strategies to provide downside protection remain expensive and the performance of traditional risk-managed funds has disappointed investors.

Description: This paper describes reverse mortgages, a form of home equity conversion specifically suited to older homeowners who need cash from their homes but who still want to live in them. This paper describes the basic characteristics of a reverse mortgage as well as the types of guarantees generally thought necessary for a tenure reverse mortgage to be marketable. These guarantees create five types of risk susceptible to actuarial evaluation. Each risk is identified, and methods of charging for and minimizing these risks are discussed. Special underwriting hazards and the need for asset reserving are reviewed. Examples of pricing and reserving for a reverse mortgage are provided. Careful supervision of reverse mortgage lending by use of actuarial methods is recommended. From Transactions of Society of Actuaries 1992, Vol. 44.

Description: The purpose of this paper is to provide a method for calculating special contingency reserves for investment losses. The method is derived by first building a stochastic investment model and then utilizing its probabilistic structure. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: The purpose of this paper is to help practitioners and regulators more accurately quantify the potential impact of market risk on insurance products with equity-linked guarantees. To this end, this paper examines time series model selection and assessment based on residuals, with a focus on regime switching models. Also it discusses the difficulties in defining residuals for such processes and propose several possible alternatives. We determine that a stochastic approach to defining the residuals is the only way to generate residuals that are normally distributed under the model hypothesis.

Description: There is no right price for a piece of insurance. There is simply the transacted market price, which is high enough to bring forth sellers and low enough to induce buyers. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: International Foundation of Employee Benefit Plans research shows that financial education programs succeed when customized to and convenient for the audience.

Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: Constant maturity credit default swaps [CMCDS] are useful as hedging tools. In intensity model approach, the default time is defined as the first arrival time of the Poisson process. From the market quotes of CDS forward rates and bonds, we are able to numerically compute the default probabilities. Approximating CMCDS price depends largely on CDS forward rates’ volatilities and their correlations. This paper implements the price algorithm based on Brigo’s work [2006]. Starting with current market data such as CDS forward rates and nondefaultable bond prices, the paper describes steps involved to obtain the price CMCDS. The paper demonstrates the impact of convexity on the CMCDS price structure.

Description: This presentation is a panel discussion, session number 26PD, from the 1999 Valuation Actuary Symposium, held September 23-24 in Los Angeles. Noting that many of the largest and most widely publicized insurance acquisitions today are made with stock rather than cash or other considerations, the panelists discuss the advantages and challenges for both the buyer and the seller in stock acquisitions. They also discuss current GAAP guidance for purchase accounting, including a just released exposure draft from the Financial Accounting Standards Board [FASB]. Discussion from participants is included.