Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: Investment Fallacies: Gambler’s Fallacy: Probability of Reversion

Description: Explains the more granular breakout of bond RBC factors proposed to the NAIC. Evaluates alternative asset allocation choices for insurers under the new rules.

Description: Companies operating in international markets have additional issues to consider from a risk management point of view. Fluctuations in exchange rates, political and sovereign risks, regulatory issues, capital management and human resources considerations are among these. This session gives attendees the opportunity to understand how multinationals currently deal with these issues and how they are functionally structured to handle the risk management process. From the Record of the Society of Actuaries, Volume 29, No. 1: Washington, D.C. Spring Meeting, May 29–30, 2003, Session 30PD.

Description: This paper, chapter VI of the 1987 Valuation Actuary Handbook, discusses a framework for the valuation of reserves and surplus in statutory financial statements, first providing a detailed section of definitions to clarify to clarify the terms used in the paper. The “new” environment of volatile interest rates is discussed, and the mathematics underlying ruin probabilities, and combinations of risks. Procedures for different products with different types of risks are discussed. Other topics include coordination of investment policy and product policy, aggregate reserves and surplus needed, use of simplifications, financial planning, and reinsurance.

Description: This article is a response to an article on the same subject in the March 1968 issue of The Actuary. The author notes that the recommendations in the report in question regarding surplus levels are more appropriate for non-life companies.

Description: This session discussion is about capital management of insurance companies from three perspectives: product development, investment, and financial reporting. Where appropriate, reinsurance will be incorporated in the discussions. Each section involved has contributed panelists and ideas. From Record of the Society of Actuaries Vol. 15, No. 3B.

Description: The objective of this paper is to demonstrate that the long-term trends in the rate of company expansion affect policyholder costs and estimate the amount of the impact. Followed by several discussion papers submitted

Description: Panel discussion focused on the Effective Use of Capital. Topics included: 1. Definition of capital 2. Appropriate level of capital and surplus in a life insurance company 3. Alternatives for deploying capital 4. Returns a life company should demand on invested capital 5. How much a company should charge for lending its capital in reinsurance transactions

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.