Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: Discussion of Capital Market Modeling techniques

Description: Results of an industry survey on life insurance companies' efforts to implement the recently adopted Life Risk-Based Capital Phase II Instructions, which include new requirements for variable annuity contracts. Adopted by the NAIC on October 14, 2005, the new requirements are effective for year-end 2005. Also discusses a summary of the requirements set forth in the instructions.

Description: The report examines various benchmarks for analyzing option adjusted spreads of the major fixed income asset classes of life insurance companies.

Description: This session at the 1997 Valuation Actuary Symposium presents the highlights of developing an asset model for asset adequacy purposes. Assumptions, projecting cash flows, and market values of the portfolio are discussed.

Description: This presentation outlines strategies for optimal return on bonds and presents the advantages of liability driven investing. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.