Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: This paper studies the internal rate of return of a finite series of cash flows in terms of three natural axioms. Examples of rate of return functions are constructed and their economic significance is discussed. From the Actuarial Research Clearing House 1992 Vol. 1.

Description: This paper explores some of the implications of rejecting the hypothesis that successive interest rate changes are independently, identically lognormally distributed on cash flow analysis. Discussions of this paper are included.

Description: Presented at May 2005 Spring Meeting. Panelists discuss the process of setting long-term investment assumptions from a practical perspective, including changes in equity return premium, use of risk-neutral scenarios and methodology, and special considerations for setting pricing scenarios.

Description: 1993 SOA Annual Meeting, New York. Insurance regulators commissioned a task force to develop cash-flow variability measurement standards. This session presented the recommendations of that task force and the relationship to cash-flow testing. Topics included: 1. The regulatory need and how the process was approached. 2. The types of CMO variability that the standards attempt to address. 3. A description of the scenario selection process that's used in this model. 4. The prepayment assumptions and the method to be used to collect prepayment data. 5. The relationship to cash-flow testing. 6. The regulators' reactions.

Description: This session at the 2003 Valuation Actuary Symposium discusses asset model validation techniques. Applying the results of a cash-flow testing model to other uses is explored. Also, the proliferation of embedded option derivatives, both on the asset and liability side of the balance sheet, both for pricing and for valuation, are discussed.

Description: This research paper examines the justification of using the one-factor general equilibrium model of Cox, Ingersoll, and Ross to model the term structure of interest rates and their volatility. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: This session from the 1993 Valuation Actuary Symposium looks at asset models and economic scenario generation.

Description: 1996 Valuation Actuary Symposium. This session discusses the purposes of building an asset model, the resource requirements, model validation, model granularity, understanding spreads, and model interest rates.

Description: In reaction to a spate of model conversion activity and rising acceptance of model risk management techniques, many companies have, or are in the process of centralizing their modeling function to accommodate both governance and efficiency demands. These operating model changes have produced a wide range of questions and issues, such as division of labor, roles and responsibilities, selection of tasks to keep decentralized, among others. This session will frame a series of key considerations around modeling function consideration, and share lessons learned with the audience.