Description: As the Valuation Manual continues to evolve and PBR standards for additional products are drafted and incorporated, it will become increasingly important for companies to understand where the requirements are consistent across products, as well as how they differ. This session will scan the life (VM-20) and annuity (VM-21, VM-22) PBR standards across the Valuation Manual to compare and contrast key requirements. Attendees will understand where common methods and techniques can be used across products and platforms. Attendees will also be better positioned to consider assumption and margin setting, asset and derivative modeling, and model efficiency techniques for all types of principles-based valuations. Additionally, this session will profile specific challenges that can arise when actuaries use models to project PBR reserves at future dates for internal planning, pricing, and projections across life and annuity businesses.

Description: Provides a how-to session on modeling assets and liabilities in the Valuation Actuary's work to comply with the Standard Valuation Law. Comparisons of the methods discussed are occasionally made with the requirements of New York Regulation 126. Session 12 of the 1991 Valuation Actuary Symposium.

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

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: Asset cash flow modeling and asset assumptions are growing in importance with PBR especially considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee have formed a Low Interest Rate Asset Adequacy Testing Task Force which has conducted an industry survey to raise awareness and summarize the actuarial best practices for financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny on the asset side ratchets up, actuaries must consider how best to develop the asset assumptions as well as model the reinvestment and disinvestment strategies. Coherent assumptions and modeling practices across modeling exercises are expected while respecting the purpose of each calculation.

Description: 2002 Valuation Actuary Symposium, Lake Buena Vista, FL. In this teaching session the instructor explained how to scrutinize model results and use models to make strategic decisions. Specific topics included validation of asset models, modeling considerations for derivatives and assets with embedded options, using models to assist with portfolio management, and using models to improve portfolio yields and realized product spreads.

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 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: 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: 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.