Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

Description: A discussion of the theory underlying risk neutral investment scenarios

Description: This article pertains to the optimal asset allocation of surplus from an insurance company model. The insurance company is represented by a compound Poisson risk process which is perturbed by diffusion and has investments. The investments are in both risky and risk-free types of assets similar to stocks/real estate and bonds. The insurance company can borrow at a constant interest rate in the event of a negative surplus. Numerical analysis appears to show that an optimal asset allocation range can be estimated for certain parameters and compared with insurance data. Using a conservative method to minimize the probability of ruin, a reasonable optimal asset allocation range for a typical insurance company is about 4.5 to 8.2 percent invested in risky stock/real estate assets. An inequality and the exact solution are obtained for the pure diffusion equation. In addition, the asymptotic form of the ruin probability is shown to be a power function.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: This paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.

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: 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: Discussion of Capital Market Modeling techniques

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: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating interest-rate scenarios.

Description: This presentation is from session number 3, presented at the 1999 Valuation Actuary Symposium, held September 23-24 in Los Angeles. The panelists address specific asset modeling issues of current interest, including purpose of model considerations, dynamic reinvestment strategies, and less than rigorous modeling of asset optionality.

Description: This article suggests ways for small insurance companies to obtain modeling information on more intricate assets, such as collateralized mortgage obligations [CMO], at a low cost.

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: Presented at September 1995 Valuation Actuary Symposium. This session talks about the tools and methods for asset modeling, particularly mortgages and asset-backed securities.

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

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 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.