Description: 1996 Valuation Actuary Symposium. This session about asset modeling discussed securities with options and derivatives, corporate government debt, mortgage-backed securities, collateralized mortgage obligations, real estate equities, and investment and disinvestment strategies.

Description: From a session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Teaching session covering the development of realistic liability models for use in asset adequacy analysis, asset/liability management, pricing/repricing, financial reporting or other corporate purposes. The primary focus is modeling issues for variable product features, such as minimum living or death benefit guarantees on both variable life and annuities, annuity death benefit enhancements, and variable immediate annuities. Topics include: • Analysis of the special risks posed by these products • Selecting realistic dynamic assumptions • Techniques used in modeling these products • Scenario testing and result presentation to best communicate risks

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.