Description: This presentation is a panel discussion, session number 34PD, from the 2002 Valuation Actuary Symposium, held September 19-20 in Lake Buena Vista, FL. A fundamental step in stochastic asset/liability modeling is to choose an appropriate underlying economic scenario generator. In this session, panelists discuss various scenario generation techniques and theories, assumptions underlying interest and equity scenario generators, and choosing suitable economic scenario generators for different applications, the two most common being pricing models [for assets and liabilities], and risk analysis models, used for asset/liability management, investment strategy, regulatory solvency, and capital adequacy. Discussion from participants is included.

Description: This article discusses techniques for modeling credit risk, including discussion of default assumptions and recovery rates.

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.