Description: The purpose of this paper is to outline the development of a critical illness rider to be launched on a guaranteed level term product. The paper addresses the following topics: market needs analysis, design considerations, benefit design, pricing assumption, and development of pricing model and pricing results, including sensitivity testing.

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: The paper summarizes results from two doctoral dissertations. The first discusses integration of insurance products with investment products to mitigate the risk of outliving one’s assets. The second discusses modeling and pricing for the longevity risk in the secondary market in insurance, including a provision for adverse deviation PAD.

Description: This paper illustrates the calculation of embedded value of an insurance company. The principles should be applicable to similar calculations for other companies.

Description: In 2007 the International Accounting Standards Board IASB released a discussion paper proposing a new accounting model for insurance contracts, known as the current exit value model. One aspect of the proposed accounting model is that claim liabilities would need to include explicit margins satisfying certain criteria. Currently it is common for U.S. medical insurers to include explicit margins in their claim liabilities. However, we demonstrate that the margin approach most commonly used today by U.S. medical insurers does not satisfy the objectives articulated in the IASB discussion paper regarding the role of margins. We then propose a new formula for including explicit margins in U.S. medical insurance claim liabilities in a manner that is more compatible with the principles articulated in the IASB discussion paper. Finally, we illustrate our proposed claim liability formula using an example drawn from real-life data.

Description: Insurance company financial reporting and performance measurement are going through a significant transformation. Insurers are beginning to look at their business based on what many refer to as the “economic value framework.” Under this framework insurance companies determine the economic value of the capital invested in their business and the economic value of earnings to derive a risk-adjusted return on capital. Standard setters, primarily European insurance regulators through Solvency II and the International Accounting Standards Board through IFRS Phase II, propose adopting many of these concepts for solvency and performance reporting.

Description: This paper introduces basic embedded value EV principles, concepts and formulas that will be especially valuable to the beginning students of EV.

Description: This paper provides guidance to employers who are contemplating the use of COLI as a means for funding employee benefits. Commentary will be provided on critical issues to consider when analyzing the benefits of COLI, including product characteristics, cost considerations, legal considerations, representations and warranties, investments, and accounting. “Best Practices” pricing guarantees, representations, warranties, and indemnities will be provided as examples and are generally indicative of the stronger positions taken to date on each issue. This paper does not provide guidance on group term life or other non-COLI products.

Description: This paper defines health expectancy as that part of life expectancy where the person is expected to be healthy. It also breaks down the remainder of life expectancy into two unhealthy categories, one where assisted living will be necessary, and one where a skilled nursing facility will be necessary. These expectations are calculated for many combinations of age, other demographic characteristics, and current health issues.

Description: This paper will provide demonstrations of the following three statements: That the calculation of principles-based reserves should ignore federal income taxes That the currently required statutory deferred tax calculation would need to be changed to permit an appropriate deferred tax asset to accompany such reserve so that the result can be correctly principles-based on a post-tax basis That the Tax DAC, pursuant to Section 848 of the Internal Revenue Code, is effectively a negative tax reserve.