Description: From the 1986 Valuation Actuary Symposium, held in Washington DC in October 1986 Examination of the nuts and bolts of cash flow testing analysis.

Description: Prepared for the Society of Actuaries by STATLAB at the University of Western Ontario, this report contains the results of a cash flow testing, ‘CFT,’ software survey performed in 2004. The results were based on the responses of 110 life insurance companies in the U.S. and Canada. The goal of the survey was to produce a report that will serve as a reference for comparing the available CFT packages and lead to better software and modeling techniques. CFT refers to analysis which is used to support both the Asset Adequacy Analysis for the Actuarial Opinion for U.S. companies, and the ALM Provision for Adverse Deviations in applying the Canadian Asset Liability Method to determine reserves for Canadian companies.

Description: Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been widely applied for equity-returns for investment guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching process. This presentation develops some methodologies for regime-switching portfolio replication and use real world data to demonstrate and evaluate their effects. A Bayesian approach for regime switching model fitting is used, which allows for the examination of the robustness of each of the optimization methods when parameter uncertainty is present.

Description: In this paper, chapter III of the 1987 Valuation Actuary Handbook, the authors discuss building a liability model to evaluate the C-3 risk. The article discusses the data and assumptions needed, and the importance of sensitivity testing given that the model results are very sensitive to the assumptions used.

Description: This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: From the 1985 Valuation Actuary Symposium Discussion of the practical application of cash flow testing in the valuation process.

Description: The author previously wrote about extending the general nonparallel shlft approach to duration analysis. This paper explores the immunization properties of that model. In addition, applications to asset-liability management are explored. From Actuarial Research Clearing House 1990 VOL. 2.

Description: From a teaching session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Discussion of realistic liability models for use in asset adequacy analysis, asset/liability management, pricing/repricing, financial reporting, or other purposes.

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: From a session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 In this session, panelists discussed how they have leveraged cash-flow testing to: • Influence investment decisions • Analyze risks • Expand Cash flow testing models to meet management requirements • Provide relevant information to regulators and rating agencies Panelists discussed the enhancements required to meet these needs and provide guidance on communication of results to a nontechnical audience.