Description: Despite a clear need and demographics which should be favorable to LTCI growth, the market remains stalled due to lack of understanding on the consumer side, and uncertainty on carriers' side. The 3 key risk areas for carriers are morbidity, terminations, and investment earnings. Financial market innovations which can address these include: repackaging risks as derivative securities, interest rate swaps and options, and inflation swaps.

Description: This session discussion is about tools, techniques, and methods used by the health valuation actuary HVA in dealing with business projections, cash-flow analysis, valuation on nonguaranteed premium business, target surplus analysis, reinsurance and claim reserves. From Record of Society of Actuaries Vol. 18, No. 1A.

Description: Uses Blackrock's macroeconomic and style factors in asset allocation examples for an insurance portfolio and a pension portfolio.

Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Presented at October 1996 Annual Meeting. This panel discusses a prevailing economic scenario, financing economic growth, investment strategies, and risk management.

Description: Presented at May 1985 Spring Meeting. This session discussed: How investment policy should be developed, Role of the actuary and the investment officer, Role of the pricing actuary and the valuation actuary, Liquidity considerations, Tax considerations, Capital loss constraints, Process for changing strategy as the economy and company circumstances change.

Description: In this paper we discuss the link between the price of a contingent claim and its replicating strategies. We compute the replicating strategies for some contingent claims when the price of stocks are modeled using either the Wiener process or the Poisson process. These replicating strategies are essential knowledge if one wishes to implement a dynamic trading strategy.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: Summarizes a research paper considering insurer performance during the financial crisis, with actions and circumstances that improved results highlighted.