Description: The Federal funds rate increased by 4.25% in 2022 with further increases in 2023, which have already resulted in a liquidity crisis for a few banks. As the rapid increase of the interest rates pushed the new money rates above the yields of many life insurers’ investment portfolios, insurance companies are facing a dilemma between compressed margins from peer pressure and the concern with liquidity shortfalls and realized capital losses should mass surrenders happen. This paper discussed main emerging risks under rising interest rate environment, and several ways to mitigate these risks.

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report covering the extent to which investment sectors have been contagiously affected by major disasters.

Description: With long duration targeted improvements in the U.S., and IFRS 17 in other countries, the insurance industry is currently undergoing the adoption of two of the most significant accounting changes in recent history. While the scale of these specific events are infrequent, change is the norm in the world of insurance and life of an actuary. We live in a dynamic environment that will continue to bring challenges in how companies make decisions in order maximize their value and return on capital. Capital management requires an ability for insurance companies to take corporate actions and understand the impact this will have on both the current and future available capital. Being able to make optimal decisions when the goal posts are subject to frequent and material shifts in accounting regulation is a difficult process. It requires holistic consideration of all tools available to manage capital and how KPIs can shift in their measurement under new regimes. By attending the session, you will: Discuss the challenges that companies have in managing capital in an ever evolving environment, what steps they have taken in managing the current scope of accounting change, and how they can be prepared for adjustments in the future.

Description: Join us for the Pandemics & Paradigm Shifts: ERM in an Intensely Dynamic World panel discussion, where industry and regulatory perspectives will help provide insight into a number of topics. Expect interactive dialogue opportunities based on the conversation between the panelists and the audience. Key topics that will be conversed about, but the panel is not limited to, include a brief review of historical paradigm shifts and subsequent insurer failures, best practices and an outlook on the ultra-dynamic world of today and consideration of a company's enterprise risk management framework as it affects ratings and insurance department examinations.

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

Description: View The Impact of Disaster Events on Investments – Contagion Channels Perspective.

Description: This article summarizes key points from the recently published research paper “Deep Learning for Liability-Driven Investment,” which applies reinforcement learning and deep learning techniques to liability-driven investment (LDI).

Description: it discusses the framework and modeling of the market consistent valuation of fixed indexed annuity, against the backdrop of the convergence of accounting standards and internal risk management.

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

Description: The Society of Actuaries’ Committee on Finance Research is pleased to make available a research report that develops a framework for applying deep learning and reinforcement learning techniques to optimal dynamic strategic asset allocation for Liability Driven Investment (LDI).

Description: The Society of Actuaries’ Committee on Finance Research and Joint Risk Management Section Research Committee are pleased to make available a research report developing a framework for quantifying and analyzing various forms of contractual designs.

Description: Read the September 2020 issue of Risks & Rewards published by the Investment Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This article speculates on the presence and magnitude of the benefits attributable to regular rebalancing of one's investment portfolio. It surveys the extant literature, discusses certain implications, and presents conclusions.

Description: This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a type of macroeconomic model. Authored by Kailan Shang, the paper illustrates how DSGE models can be used in economic scenario generation to reflect the cause and effect relationships that occur in the economic system.

Description: Institutional investors such as pension plans and insurance companies have enjoyed strong equity returns for a length of time with few historical precedents. Nearly a decade after the end of the financial crisis, strategies to provide downside protection remain expensive and the performance of traditional risk-managed funds has disappointed investors.

Description: The management of the investments of an insurance enterprise has undergone a considerable evolution since the pioneering work of Redington in the mid 20th century. Best practices have evolved to incorporate ever more complex insurance liabilities, expanding investment asset classes and global market opportunities. Strategic asset allocation (SAA), liability driven investing, and other robust optimization approaches form the core of the professional management of insurance company investments.

Description: Read the February 2020 issue of Risks & Rewards newsletter published by the Investment Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: A feature article discussing the financial opportunities of investing in gold.

Description: Investment risk management has become a core competency of insurance companies, and much has been discussed on this topic. This session examines the current investment risk management practices such as product line specific hedging and macro hedging, with a focus on what still remains to be addressed—whether the tradeoff of addition risk management is worthwhile.

Description: The SOA is pleased to make available a report updating the 2012 risk assessment performed by Porteous et al. The report also provided an economic capital analysis for a stylized US plan with the same member profile and the USS provisions modified to reflect a typical US DB plan.

Description: In this session, we will explore investment solutions that aim to maintain the long-term viability of a pension plan, with considerations on hedging interest rates, credit, inflation, longevity and other risks, while accounting for the many particularities associated with underlying liabilities and their corresponding ramifications.

Description: Feature article describing a framework for the computation of credit capital requirements under the constant position paradigm, taking into account recovery rates.

Description: Read the August 2019 issue of Risks & Rewards published by the Investment Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This report introduces actuaries and risk managers in the insurance and pension industries to current literature discussing growth rates in the past and future expectations.

Description: Read the May 2019 edition of NewsDirect published by the Marketing and Distribution Section of the Society of Actuaries.

Description: Research material that developed a Liability-Driven Investment (LDI) benchmark framework.

Description: This research report introduces the concept of a preference function, which is a generalization of the utility function.

Description: This research report summarizes methodologies used for yield curve extrapolation to value liability cash flows that extend beyond the maximum observavble portion of the yield curve.

Description: This abstract describes a paper in which two different simulation studies are made for dynamic financial analysis.

Description: We discussed impacts of procrastination and strategies to harness the power of inertia to aid individuals in their pursuit of future financial well-being.

Description: We discussed impacts of procrastination and strategies to harness the power of inertia to aid individuals in their pursuit of future financial well-being.

Description: This article discusses the details of what happened in equity repo in 2013.

Description: This presentation provided an analysis of investment guarantees in equity-linked products. There was an overview of the data and models in use. In addition an actuarial approach to left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: The recent financial crisis created incentives to review investment practices and see what was done well and what could be improved for the future. Looking inward at insurer investment practices, background trend information was generated and a survey developed for insurers to share their thoughts. The research continued with conversations in private and public forums, where initial conclusions were expanded.

Description: Case Study for Fall 2009 Exam AFE.

Description: This paper focuses on business risks rather than market, credit and operational risks. The author proposes a bottom-up approach for modelling and measuring business risk where the dynamic of the underlying earnings is described in a continuous-time model.

Description: This article aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

Description: As we meet with pension plan sponsors and consultants across Canada we find that the subject of liability-driven investing LDI comes up repeatedly even when we do not initiate the discussion. We also find that LDI seems to mean something different to each person we meet. Is LDI just a new name for asset/liability management ALM? Or is LDI just about hedging interest rate risks with fancy securities? In this article we describe a framework for understanding what LDI is, how it relates to ALM, and how it can be used to solve real-life problems for Canadian pension funds.

Description: Irish actuary and professor explains his hypothesis that actuaries, as practitioners, are reluctant to adopt the theories of financial economists unless the models on which the theories are based fit the actual data the actuaries have.

Description: The thrust of this article is that while ERM starts out as a compliance and corporate governance tool, well managed companies use ERM as a strategic tool that will help them increase shareholder value. To do so requires a synthesis of the actuarial techniques of insurance and the capital markets perspectives of corporate finance.

Description: In this article, the author presents a case for using a Risk Return On Capital approach as a way to integrate desirable properties of the Economic Value Added approach and the Return On Risk-Adjusted Capital approach. The EVA approach has a shortcoming in that is does not reflect rating agency capital. The RORAC is computed as the ratio of expected total underwriting return to allocated risk capital, and represents the expected return for both benign and potentially consumptive usage of capital. The RROC approach measures returns after reflecting the mean rental cost of rating agency capital. Returns that are a reward for exposing capital to risk of loss are measured after reflecting the cost of carrying capital to support premium written and loss reserves.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This article describes an initiative of the Chief Risk Officer Forum to perform a study to benchmark internal models, so as to discuss the admissibility of these models for regulatory purposes in the context of Solvency II. The results of and reactions to that study are discussed.

Description: This session from the 2005 Life Spring Meeting discusses mergers and acquisitions activity, the factors that may influence the level of M&A activity and the potential opportunities for M&A activity in the marketplace today. From the Record of the Society of Actuaries, Vol. 31, No. 1.

Description: Presented at May 2005 Spring Meeting. Discusses 'state of the art' of international mergers and acquisitions in Asia, Latin America and other fast-growing regions.

Description: This article discusses the impact of rising interest rates on annuity writers and life insurers and the risk management challenges it presents. Falling interest rates were addressed as well.

Description: At this session of the SOA 2004 Annual Meeting, the authors of a text on mergers and acquisitions each discuss their contribution to the book, which covers all aspects of an acquisition.

Description: The session at the 2004 Valuation Actuary Symposium describes current risk mitigation techniques and their impact upon valuation systems including hedging mechanisms, regulatory relief, GAAP measurement, product 'quarantine', realistic assumption changes, maximizing returns and minimizing litigation.

Description: The Stochastic Volatility, SV, model is used for capturing the empirical properties of financial time series. This paper overviews those properties and compares the SV model with the heavy-tailed error distribution Student t-distribution and the SV model with the normal error distribution. The Simulated Maximum Likelihood, SML, method is applied to estimate the parameters and the latent volatility.

Description: An overview of the recent Advanced Risk Management Seminar New York, December 2002.

Description: Panelists at this session of the SOA 2003 Washington, DC Spring Meeting discuss how changes in interest rates affect the assets and liabilities of a life insurance company and what a company can do to prepare. This session examines historical trends in interest rates and how companies have reacted to both sudden and gradual changes.

Description: The author makes 10 predictions of how risk management will change over the next decade.

Description: This session at the SOA 2003 Washington, DC Spring Meeting addresses how to objectively measure a portfolio manager's investment performance, evaluate relevancy of market indices as performance benchmarks for insurance liabilities, and successfully benchmark performance against insurance liabilities.

Description: This session at the SOA 2003 Washington, DC Spring Meeting focuses on the issues involved in building a scenario generator. It covers the data set used to develop and calibrate the generator as well as a discussion of different approaches and their features. Implementation is addressed along with potential pitfalls.

Description: This article discusses the attributes of a unified Operational Risk Management framework and how those attributes can underpin a seven-factor economic capital model.

Description: Risk Management and Actuaries—SOA Risk Management Task Force Update

Description: This articles gives an overview of the recent Investment Actuary Symposium.

Description: The external actuary must balance the goals of the company with a realistic assessment of the chances of achieving them, uncovering hidden value while scaling back on aggressive targets to achieve a balanced, defensible end product with buy-in from the seller's team. From Actuarial Considerations in Insurance Mergers and Acquisitions, M-FI03-1.

Description: Role of the Actuary: One of the most complicated tasks an actuary can perform is large-scale corporate modeling in an attempt to shed light on the relationship between value, performance and risk. In specialized situations such as mergers and acquisitions, it may be appropriate to have external actuaries perform the work rather than attempt the task with internal resources. From Actuarial Considerations in Insurance Mergers and Acquisitions, M-FI03-1.

Description: Complete monograph: Actuarial Consideration in Insurance Mergers and Acquisitions, M-FI03-1. This paper presents a broad overview of the actuarial considerations of insurance company transactions in developing countries, identifying both theoretical and practical issues that need to be addressed when trying to assess the potential value of a multi-national insurance transaction.

Description: Actuarial appraisals are performed using discounted cash-flow models. Using local market insurance accounting standards, an appraisal model typically assumes annual after-tax distributable earnings that are repatriated to the investor. The various lines of business are modeled and validated individually and presented in separate sections of the appraisal report before being aggregated into a total company model. From Actuarial Considerations in Insurance Mergers and Acquisitions, M-FI03-1.

Description: Panelists discuss the role of an investment actuary. Focus is on the process the investment actuary uses in the job, and on working with the perspectives of the investment professionals and the product actuaries with whom the investment actuary works. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 5PD of the Boston Annual Meeting.

Description: Presented at May 2002 Spring Meeting. Discusses basic considerations and the process of an international acquisition or merger.

Description: This paper reports on the findings of a working group established in 1999 by the SOA's Finance Practice Area to look at how the insurance industry measures and monitors risk through risk position reporting. Also the working group established industry standard practices in risk position reporting and reported on a number of areas for possible improvement in such reporting.

Description: This session 151TS of the New Orleans Spring Meetinguses real life examples to demonstrate the more complex collateral types and structures and the risks and rewards of these financial instruments. From the Record of the Society of Actuaries, Volume 27, No. 3.

Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

Description: This session explores where financial engineering is applied, who is “leading the charge,” and what are the current and future roles of actuaries. From the Record of the Society of Actuaries, Volume 27, No. 2, Session 55PD of the Toronto Spring Meeting.

Description: This session at the SOA 2001 Toronto Spring Meeting looks at liquidity risk including the causes and risk management options. The work of the American Academy of Actuaries Life Liquidity Work Group is reviewed. The requirements of New York's Circular Letters ont the subject are discussed.

Description: 2001 SOA Spring Meeting, Toronto. A wide range of tools exists in both the insurance and banking industries to measure and mitigate exposure to risk. For some risks, given their nature and volatility, real-time measurement and monitoring has become a necessity. This session focused on the risk management tools and techniques that measure and mitigate exposure associated with products that have embedded options.

Description: In May, 2001, the Casualty Actuarial Society (CAS) and the Society of Actuaries (SOA) jointly issued a request for proposals on the research topic “Modeling of Economic Series Coordinated with Interest Rate Scenarios.” The objectives of this request were to develop a research relationship with selected persons to investigate this topic; produce a literature review of work previously done in the area of economic scenario modeling; determine appropriate data sources and methodologies to enhance economic modeling efforts relevant to the actuarial profession; and produce a working model of economic series, coordinated with interest rates, that could be made public and used by actuaries via the CAS / SOA websites to project future economic scenarios. Categories of economic series to be modeled included interest rates, equity price levels, inflation rates, unemployment rates, and real estate price levels.

Description: Presented at May 2000 Spring Meeting. This teaching session presents techniques and tools for valuing long-term-care insurance for mergers and acquisitions, drivers behind M&A activity in this market, the appraisal process. Specific situations are discussed.

Description: 1999 SOA Annual Meeting, San Francisco. This panel expanded on earlier research to examine the potential costs of long-term guarantees, transfer risk modeling techniques, and the formulation of practical strategies to manage investment accumulation products.