Description: Target volatility, as an investment strategy, has been used by many funds not only as a way to smooth return but also as a way to manage risks of the VA guarantees. Contrary to existing research which favors volatility targeting over fixed allocation, this article shows that because of the existence of market jump risk, target volatility strategy does not necessarily offer an improved risk profile for VA writers. Further, target volatility coupled with leveraging can significantly increase tail risk for insurance companies.

Description: 1988 Valuation Actuary Symposium. The session discussed the C-3 risk, not the C-1 risk in the title. It explored the question: For testing purposes, how does one create the investment scenarios to which you expose your assets and liabilities?

Description: Survey of appointed actuaries about asset adequacy testing techniques currently being used in 2012.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

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.