Description: 1995 Valuation Actuary Symposium. In this session panelists discussed how cash-flow testing models can be used to provide significant Asset/Liability Management information, making the transition from cash-flow testing to ALM, definitions of ALM, the key assumptions in ALM, and evaluating results.

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.

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: 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: 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: 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: There are two main techniques for evaluating the financial impact of interest rate movements on insurance companies: duration measures and computer simulations. In many ways these approaches provide complementary viewpoints.

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: Discusses the three complexity science sessions at the Annual Meeting that were sponsored by the Section.

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.