Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: The next evolution of actuarial systems in the U.S. will likely be a move toward a single system solution. This article defines a single system solution and illustrates how models can be shared across actuarial functions, the potential benefits of a single system solution, and describes potential mitigation strategies to address typical actuarial concerns.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, and model efficiency.

Description: Two breakout sessions were held. Their goal was to explore ways in which researchers and practitioners could be brought closer together. The following summaries were edited by Stuart Klugman from notes taken by the indicated participants: Session #1 - Bridging the gap with regard to modality and morbidity and Session #2 - Bridging the gap with regard to financial modeling.

Description: In it’s insurance capital model, Standard & Poor’s Ratings Services has established criteria to adopt the NAIC’s stochastic approach to variable annuity risk. This approach, which replaces existing static charges, better reflects the products’ risk.

Description: A classical risk model with a multi-layer premium rate is considered in this paper. In the two-layer case, an explicit expression is obtained for the joint distribution of the maximal surplus up to ruin, the surplus immediately before ruin and the deficit at ruin. Such an expression involves some known results on the joint distribution at ruin for a risk model with a constant premium rate. In the multi-layer case, a scheme is proposed to compute its ruin probability.

Description: The article and guidebook of the same name use a stochastic simulation model to examine potential impacts of public pension plan risk-sharing policies on government employers and plan members. Policies examined include simple policies such as COLAs and employee contributions that are contingent upon investment returns or funded ratios, and more-complex policies similar to those used in the Wisconsin Retirement System.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: More Efficient Monte Carlo Simulations for Mortality Assumption Testing