Description: An update on the Capital Market Assumptions used for asset allocation maybe useful to actuaries given the parallels with the assumptions an actuary uses to measure plan obligations.

Description: This article describes methods for addressing technical challenges related to modeling asset cash flows for PBR reserve projections.

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

Description: This article discusse key considerations to account for while planning for and executing the initial actuarial model handoff from development to production.

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

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

Description: Discussion of Capital Market Modeling techniques

Description: Results of an industry survey on life insurance companies' efforts to implement the recently adopted Life Risk-Based Capital Phase II Instructions, which include new requirements for variable annuity contracts. Adopted by the NAIC on October 14, 2005, the new requirements are effective for year-end 2005. Also discusses a summary of the requirements set forth in the instructions.

Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.