Description: This session will demonstrate the advantages of approaches to duration matching and cash flow matching. Plan examples and sponsor’s objectives will be presented. An overview of when to choose one approach versus a blend of the two approaches will also be covered.

Description: Discusses the types of risks that are considered derivatives, the pricing of a derivative, how to manage derivative risks once they are on your books, and some specific examples of how companies are managing them. From the 2002 Record of Society of Actuaries, Volume 28, No. 3. Session 93PD of the Boston Annual Meeting.

Description: This session at the SOA 2003 Washington, DC Spring Meeting examines the nuts and bolts of implementing a capital markets hedge program for offsetting the market risk embedded in variable annuity and equity-indexed annuity products..

Description: This session from the 1995 SOA Boston Meeting examines the use of derivatives to help optimize the inurance company portfolios and using pension theory in developing optimized portfolios in an insurance company environment. From the Record of the Society of Actuaries, Vol. 21, No.4b.

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

Description: The Investment Symposium is a day-and-a-half long seminar that will focus on the issues and questions faced by investors and risk managers, especially related to insurance companies and retirement plans. Presenters will discuss the big picture issues and explore practical solutions to today’s challenges. Experts will share new approaches to portfolio management and cutting edge research in asset-liability management. Technology, regulation and the economic environment will

Description: 1994 SOA Spring Meeting, Orlando. In this session the speaker provided an overview of derivatives including: 1. Definition. 2. Uses. 3. Types of risks - market, credit, legal, and systems. 4. Risk management. 5. US regulatory guidelines and developments.

Description: In this session from the 2005 SOA New Orleans Meeting, panelists discuss the ever-growing range of credit-derivative instruments that are becoming available including credit default swaps - CDSs, replicated synthetic asset transaction - RSAT and synthetic collateral debt obligations - CDOs. From the Record of the Society of Actuaries, Volume 31, No. 1.

Description: Presented at May 1996 Spring Meeting. Panelists discuss the accounting, tax, internal control, and regulatory issues associated with derivative securities and provides an update on recent developments.

Description: Presentation from the Actuarial Research Conference describing risk management at a leading Canadian Bank.