Description: Investment risk management has become a core competency of insurance companies, and much has been discussed on this topic. This session examines the current investment risk management practices such as product line specific hedging and macro hedging, with a focus on what still remains to be addressed—whether the tradeoff of addition risk management is worthwhile.

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: 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: This panel discussed studies of the risk of loss due to changes in the interest rate environment. It addressed why the C-3 risk is important and how inflation and stability in interest rates can affect the financial soundness of life insurance companies. There was also a discussion of the theoretical work being carried out to calibrate the C-3 risk of variation in interest rates and to what extent the valuation actuary can properly recognize the risk of loss from changes in the interest rate environment within the framework of valuations laws and regulations.

Description: This session will serve as a guide on how to implement a factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset classes. We will then illustrate implementation of this investing approach and determination of an optimal Strategic Asset Allocation through a pension fund case study. There will be an interactive element to the session as the factor sensitivities of various portfolios can be examined in real-time.

Description: In this session, panelists will lift the curtain on the main features of investment grade (IG) private placement bonds and below investment grade (BIG) private debt and compare them with available public bond and bank loan alternatives. The panel will examine the motivations for insurance companies and pension funds to invest in private debt and the legal, diligence and operational requirements to maintain a private debt portfolio. We will also conduct a 2017 private placement market review and look forward to 2018’s likely new USD and non-USD issuance and which industry sectors are likely to issue. This session will also cover their risk and reward characteristics, and the structural intricacies of the various IG and BIG debt types and whether there is sufficient compensation for illiquidity and other risks.

Description: Panelists discuss issues faced by the insurance-company portfolio manager, how to measure or value interest-rate risk, some of the new cash investment vehicles available, the futures and options market, construction of a synthetic security, and the review of mortgage-backed securities under new analytical techniques. From the 1987 Record of Society of Actuaries, Vol. 13, No. 3.

Description: Insurance companies utilize derivatives in a variety of ways to manage and mitigate risks that are inherent in their investment or liability portfolios. They can be characterized by three main features: medium long-term duration; large volumes; and significant market risk exposure. Given the persistent low interest rate environment across the curve since the 2008 financial crisis, large companies need to hedge their liabilities, as illustrated by the significant recent increase from $786 billion as of fiscal year 2010 to $1,885 billion as of FY 2014 by insurance companies.As the Variable Annuities (VA) guarantees embedded within those liabilities hold a strong convex risk profile with respect to the underlying stock, VA carriers need to buy some convex hedge assets such as options to match the liability risk profile to improve hedge effectiveness, implying the growing cost of hedging. Such market impact of the quantity on the cost of hedging is further magnified in the recent period with the short-lived, but sharp transitions from low volatility to high volatility, when market volatility suddenly increases, even when there were no well-known fundamental catalysts. This partially stems from the growing managed volatility funds embedded within VA ($bn 400).VA carriers willing to trade a large quantity of options will see such market impact as an important dilemma, as the cost of placing one large order to close position will be far greater than the sum of infinitely small orders differed in time. In that context, managing market impact requires introducing an explicit market impact function, the influence of which the agent will try to minimize. The effect on hedge asset prices significantly depends on whether there is or not significant delta hedging activity. In case of no significant delta hedging activity, the risk appetite has a significant influence on the optimal execution strategy. If there is significant delta hedging activity, the optimal trading involve