Description: The method described in this paper is to allocate surplus to each category of business and reserves in proportion to its estimated effect on an insurer's surplus variation. Risk load for each category of business is then selected so that the return on allocated surplus for each category is equal to the overall return on surplus. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This article speculates on the presence and magnitude of the benefits attributable to regular rebalancing of one's investment portfolio. It surveys the extant literature, discusses certain implications, and presents conclusions.

Description: The purpose of this paper is to provide a method for calculating special contingency reserves for investment losses. The method is derived by first building a stochastic investment model and then utilizing its probabilistic structure. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: In this essay, we focus on the “Prospective Solvency Assessment” aspect of the NAIC’s ORSA. This places a spotlight on an insurer’s strategic decision making from a risk and capital management perspective. It requires those in senior management to describe actions they would take to address possible adverse changes in their risk and solvency position, i.e., what they would do to reduce risk, increase capital, and/or adjust the business strategy. We contend that by applying a slightly broader scope than the specific requirements of the NAIC’s ORSA, insurers can develop this into a valuable process to support risk-based decision making. In this essay, we initially consider how to determine which metrics to include in such a process and then discuss some important business requirements and practical challenges for implementing a calculation approach to support it. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Summary of research project designed to document method to credit interest rates to account value based products. The investment year method (IYM) can theoretically align with investment strategy and be fair to policyholders. These products were designed in the 1980s with guaranteed nominal rates above what is currently accessible so most products credit the guaranteed rate. This paper documents how it could be resurrected during the next interest rate cycle.

Description: 1999 SOA Regional Meeting, Atlanta. In this presentation on translating bond default experience studies into a pricing deduction, the panelists focus on: 1. An approach to anticipating defaults of publicly rated companies. 2. Use of bond default experience studies in a specific company environment. 3. A Wall street approach.

Description: This paper looks at the problem of valuing and managing the ALM risks associated with insurance liabilities that are too long to be matched by available investments. Two options were explored and the paper concludes by arguing that the Static Control Model leads to more useful ALM strategies for long liabilities.

Description: Financial Accounting Standard Number 91 deals with the calculation of investment income and amortized cost for mortgage backed securities, as well as whole mortgages and callable bonds. The method described in this paper uses a Taylor series to eliminate the storage of all past cash flows, while still providing an accurate FAS 91 adjustment. From Actuarial Research Clearing House 1993, VOL. 3.

Description: 1993 SOA Meeting, Quebec. This session is about capital management. Topics included: 1. Capital allocation. 2. Capital rationing. 3. Financial or product-line management issues.

Description: This article gives an overview of the CFO Forum diversification paper. The key points that the CFO Forum made are: 1. The lack of sufficient diversifying strategies for risk management needs to be addressed. Therefore they provided a policy framework that promotes sound risk measurement and management practices in a way that can be implemented and supervised with confidence. 2. The lack of sufficient regulatory over-site needs to be addressed, so they presented a set of core principles to form the basis of European insurance regulation. These core principle incorporate diversification in a consistent manner.