Description: The creation of the short/long portfolio is the essence of the intermediation business. The result is that the efficiency of use of capital in the economy is improved, and economic growth is facilitated. From Asset-Liability Integration, M-FI02-1.

Description: An overview of the principles, underlying theories, and the various strategies employed in Asset/Liability management. From Asset-Liability Integration, M-FI02-1.

Description: A discussion of how in recent years, the unpredictability of cash flows has become a bigger source of risk than it was in the past for insurers. Includes a discussion of how some of the risk due to this unpredictability might be managed through asset management strategies. From Asset-Liability Integration, M-0FI02-1.

Description: This articles explains why many corporations are making massive reductions in risk related to their pension plans despite the fact that this means locking in costs at a time of historically low interest rates. This should help actuaries working with pension plans or pension investments advise clients on investment strategies and other approaches to de-risking.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Panelists discussed: [1] investment products oriented toward asset/liability matching, [2] asset/liability management [ALM] including the C-1 and C-3 Risks, [3] current ALM practices among life insurance companies, and [4] regulatory developments in this area. From the 1987 Record of Society of Actuaries, Vol. 13, No. 4B.

Description: Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been widely applied for equity-returns for investment guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching process. This presentation develops some methodologies for regime-switching portfolio replication and use real world data to demonstrate and evaluate their effects. A Bayesian approach for regime switching model fitting is used, which allows for the examination of the robustness of each of the optimization methods when parameter uncertainty is present.

Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: ERM and Investment strategies for healthcare companies