Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating interest-rate scenarios.

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: 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: Survey of appointed actuaries about asset adequacy testing techniques currently being used in 2012.

Description: Presented at May 1996 Spring Meeting. The investment environment has undergone significant change over the last several years through the introduction of many sophisticated investment vehicles. This session provides an update on current challenges encountered by life insurance companies in accounting for this new array of investments. Among the issues covered will be accounting for derivatives, mortgage-backed securities, and other hedging vehicles. The session also includes some of the system and projection modeling challenges encountered as a by-product of investment in these vehicles.

Description: Presented at June 1996 Spring Meeting. Provides overview of modern pricing of assets such as derivatives. It includes theory and practical applications, particularly how they relate to insurance companies.

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