Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: Technical paper on how to efficiently perform scenario testing for principle-based approaches.

Description: Summary of the SOA's research report Modern Deterministic Scenarios for Interest Rates, which developed interest rate scenarios for use in cash flow testing.

Description: Discussion of the biases understatement of risk/reserves that arise when aggregating cells in modeling Variable Annuity Minimum Guaranteed Death Benefits

Description: More Efficient Monte Carlo Simulations for Mortality Assumption Testing

Description: Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount best-estimate cashflows using locked-in rates could give non-sensical results in many instances. This article describes a technique for calibrating each of the scenario's cashflows so that they can be discounted with other discount factors or curves without distorting the value of underlying options and guarantees.

Description: Value-at-Risk—an Overview Part Two of Two by Glyn Holton from The Financial Reporter, May 1999, Issue No. 39.

Description: A discussion of the limitations of the use of spreadsheets versus formal programs in actuarial processes. including limited documentation, inability to incorporate new features without significant coding and subtle bugs that may appear.

Description: This article describes methods for addressing technical challenges related to modeling asset cash flows for PBR reserve projections.

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.