Description: A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of economic surplus (MVES). This article provides a novel approach to the valuation of MVES that is stable and reasonably immune to “market noise.” Current approaches to the calculation of economic surplus of an insurance company generally define such surplus as the market value of the assets (MVA) supporting the liabilities less the market value of liabilities (MVL). While MVA is observable in the market, MVL is typically computed directly, without regard to the underlying supporting assets. Subtracting MVL from any value of assets that changes with market movements results in an unstable surplus. Consequently, a surplus that is not fully reflective of market sentiment has been rejected by many. This same approach is further used in the calculation of market consistent embedded value (MCEV) when a balance sheet approach is used .

Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: This article discusses how insurers that focus on their core competencies and astutely outsource other functions will become more competitive and improve their performance.

Description: An introduction to the Product Development Section's new subgroup supporting interested in the practice of in force management.

Description: The ideal business situations for securitization would be those where a company faces significant risks or has significant growth opportunities and where conventional sources of risk hedging or financing are not available or are too expensive. Ultimately, securitization should be able to provide hedging and/or financing that is more effective and less expensive than the alternatives.

Description: Presented at June 1996 Spring Meeting. An investment manager discusses investment strategy for a disability insurer and a rating agency representative and a stock analyst describe how disability insurers are evaluated for risk profile and other issues.

Description: 1994 SOA Spring Meeting, Orlando. This panel described the less obvious financial exposures and qualitative issues affecting an insurance company's financial strength. In addition, panelists discussed risk-based capital as a means of solvency assessment.

Description: This presentation is an open forum, session 68OF, from the 2004 Spring Meeting of the Society of Actuaries, held June 14-15 in San Antonio, TX. The panelists, investment professionals and an actuary, discuss strategies that life insurance companies use for their capital account [surplus] assets. From the Record of Society of Actuaries, Volume 30, No. 2.

Description: 1993 SOA Spring Meeting, Boston. This session is about trends in life company impairments and insolvencies. Topics included: 1. Recent insolvencies - are there similar situations waiting to be discovered? 2. How meaningful are current financial statements? 3. What do rating agencies say? How much confidence is there in their ratings? 4. The role of cash-flow testing, AVR/IMR, and risk-based capital formulas.