Description: 1993 SOA Annual Meeting, New York. Insurance regulators commissioned a task force to develop cash-flow variability measurement standards. This session presented the recommendations of that task force and the relationship to cash-flow testing. Topics included: 1. The regulatory need and how the process was approached. 2. The types of CMO variability that the standards attempt to address. 3. A description of the scenario selection process that's used in this model. 4. The prepayment assumptions and the method to be used to collect prepayment data. 5. The relationship to cash-flow testing. 6. The regulators' reactions.

Description: This article suggests ways for small insurance companies to obtain modeling information on more intricate assets, such as collateralized mortgage obligations [CMO], at a low cost.

Description: 2002 Valuation Actuary Symposium, Lake Buena Vista, FL. In this teaching session the instructor explained how to scrutinize model results and use models to make strategic decisions. Specific topics included validation of asset models, modeling considerations for derivatives and assets with embedded options, using models to assist with portfolio management, and using models to improve portfolio yields and realized product spreads.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. Consequently, complete price sensitivity information is derived which is equally applicable in all yield curve environments. In addition, this model is practical and relatively easy to apply. From the Actuarial Research Clearing House ARCH 1989 Vol. 2.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: In reaction to a spate of model conversion activity and rising acceptance of model risk management techniques, many companies have, or are in the process of centralizing their modeling function to accommodate both governance and efficiency demands. These operating model changes have produced a wide range of questions and issues, such as division of labor, roles and responsibilities, selection of tasks to keep decentralized, among others. This session will frame a series of key considerations around modeling function consideration, and share lessons learned with the audience.

Description: This session from the 1994 Valuation Actuary Symposium focuses on the modeling of assets and the problems and solutions for calculating asset market values in asset/liability models. It also covers considerations in using deterministic versus stochastic yield curve scenarios and modeling issues in developing investment strategies.

Description: Presented at May 2005 Spring Meeting. Panelists discuss the process of setting long-term investment assumptions from a practical perspective, including changes in equity return premium, use of risk-neutral scenarios and methodology, and special considerations for setting pricing scenarios.

Description: This session at the 2003 Valuation Actuary Symposium discusses asset model validation techniques. Applying the results of a cash-flow testing model to other uses is explored. Also, the proliferation of embedded option derivatives, both on the asset and liability side of the balance sheet, both for pricing and for valuation, are discussed.

Description: 1996 Valuation Actuary Symposium. This session about asset modeling discussed securities with options and derivatives, corporate government debt, mortgage-backed securities, collateralized mortgage obligations, real estate equities, and investment and disinvestment strategies.