Description: The Society of Actuaries seeks to provide actuaries of life insurance companies with a systematic approach for estimating the adverse effects of economic developments that could impede insurer performance. The performance measurements include 1. Return on Equity, 2. Return on Assets, and 3. Increase in Surplus and Capial. Toward that end, this study combines market and economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis is based on annual data from 1985 through 1995 for 1,593 life insurers. By identifying important exogenous and insurer-specific factors related to life insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The study also identifies and describes several web sites that provide access to relevant economic and financial data. Also see the SOA website research page for excel spread sheets that have the charts that should be inserted in this report

Description: Equity-indexed annuities [EIAs] can be viewed as mutual funds wrapped around with various guarantees. A recent paper derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before maturity] is not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor chooses the date to cash in the fund accumulation.

Description: The goal of this paper is to dispel the prevailing belief that American-style options cannot be valued efficiently in a simulation model by presenting a general algorithm for such valuation, and thus remove what has been considered a major impediment to the use of simulation models for valuing financial instruments. Discussions of this paper are included.