Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

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: Investment risk management has become a core competency of insurance companies, and much has been discussed on this topic. This session examines the current investment risk management practices such as product line specific hedging and macro hedging, with a focus on what still remains to be addressed—whether the tradeoff of addition risk management is worthwhile.

Description: The academy generator is widely applied in actuarial practice. Initially confined to regulatory reserving, companies are increasingly using the AAA/SOA generator over an ever widening range of applications testing the limits of the academy generator's intended function. The session will give a brief overview of the academy generator and the asset classes it can be used to model. It will also analyze the statistical properties of the academy scenarios and discuss the scenarios relative to standard validation criterion. Some of the challenges that actuaries face in using this framework will be reviewed and options for addressing these challenges will be offered.

Description: Asset cash flow modeling and asset assumptions are growing in importance with PBR especially considering the low interest rate environment. The Academy’s Life Practice Council and Life Valuation Committee have formed a Low Interest Rate Asset Adequacy Testing Task Force which has conducted an industry survey to raise awareness and summarize the actuarial best practices for financial reporting actuaries practicing in today’s very low interest rate environment. As the scrutiny on the asset side ratchets up, actuaries must consider how best to develop the asset assumptions as well as model the reinvestment and disinvestment strategies. Coherent assumptions and modeling practices across modeling exercises are expected while respecting the purpose of each calculation.

Description: Effective strategic decision-making helps insurance firms succeed by, among other things, enhancing profits and return on investment. Capital optimization is a crucial component for business leaders to consider when it comes to financial planning, new business strategy, and evaluating corporate structures. Actuaries have a vital role in evaluating and communicating key risks and impacts on the capital position for such strategic decisions. In this session we will be exploring in detail the range of practices when it comes to: Assessing the immediate impact to capital from corporate strategy and new product design Creating a forward-looking assessment of capital across the business planning horizon, including considerations with regards to the change in risk profile due to strategic action Keeping pace with internal demand to ensure that capital is part of the decision making process Providing analysis of sufficient quality to allow management understanding of key drivers of change and how their decisions influence results

Description: Investment opportunities are driven by events in the economy and how participants in the financial markets react to those events. This keynote address will highlight current economic themes and their impact on investment opportunities.

Description: 1996 Valuation Actuary Symposium. In this session on sources of earnings, the panelists discusses implementation of SOE reporting, use of SOE as a management tool, why having SOE reporting is particularly useful for international operations, and SOE reporting from a reinsurance perspective.

Description: This is a short story on the retirement income calculator.