Description: A paper entitled “A Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial Journal. In it, Dr. Mary Hardy describes a model for future equity returns and some reasons why that model might better reflect real equity price movements than the often-used lognormal model. The purpose of this article is to apply a two-regime model to variable annnuity GMDB pricing and compare the results to those from a lognormal model.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Argues public plans should only hold bonds, on the basis of tax and finance arguments.

Description: Summary of the recommendations of the Society of Actuaries Mortality Study Working Group, whose purpose was to re-evaluate the scope and content of the Society’s mortality experience studies and to develop long term strategic direction.

Description: A status update on research projects sponsored or co-sponsired by the Financial Reporting Section.

Description: Formulas for changes in GAAP liabilities and liability accrual rates are shown for three assumption update methods—retrospective, prospective and immediate.

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