Description: This article provides background on managed target volatility funds and how they can be used for variable annuities and the mitigation of gap risk.

Description: Hear from the editor’s on the December 2018 issue of Risk Management published by the JRMS.

Description: The ORSA (Own Risk and Solvency Assessment) for ERM frameworks and processes is continuing to be implemented by organizations.

Description: This paper, originally published in 1969 in Transactions of Society of Actuaries Vol. 21, presents an analysis of the basic actuarial theory for life insurance policies with fixed premiums and variable benefits reflecting the investment performance of a separate account, where in its basic form, the policyholder bears the entire investment risk. The paper discusses various regulatory and other changes that would be needed or desirable, as well as variation in design such as minimum guarantees. Significant discussion is included, with over twenty individuals contributing in addition to the authors. The introduction to the Monograph notes that while not the first paper on this topic, it “clearly established the framework for subsequent developments of variable products.”

Description: This paper explores a proposed compulsory savings program combined with transparent investment vehicles designed to promote competition based on expense levels, fund performance and customer service. At retirement 50% of the account is annuitized in Participating Variable Annuity (PVA) backed by TIPS. All investment experience, expenses, and pooled longevity experience is passed to annuitants through periodic benefit adjustments. Annuities are priced uniformly based on age at commencement.

Description: This research report addresses two purposes: [1] to incorporate phase transitions into a copula framework, and [2] to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when a contagion effect exists. Understanding and measuring the effects that contagion has on the probability of defaulting, for both single assets and portfolios of assets, are crucial to collateralized debt obligation [CDO] markets.

Description: This document shows you how to set up modeling platforms and start to work with them. Used in conjunction with Complexity Science - An Introduction and Invitiation for Actuaries.