Description: In this article, the author discusses the capital shortfall an insurer faces because of the longevity risk on immediate annuities.

Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: Duration matching is a risk management strategy, commonly used in the insurance industry, where the duration (price sensitivity to a yield curve movement) of an asset portfolio is adjusted to be made equal to the duration of the liability. However, this approach has flaws. In this essay, I note some key failures of duration matching and offer a potential alternative.

Description: How insurers can include a liquidity score and liquidity stress scenarios as part of their asset liability management (ALM) protocol.

Description: "This session is for liability-side actuaries seeking a summary of asset valuation principles. Topics to be discussed include: Why it's important in today's world to understand both sides of the balance sheet. Yield curves, including spot rates, forward rates, coupon rates and bootstrapping. Duration calculations, including an explanation of modified duration for contracts with embedded options and key rate durations. A summary of today's regulatory environment in the context of embedded options, including MRB, VM-21 and VM-22. Next, we will dive into duration profiles of different asset classes, including CLOs (floating rate), RMBS (negative convexity), traditional bonds and swaps. Lastly, we will discuss risk-neutral scenarios, martingale tests, and applications in hedging MRBs."

Description: In this presentation, we will delve into the realm of structured finance, placing a spotlight on advanced structured finance modeling. This session will first explore the growth of structured assets in the insurance space, and the reasons behind this growth. We will then conduct a deep dive into different credit models underlying the cashflow projections of different types of structured securities, including an overview of approaches for modeling the prepayment rates, default rates, and loss severity. We will also explore how a refined credit model can help insurance companies evaluate the risk-return tradeoff of investing in different structured assets. This session aims to enhance understanding of structured finance products and how to model them.

Description: Enterprise risk management (ERM) is an orderly or guided conduct of an enterprise to deal with risks. For insurers, ERM requires full support and commitment of the senior management. ERM in the U.S. and Canada has evolved over the years into a complex ecosystem.

Description: This is the disclaimer for the Economic Scenario Generators tool available from the SOA / AAA on the SOA Website.