Description: This session will serve as a guide on how to implement a factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset classes. We will then illustrate implementation of this investing approach and determination of an optimal Strategic Asset Allocation through a pension fund case study. There will be an interactive element to the session as the factor sensitivities of various portfolios can be examined in real-time.

Description: This essay advocates that the transition from DB to DC plans won't be complete until plan sponsors offer programs of retirement income in their DC plans. The essay discusses the relevant actuarial and behavioral issues.

Description: In this session, panelists will lift the curtain on the main features of investment grade (IG) private placement bonds and below investment grade (BIG) private debt and compare them with available public bond and bank loan alternatives. The panel will examine the motivations for insurance companies and pension funds to invest in private debt and the legal, diligence and operational requirements to maintain a private debt portfolio. We will also conduct a 2017 private placement market review and look forward to 2018’s likely new USD and non-USD issuance and which industry sectors are likely to issue. This session will also cover their risk and reward characteristics, and the structural intricacies of the various IG and BIG debt types and whether there is sufficient compensation for illiquidity and other risks.

Description: Insurance companies utilize derivatives in a variety of ways to manage and mitigate risks that are inherent in their investment or liability portfolios. They can be characterized by three main features: medium long-term duration; large volumes; and significant market risk exposure. Given the persistent low interest rate environment across the curve since the 2008 financial crisis, large companies need to hedge their liabilities, as illustrated by the significant recent increase from $786 billion as of fiscal year 2010 to $1,885 billion as of FY 2014 by insurance companies.As the Variable Annuities (VA) guarantees embedded within those liabilities hold a strong convex risk profile with respect to the underlying stock, VA carriers need to buy some convex hedge assets such as options to match the liability risk profile to improve hedge effectiveness, implying the growing cost of hedging. Such market impact of the quantity on the cost of hedging is further magnified in the recent period with the short-lived, but sharp transitions from low volatility to high volatility, when market volatility suddenly increases, even when there were no well-known fundamental catalysts. This partially stems from the growing managed volatility funds embedded within VA ($bn 400).VA carriers willing to trade a large quantity of options will see such market impact as an important dilemma, as the cost of placing one large order to close position will be far greater than the sum of infinitely small orders differed in time. In that context, managing market impact requires introducing an explicit market impact function, the influence of which the agent will try to minimize. The effect on hedge asset prices significantly depends on whether there is or not significant delta hedging activity. In case of no significant delta hedging activity, the risk appetite has a significant influence on the optimal execution strategy. If there is significant delta hedging activity, the optimal trading involve

Description: Three papers use sophisticated actuarial methods to develop a straightforward retirement income strategy that can be implemented in virtually any IRA or 401(k).

Description: This session will provide an overview of recent developments from the perspective of an insurance company and an auditor.

Description: What is the impact of aging populations on economic growth and interest rates?” “Are low interest rates and inflation a short-term phenomenon?” “How will returns from different asset classes be impacted by future demographic trends?” “What are the differences between different countries and regions around the world?”

Description: The asset portfolios of retirees’ serve many purposes including current income, liquidity, purchasing power, estate, tax minimization, and so on. Multiple objectives with different levels of importance lead to a complex asset allocation problem for retirees. Existing asset allocation methods normally focus on a subset of the multiple objectives of retirees in an approximate way. The simulation-based multiple objective asset allocation method objectively assesses each allocation plan against multiple objectives in a consistent way and provides a more holistic picture of possible outcomes. This information is critical for finding the optimal allocation plan. The optimization is based on the weighted performance relative to multiple objectives. At the same time, it requires more inputs and advanced modeling.

Description: Demographic changes around the world may present actuaries with an opportunity to tackle product development, risk management and asset allocation challenges involving financial and investment variables.