Description: An update on the Capital Market Assumptions used for asset allocation maybe useful to actuaries given the parallels with the assumptions an actuary uses to measure plan obligations.

Description: This presentation estimates several models of interest rates, including seven without and four with regime shifts.

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

Description: This abstract describes a paper that investigates how to best choose a model from a flexible set of regime-switching models where the individual regimes are not constrained to be from the same distributional family.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: This article discusse key considerations to account for while planning for and executing the initial actuarial model handoff from development to production.

Description: A discussion of the theory underlying risk neutral investment scenarios

Description: Argues that the financial and statistical data on loan restructuring practices collected within the last two years, since the 2008 collapse of the housing market, could be evaluated by actuaries and become a base for improving the existing models and developing new ones.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: This paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.