Description: Presented at Living to 100 symposium, January 2011. This paper presents a method for using death records to infer exposure on non-extinguished cohorts, thereby allowing the development of a credible table for high ages.

Description: In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic risk, financial risk, operational risk and hazard risk under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document a significant product line and geographic diversification discount relative to more focused competitors, our analysis suggests that firms with effective ERM programs exhibit a performance premium. Using the Standard and Poor’s (S&P) ERM ratings from 2006 to 2012, we find that product line diversification has a significant positive effect on value for more diversified firms with well-implemented ERM programs, as compared to those with weak ERM.

Description: The Market Cost of Capital approach has emerged as the standard for estimating risk margins for insurers' fair value balance sheets. This paper takes some of the ideas developed for valuing life insurance liabilities and applies them to the problem of valuing credit risky bonds. The basic idea is that credit spreads should cover the cost a) best estimate defaults plus the cost of holding capital for b) contagion risk (e.g. a credit crunch) and c) parameter risk, this risk that the best estimate is wrong and must be revised. We argue that the margins required for parameter risk can capture liquidity issues. In addition, the models developed here allow the cost of capital rate itself to be a random variable which allows credit spreads to open and close stochastically. Finally, the paper argues that it is reasonable to include something like AA best estimate default rates and liquidity spreads when valuing insurance liabilities. The main rationale for doing so is the idea that there are elements of the total credit risk issue that can be hedged between the assets and liabilities.

Description: These are the discussant comments for the concurrent session 4A: Longevity in the Public Eye from the January 4-6, 2017 Living to 100 Symposium in Orlando.

Description: This paper seeks to construct a new system for pension funding that balances the needs of all the pension stakeholders. It presents a system that supports plan sponsors’ needs for predictable and relatively smooth contribution streams with the needs of the PBGC, pensioners, and taxpayers for a well-funded system. From The Future of Pension Plan Funding and Disclosure Monograph, M-RS05-1.

Description: The paper attempts to identify defined benefit plan design principles that provide valuable employee benefits at reasonable costs. From The Future of Pension Plan Funding and Disclosure Monograph, M-RS05-1.

Description: This paper discusses the the continuing cost of health insurance coverage represents a major problem for most of us. However, the long-term continuation of the excess growth rate of the health care economy verses the rest of the economy has the potential makings of a major crisis.

Description: Abstract for “Home Equity and At-Need Annuities—A Dynamic Long-Term Care Funding Duo.” This paper describes the prevalence of the still uninsured long-term care financial risk, and how the at-need annuity/home equity combination can address long term care needs.

Description: Chapter 7 suggests that there are two general families of hypotheses about the sex mortality differential: constitutional - biologic/genetic, and external - social/cultural/environmental/behavioral. The author gives a thorough review of the literature and studies performed. The conclusion offered is that there are significant biological reasons for the differential, but that these are often masked by environmental factors. From Why Men Die Younger: Causes of Mortality Differences by Sex, M-LI01-1.

Description: Chapter 7 analyzes the demographic variables that could have an effect on the future costs of social security, and then discusses a wealth-transfer model that could be used to stabilize the financing of Canada's total social security system and that would also lower the ultimate cost of Canada's retirement income security programs. From Economic Security for an Aging Canadian Population, M-RS99-2.