Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: The Federal funds rate increased by 4.25% in 2022 with further increases in 2023, which have already resulted in a liquidity crisis for a few banks. As the rapid increase of the interest rates pushed the new money rates above the yields of many life insurers’ investment portfolios, insurance companies are facing a dilemma between compressed margins from peer pressure and the concern with liquidity shortfalls and realized capital losses should mass surrenders happen. This paper discussed main emerging risks under rising interest rate environment, and several ways to mitigate these risks.

Description: This article will highlight the issue that the sum of key-rate metrics does not add to metrics derived by parallel shift to the entire curve, even at very low shift size. Additionally, in the article I will outline how to define a single rate change to be applied to a key rate (or the entire curve) since the rate changes are generally not level or parallel.

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

Description: Discussion about recent ALM and Benchmarking survey conducted by strategic consulting firm Patpatia & Associates.

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

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: The article summarizes a session on asset validation; the featured speakers were an investment manager, a company investment actuary, and a consultant.

Description: Highlights from the 8th Intercompany Long-Term Care Insurance Conference held in March 2008, consisting of 56 sessions covering a range of long-term care insurance LTCI topics each with a track-specific focus.

Description: Discusses the three complexity science sessions at the Annual Meeting that were sponsored by the Section.