Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.

Description: A discussion of alternative meanings to “Best” in best estimate. When one is trying to estimate a result that is normally distributed, the mean, median and mode will all equal one another. However if the results are not normally distributed, different variance metrics will result in different “best” estimates. When different parts of a financial statement use different criteria for measuring best estimates and different processes for handling variances, the results can be volatile, unpredictable and perhaps unreasonable.

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

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 report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and disadvantages of the different approaches with a focus on model risk issues.

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: Feature article describing what makes a company a systemically important financial institution and the new rules those companies will have to follow.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

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: An overview of the SOA annual meeting session 154 panel discussion: the coming retirement financial crisis and how actuaries will be part of the solution.