Description: Update on issues, priorities and key messages from the Joint CAS / CIA / SOA Risk Management Section Council.

Description: The article explores the possibility of using the emerging technology for life insurers to build a monitor system for better risk and profitability management.

Description: Hear from the editor’s on the December 2018 issue of Risk Management published by the JRMS.

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

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

Description: The Actuarial Opinion and Memorandum Regulation states that the purpose of asset adequacy analysis is to certify that assets are adequate to cover reserves under “moderately adverse conditions.” This article discusses the determination of whether an interest yield scenario is moderately adverse or extreme.

Description: How companies with limited resources can put controls into place for their actuarial processes.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: The article summarizes PLRs 201515001 and 201519001, in which the IRS addressed the treatment of a non-qualified deferred annuity contract under the investor control doctrine and other applicable rules. The contract provides a guaranteed lifetime withdrawal benefit and investment options that correspond to “public” mutual funds. The IRS concluded that the investor control doctrine will apply to treat the contract purchaser as the owner of the mutual fund shares for federal income tax purposes. The IRS also addressed certain other tax aspects of the arrangement. The effect of the rulings is that the contract will be taxed similarly to a contingent deferred annuity (where the policyholder holds the mutual fund shares in his or her own brokerage account), while being structured like a traditional deferred variable annuity (where the insurance company holds the shares in its separate account).

Description: The author explores the issue of longevity risk with its implications for life insurers and society at large, and concludes that the actuarial profession is in a unique position to understand longevity risk and offer solutions.