Description: The Casualty Actuarial Society, the Society of Actuaries Research Institute, the Society of Actuaries Joint Risk Management, Reinsurance and Financial Reporting Sections are pleased to make available key findings from the 2022 Emerging Risks Survey, the sixteenth in the series. Conducted by Max J. Rudolph of Rudolph Financial Consulting LLC, the survey incorporated a set of Emerging Risks defined by the World Economic Forum as the basis for several of the questions. The survey also included questions related to current risk management topics.

Description: This report introduces actuaries and risk managers in the insurance and pension industries to current literature discussing growth rates in the past and future expectations.

Description: Constant maturity credit default swaps [CMCDS] are useful as hedging tools. In intensity model approach, the default time is defined as the first arrival time of the Poisson process. From the market quotes of CDS forward rates and bonds, we are able to numerically compute the default probabilities. Approximating CMCDS price depends largely on CDS forward rates’ volatilities and their correlations. This paper implements the price algorithm based on Brigo’s work [2006]. Starting with current market data such as CDS forward rates and nondefaultable bond prices, the paper describes steps involved to obtain the price CMCDS. The paper demonstrates the impact of convexity on the CMCDS price structure.

Description: We derive formulas for calculating the premiums that should be charged on policies in a discounted cash flow model with tax reserves and required assets that are determined by regulation. We also determine the unique division of required assets into “reserves” and “capital” that allows the product profitability to be correctly evaluated. That is, the profit after capital charges is zero if the product achieves the return assumed in pricing. We illustrate the concepts using whole life insurance and guaranteed minimum death benefit examples.

Description: This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a type of macroeconomic model. Authored by Kailan Shang, the paper illustrates how DSGE models can be used in economic scenario generation to reflect the cause and effect relationships that occur in the economic system.

Description: This research report introduces the concept of a preference function, which is a generalization of the utility function.

Description: Research material that developed a Liability-Driven Investment (LDI) benchmark framework.

Description: On January 12, 2023, the Arizona Blockchain Applied Research Center (AZ BARC) and the SOA Research Institute jointly ran a workshop on the use of blockchain technology in insurance and financial industries. The workshop included presentations focused on academic research in the blockchain space by Arizona State University, AZ BARC and an industry expert panel assembled by the SOA Research Institute. This document summarizes the research highlights and the discussions that occurred during the two-hour workshop.

Description: In the fourth quarter of 2022, publicly traded life insurers reported on their financial and operational activities, which included a downturn in income from alternative investments, the continuing impact of COVID, the impact of equity market returns on variable annuity products, and growth trends related to pension risk transfer transactions.

Description: This document discusses the process of obtaining regulatory approval for actuarial innovations in the United States. It includes information on the research project conducted by the Society of Actuaries and Milliman, insights from interviews with actuaries and regulators, as well as advice for presenting and defending innovative ideas.