Description: U.K. life insurers writing participating business have, since the end of 2004, been required to value their assets and liabilities on a market-consistent basis. This paper explains the new valuation approach and discusses the issues faced and how insurers have addressed those issues.

Description: This is the Phase I report of a two–phase effort. Phase I consists of defining relevant and actionable consumer segments among middle–income/mid–level net worth households. The Phase II report, defining a basic approach that could lead to a set of answers or 'solutions' that addresses the retirement risks faced by each segment, was released in September 2010.

Description: This report analyzes the results of a survey of LTD carriers in the United States, focusing on how LTD carriers reflect benefit offsets in the valuation of their reserves.

Description: This report, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ is sponsored by the SOA Committee on Finance Research. This research report examines modeling of cash flow associated within a pool of mortgages, specifically focusing on the effectiveness of infusing a limited amount of capital into the pool. The report was prepared by Michael Ekhaus of Gibraltar Analytical, LLC.

Description: This web page contains a link to a research report that highlights the characteristics of combination plans that serve to reduce the risks to insurers issuing life or annuity products linked to long-term care insurance. Observations are provided to assist in the understanding of the factors that explain the profit change sensitivity results and the natural hedging against major risks that inherently is present within the linked products.

Description: With the credit interest rate floor of a cash balance plan—a simple type of option identified by the Project Oversight Group—as a model, this research uses three valuation and risk analysis approaches to explore the existing techniques to value embedded options on an economic basis.

Description: The Society of Actuaries Health Section is pleased to make available a research report examining the use of the PRIDIT method for determining hospital quality. The report was authored by Robert Lieberthal and Dominique Comer of the Jefferson School of Population Health.

Description: This research report analyzes the risk associated with the use of models through the potential for model error.

Description: This research paper is intended to be a primer on extreme event modeling and mitigation for practitioners. It covers the complete cycle of extreme event risk management, from identifying experience data sources, to extreme event detection, to modeling and dependence analysis, and finally to monitoring and mitigation. This paper explores extreme events from the perspective of a global insurance company, with an emphasis on market risk, credit risk, insurance risk, liquidity risk, and business risk. Extreme risk concepts and models are introduced from a practitioner’s perspective without unnecessary theoretical details. This report is not intended to be all-encompassing, but rather to focus on the key aspects of extreme risk analysis and its application. The input data and R programs underlying the numerical examples herein are available in the supporting files accompanying this report

Description: The US and EU are each pursuing modernization of their regulatory frameworks. The purpose of this paper is to provide a discussion of the emerging developments, the historical contexts or drivers of each, and potential implications for insurers. The paper discusses some of the global, wider financial services, and insurance specific activities underway that are influencing solvency developments for life insurers. It provides an overview of the differences in the current US and EU regimes and the regulatory changes underway. The paper then identifies key valuation implications, the impact on pricing and product design, and risk management implications.