Description: The speaker will discuss the training of neural networks to compute future Greeks of liabilities (or options) without the use of nested stochastics.

Description: The speakers will discuss the replication of long-term options, including a discussion of issues such as liquidity, transaction costs, slippage, impact of policyholder behavior, and machine learning algorithms to improve hedge effectiveness.

Description: Representing a large indexed annuity writer, the speakers will discuss the growth and evolution of the market for index annuity products. Moreover, the challenges that growth has introduced and how those challenges are being met. While much of the market consists of simple, accumulation-oriented S&P 500 based strategies with 0% return floors, a significant portion of industry sales come from more complex products with highly customized index strategies and other features, such as living benefit guarantees. Attendees will gain a broad understanding of the indexed annuity market, product and features, operational difficulties in risk management arising from product design, and how actuarial and hedge professionals are managing these issues.

Description: Interest rates steadily declining ever since the Volcker Fed tackled inflation in the early eighties. Ten years of stimulating monetary policy brought new lows. We should have braced ourselves for a return to neutrality, but that concept remains elusive. We will explore structural issues that have brought rates to these low levels and the potential impacts on the insurance business.

Description: This is the mortality tables that appear in the 2000-2004 Preneed Insurance Mortality Study report. Please see the SOA website for the complete report.

Description: This report summarizes available data from the research Mortality by Socioeconomic Category in the United States.

Description: The American Academy of Actuaries and the Society of Actuaries (SOA) have joined resources to manage the economic scenario generators used in regulatory reserve and capital calculations.

Description: This research report study uses the property/liability insurance industry as a research sample to examine how risk management, financial management, and capital management are related to each another. This allows reflecting such relationships in: 1. the managerial decisions in the choice of derivative and reinsurance use. 2. the allocation of asset risks. 3. the determination of underwriting activities as well as liabiity risks. 4. the adequacy of capital levels.

Description: The paper gives an overview of the data that are available and discusses the problems encountered in estimating mortality rates at old ages in the UK. It describes some of the methodologies used to construct mortality rates at advanced ages for official life tables and recent work undertaken by the UK Government Actuary’s Department to construct a database of historical mortality rates for the United Kingdom going back to 1961. Mortality tables for ages 85 and above are provided for years 1961 - 2000 by gender. Finally, possible methods for projecting mortality at advanced ages are discussed.

Description: Discussion of three papers presented at Living to 100 and Beyond symposium. Papers discussed: 'Morality at Advanced Ages' by Virga, 'Factors Affecting Mortality in a Small Sample of Older Adults' by Jones, Kwon, Paterson, Cunningham, and Kovai, and 'Detection and Significance of Frailty in Elderly Insurance Applicants' by Pokorski. The first paper develops mortality tables from retired federal employee data.