Description: Methodology for identifying principles based economic capital.

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: The article provides an update on the 2019 ERM Symposium with regard to date, location and content (General Sessions and Concurrent Sessions).

Description: This article provides a very high level overview of accelerated underwriting programs and their history in the US marketplace. It then discusses setting up an actuarial control cycle for such products and some items related to risk management that are helpful in this setting. Pros and cons of retrospective studies, random holdouts, targeted holdouts and post issue analysis are discussed. A mathematical example of how to estimate the mortality impact of such programs from early emerging experience is provided.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: This article is part of a 2 part series on real options analysis (ROA). Before you can understand the limitations of ROA, you must first understand the difference between risk and uncertainty. This article goes into detail explaining the vast differences between the two phenomena.

Description: Summary of recent surveys to life actuaries regarding assumptions surrounding policyholder behavior in the tail for universal life with secondary guarantees and minimum guarantees on variable annuities. This information is intended to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios.

Description: Risk management techniques do not include system science. System science requires that the uncertainty of the world is incorporated into the results. The articles explains the difference between risk and uncertainty. Learn how risk practices create an overoptimistic view of future outcomes.

Description: To address non-parallel movement in the interest rates the concept of key-rate duration was introduced in mid-'80s by Tom Ho. I will define certain key rate metrics, their variation used in the industry, how to calculate them, and an existing industry issue with how they are used. Additionally, I propose a novel technique to calculate key rates to mitigate the problem faced in the industry

Description: To address non-parallel movement in the interest rates the concept of key-rate duration was introduced in mid-'80s by Tom Ho. I will define certain key rate metrics, their variation used in the industry, how to calculate them, and an existing industry issue with how they are used. Additionally, I propose a novel technique to calculate key rates to mitigate the problem faced in the industry