| |
1986-89
Credit Risk Loss Experience Study (FP100) - The Society of Actuaries
(SOA) together with the American Council of Life Insurance (ACLI) in 1995
completed a study to measure incidence rates, loss severity, and expected
basis-point loss associated with credit risk events. The completed research
project: "Credit
Risk Event Loss Experience: Commercial Mortgage Loans & Private Placement
Bonds,” was published in the TSA Reports 1993-94.
Dynamic Solvency Testing: Time Frame Analysis, Scenario Interpretation,
Credibility/Reliability and Dynamic Solvency Testing: Confidence Standards
and Reliance Guidance (FP101) - Published as: "Research
Report on Selected Dynamic Solvency Testing Topics,” TSA
Reports 1993-94; Dynamic Financial Condition Analysis Handbook,
SOA May 1996; the papers define certain topics and provide information
on techniques currently available in support of the development of dynamic
solvency testing (DST).
The Potential Role of Dynamic Solvency Testing in Preventing Insolvencies
of Insurance Companies: A Historical Perspective (FP102) - Completed
in 1995, the Committee on Financial and Investment Management Research
identified major cause(s) of failure for a small group of companies and
evaluated whether and how DST would have helped each company prevent its
failure. This research project was published as: "The
Potential Role of Dynamic Solvency Testing in Preventing Insolvencies
of Insurance Companies: A Historical Perspective,” TSA Reports
1993-94.
Fair Value of Liabilities (FP103) - The Fair Value of Insurance
Liabilities is a compilation on the call for papers sponsored by
the SOA on the subject of market value of insurance liabilities. It was
edited by Irwin T. Vanderhoof and Edward I. Altman and published by Kluwer
Academic Publishers. A description of the book and ordering information
can be found at http://www.kap.nl/prod/b/0-7923-9941-2.
Bond Pricing Research (FP104) - The three resulting articles analyze
the challenges of the bond market and pricing. The projects were published
as "Bond Returns, Liquidity and Missing Data" Journal of Financial
and Quantitative Analysis,” Vol. 27, No. 4, Dec. 1992, “Corporate
Bond Valuation in the Dealer and Exchange Markets,” Contingencies,
Vol. 4, No. 5, Sep/Oct. 1992, and “Corporate Bond Price Discrepancies
in the Dealer and Exchange Markets,” Journal of Fixed Income,
Dec. 1991.
Economic Assumptions Guidance (FP105) - The Economic Assumptions
Task Force investigated what bearing economic assumptions (other than
the shape of the yield curve) had on insurance modeling and to advance
the profession's thinking about economic scenarios. The results were published
as "Task
Force Concludes Economic Variables Should Get More Attention,”
The Actuary, Vol. 29, No. 9, Nov. 1995.
Boundaries of Risks (FP106) - This report provides information
on current techniques available to identify risks that can affect insurance
company solvency and what additional research may be necessary. The finished
report appears as "Dynamic
Solvency Testing: Boundaries of Risk Definition Phase,” TSA
Reports 1995-96 and in Appendix B of the 2nd edition of the DFCA
Handbook.
Actuarial Aspects of Currency Risks (FP108) - The "Professional
Actuarial Specialty Guide (PASG) "Actuarial
Aspects of Currency Risks" V-1-97 discusses the role of the actuary
in determining currency risks.
Implications of Long-Term Interest Rate Guarantees in Pensions and
Insurance (FP111) - The Society of Actuaries call for papers on the
topic, "100-Year Term Structure of Interest Rates" resulted in two papers
published in the North American Actuarial Journal (NAAJ) Vol.
3, No. 3, Jul. 1999. “Term
Structure Models: A Perspective from the Long Rate" by Yong Yao discusses
two questions about the asymptotic behavior of yield on default-free,
zero-coupon bonds. The other paper, "Long-Term
Yield Rates for Actuarial Valuations" by Jacques F. Carriere investigates
the problem of estimating the yield rate of a pure-discount bond that
matures in 100 years.
Economic Modeling Techniques (FP113) - A special edition of the
North American Actuarial Journal, Volume 1, Number 3, July 1997 has been
devoted to publishing the papers presented at the Actuarial and Financial
Modeling: Towards a New Science conference held in December 1996. The
conference was devoted to using models in actuarial and financial work,
by presenting issues, raising questions and to promote writing.
Introduction to Actuarial Modeling
Complex Dynamics, Market Mediation and Stock Price Behavior
Current Actuarial Modeling Practice and related Issues and Questions
An Object-Oriented design for Dynamic Simulation Models
Skewness and Stock Option Prices
"Value at Risk" Measurement Application to Life Insurance (FP115) -
The April 1999, Volume 3, Number 2, NAAJ compiled the following papers
from the symposium, "Integrated Approaches to Risk Measurement in the
Financial Services Industry held December 8-9, 1997. "Application of Coherent
Risk Measures to Capital Requirements in Insurance," Philippe Artzner,
"Extreme Value Theory as a Risk Management Tool," Paul Embrechts, Sidney
I. Resnick and Gennady Samorodnitsky, "Enterprise Risk and Return Management
for Financial Institutions," Mark Griffin and Rick Boomgaardt, "A Value-at-Risk
Calculation of Required Reserves for Credit Risk in Corporate Lending
Portfolios," Ronan O'Connor, James Golden and Robert Reck, "The Strategic
Uses of Value at Risk: Long-Term Capital Management for Property/Casualty
Insurers," William H. Panning, "Raising Value at Risk," Julia Lynn Wirch,
"Cash Flow Valuation and Value at Risk," Allan Brender, "Evaluating the
Risks of Modeling Assumptions Used in Risk Measurement," Teri L. Geske,
"A VaR Model of an Investment Cycle: Attributing Returns and Performance,"
Thomas S. Y. Ho, "A Bridge Too VaR," Colin McKee. Another paper resulting
from the conference was "Evaluating
Assumptions Used in Risk Measurement" by Teri L. Geske.
Application of Coherent Risk Measures to Capital Requirements in Insurance
Extreme Value Theory as a Risk Management Tool
Externprise Risk and Return Management for Financial Institutions
A Value-at-Risk Calculation of Required Reseves for Credit Risk in Corporate Lending Portfolios
The Strategic Uses of Value at Risk: Long-Term Capital Management for Property/casualty Insurers
Raising Value at Risk
Study of the Use of Derivative Instruments by the Insurance Industry
(FP116) - The paper, by J. David Cummins, Richard D. Phillips and
Stephen D. Smith, "Corporate
Hedging in the Insurance Industry: The Use of Financial Derivatives by
U.S. Insurers,” discusses the extent to which insurance companies
utilize financial derivatives contracts in risk management. It was published
in the North American Actuarial Journal (NAAJ), Vol. 1, No. 1,
Jan. 1997.
Actuarial Aspects of Currency Exchange Risk (FP118) - A call for
papers on Actuarial Aspects of Currency Exchange Risks resulted in the
following two papers "Pricing
with Stochastic Foreign Exchange and Interest Rates" by Mike Davlin
and Mark Tenney and "On
Measuring the Risk of Foreign Exchange" by John Mange.
Actuarial and Financial Modeling Conference II (FP119) - The following
research papers were presented at the conference: "Profitability,
the Leading Indicator of Solvency" by David Becker, "Tales
of a Model Builder – 10 Years in Review” by Mark Robson,
“DFA:
Sharing the Knowledge" by Tom Hettinger, "Use
of Stochastic Modeling on Social Security Funding" by Mike Sze, "What’s
New in Modeling Research?" by Jed Frees and Jack Luo, "Course
7: What it is, What it Isn’t" by Jeff Beckley, and "Society
of Actuaries Course 7: What’s in it For You?" by Stuart Klugman
and Warren Luckner.
Fair Value Accounting II (FP122) - The results of the Fair Value
of Insurance Business Conference held March 18-19, 1999 at New York University
were published in the book, The Fair Value of Insurance Business
edited by Irwin Vanderhoof and Edward Altman. A short description and
ordering information can be found at http://kapis.www.wkap.nl/prod/b/0-7923-8634-5.
Market Research for Actuarial Counseling (FP124) - The completion
of this project resulted in the following paper, "Marketing
Research: Actuaries Serving Individuals" by Teresa R. Winer, which
discusses the viability of actuarial counseling (actuaries serving individuals.)
Risk
Position Report Survey (FP125) - The group studied how the insurance
industry measures risk through risk position reporting.
1999 Bowles Symposium (FP126) - The theme of the symposium held
on December 9-10, led by Harold D. Skipper, was Financial Services Integration:
Fortune or Fiasco? The papers presented at the symposium were published
in a feature issue of the North American Actuarial Journal (NAAJ), Vol.
4, No. 3, July 2000.
Integration of Financial Services: Evidence from Australia
Who Says Financial Services Integration Is in Consumers' Best Interest?
The Integration of the Financial Services Industry: Where Are the Efficiencies?
The Integration of Financial Services in Europe
The Role of Electronic Commerce in Financial Services Integration
Financial Services Integration Worldwide: Promises and Pitfalls
Remarks on "Financial Services Integration: right for Some, Wrong for Others?"
Integration of Financial Services: A Canadian Perspective
The State of the Industry: Meeting the Challenges of a New Millennium
The Prudential Supervision of Financial Conglomerates in the European Union
Symposium on Stochastic Modeling of Variable/Segregated Fund Investment
Guarantees (CIA) (FP127) - The symposium's goal was to promote education
and research in the area of stochastic modeling of investment returns
with respect to the maturity and mortality guarantees offered on segregated
fund and variable annuity products. It was held on September 13-14, 1999.
The Table of Contents can be downloaded from the following http://www.actuaries.ca/meetings/segfund/1999/funde.htm
Unified Valuation System (FP128) - AAA sponsored Unified Valuation
System Symposium. This research project was completed in 2000.
Intra-Company Capital Allocation (FP129) - The Committee on Finance
Research sponsored a call for papers on Intra-Company Capital Allocation
focusing on a fresh examination of issues related to the capital needs
of insurers, both in total and with regard to internal allocations of
capital. The results of this research project can be found at IntraCompany Capital Allocation Papers.
Retirement Planning Methodology and Software (FP133)
-This project surveys and evaluates how various software packages, books,
and website software handle retirement and post-retirement risks. This
project has been released as Retirement
Planning Software Monograph.
Actuarial
Role in the Viatical Settlements Market (FP135) - The author surveyed
the viatical settlements market and investigated the role that actuaries
may play in this market.
|
