Description: One of the most fundamental concepts in actuarial practice is the time value of money. For any work in which future cash flows are allowed for, such as reserving or pricing, it is natural to discount to present values so that an appropriate amount of money can be set aside today, allowing for future investment returns. This article discusses yield curve extrapolation methods along with the benefits and drawbacks of these methods.

Description: The system of using securities exchanges and commodity futures contract exchanges is inadequate to the task. Neither can transfer the risks of derivative financial contracts to the capital markets. Regardless of the degree of regulation or the financial incentives, this system is insufficient. A new type of exchange is needed that copes with fast price changes – even from “long” to “short” – without inviting bankruptcy.

Description: The author discusses using a simple process for risk management.

Description: The mismatch between how interest rate impacts the value of assets and liabilities could have material negative impact to companies’ earnings and surplus. To quantify and mitigate the impact of such mismatches, companies have used matching a combination of duration and convexity. I will review these measurement techniques and their limitations.

Description: Finding appealing return on equity for low margin or high risk weighted asset business by dealers has been challenging. Because of this, trading assets have fallen substantially especially in rates and corporate trading books. Smaller books suggest challenged liquidity as balance sheets become less elastic.

Description: A framework for pension risk management: diagnose pension risk factors, decide factors to address, utilize risk management toolkit, select strategy, monitor strategy

Description: Update on JRMS activities, including a look ahead to 2014. Also a brief exploration of actuarial predicitons versus predictions made by other professionals.

Description: SOA sponsored research tackled potential low-interest-rate scenarios. This article is based on findings in the report but does not mirror the report with regard to content as it looks at the interest rate impact on assets, liabilities and their interactions. Potential drivers of low rates are identified, along with risk management recommendations for insurers and regulators. These drivers include demographics, behavioral responses to the economy, environmental costs and changes to the economic landscape.

Description: Read the September 2020 issue of Risk Management published by the Joint Risk Management section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Note from the Council Corner providing an update to our JRMS members on recent / upcoming activities.