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Reserving for critical illness guarantees
80
Abstractsand Reviews
asset-liability modelling, pension funding, matching, and other medium and long term simulations. Normally there has been little statistical analysis of the financial series being modelled, or validation of the postulated asset models. Financial series have a distinctive statistical structure involving nonlinear dependence, time varying volatility (heteroscedasticity), pseudocyclical behavior, and interdependence in their conditional volatilities and means. Model validation was discussed. A new class of nonlinear stochastic time series model was introduced, the Exponential Regressive Conditional Heteroscedasticity (ERCH) model, which provides a superior fit to the observed series structure than the models commonly used. An example was presented, including some simulation results. Keywords: ALM, Volatility, Heteroscedasticity. 073077 (E50) Reserving For CriticallIIness Guarantees. Jeffrey A., Ireland, Transactions ICA Brussels, 1995, volume 3, pp. 383-412. This paper is a summary of the report of the Working Party set up by the Society of Actuaries in Ireland. The paper highlights the dangers of granting such guarantees and proposes that margins are built into any reserving basis for the lack of current knowledge of claims experience and for possible deterioration. Ranges for these margins are proposed. The paper also outlines how a standard table for valuing critical illness liabilities was devised . Keywords: Critical Illness Guaranties. 073078 (ESO) Asset Allocation Model for Japanese Corporate Pension Fund from Liability Aspects. Kusakabe T., Japan , Transactions ICA Brussels, 1995, volume 3, pp. 499-526. In this paper, I have proposed an asset allocation model based on a required information package concerning liabilities applicable to pension funds established and operating under the Employees' Pension Fund scheme , which represents typical corporate pension fund schemes employed in Japan. In developing the proposed model, I have paid particular attention to ensuring that the model strictly conform to the procedural methods of actuarial assessment and management of corporate pension funds employed under the Employees' Pension Fund scheme, and have tried to propose a method of Asset and Liability Management that may be applicable to Japanese corporate pension funds.
It is commonly suggested that it is advisable for a pension fund operating at a high degree of maturity to adopt an investment policy whereby investment risks are kept as low as possible. In the proposed model, I have clarified the relationship between such requirements and the actuarial condition of the pension fund, also identifying a liability structure that changes over time in proportion to the degree of maturity. Such information packages concerning liabilities have been tied to the forms of asset allocation to be selected. The model has been fundamentally based on the mean variance approach, and has been designed to select an asset mix suitable for the pension fund in question from the efficient frontier, with the help of the aforementioned package of liability information. This mechanism for the selection of an asset mix represents a principal feature of the model. The effectiveness ofthe model has been verified through a verification process using the three different classes of liability data, which are based on the respective degrees of maturity. The model also calls attention to some institutional issues that cannot be solved within the modeling framework. Keywords: ALAl, Pension Fund, Mean-Variance.
073079 (ESO) Mismatching Pensioner Liabilities - Surplus And Solvency. Loades D., U.K., Transactions ICA Brussels, 1995. volume 3, pp. 52 7-550. A simple model is used to explore for UK pension funds whether or not there is likely to be a conflict between the Government prescribed upper limit for tax exempt funding and the proposal for a Minimum Solvency Requirement. This model is adopted to explore the options available in order to avoid breaching the Minimum Solvency Requirement with a high level of probability without adopting a totally matched investment strategy. Keywords: Solvency, Matching. 073080 (E50) The Utilization of the IRIS Method in the Solvency Evaluation of Non-Life Insurance Companies in Brazil. Martins M.V.L., Westenberger R., Brazil, Transactions lCA Brussels. 1995, volume 3, pp. 551566. This paper aims at presenting the results of an adaptation of the american's Insurance Regulatory
Abstractsand Reviews
asset-liability modelling, pension funding, matching, and other medium and long term simulations. Normally there has been little statistical analysis of the financial series being modelled, or validation of the postulated asset models. Financial series have a distinctive statistical structure involving nonlinear dependence, time varying volatility (heteroscedasticity), pseudocyclical behavior, and interdependence in their conditional volatilities and means. Model validation was discussed. A new class of nonlinear stochastic time series model was introduced, the Exponential Regressive Conditional Heteroscedasticity (ERCH) model, which provides a superior fit to the observed series structure than the models commonly used. An example was presented, including some simulation results. Keywords: ALM, Volatility, Heteroscedasticity. 073077 (E50) Reserving For CriticallIIness Guarantees. Jeffrey A., Ireland, Transactions ICA Brussels, 1995, volume 3, pp. 383-412. This paper is a summary of the report of the Working Party set up by the Society of Actuaries in Ireland. The paper highlights the dangers of granting such guarantees and proposes that margins are built into any reserving basis for the lack of current knowledge of claims experience and for possible deterioration. Ranges for these margins are proposed. The paper also outlines how a standard table for valuing critical illness liabilities was devised . Keywords: Critical Illness Guaranties. 073078 (ESO) Asset Allocation Model for Japanese Corporate Pension Fund from Liability Aspects. Kusakabe T., Japan , Transactions ICA Brussels, 1995, volume 3, pp. 499-526. In this paper, I have proposed an asset allocation model based on a required information package concerning liabilities applicable to pension funds established and operating under the Employees' Pension Fund scheme , which represents typical corporate pension fund schemes employed in Japan. In developing the proposed model, I have paid particular attention to ensuring that the model strictly conform to the procedural methods of actuarial assessment and management of corporate pension funds employed under the Employees' Pension Fund scheme, and have tried to propose a method of Asset and Liability Management that may be applicable to Japanese corporate pension funds.
It is commonly suggested that it is advisable for a pension fund operating at a high degree of maturity to adopt an investment policy whereby investment risks are kept as low as possible. In the proposed model, I have clarified the relationship between such requirements and the actuarial condition of the pension fund, also identifying a liability structure that changes over time in proportion to the degree of maturity. Such information packages concerning liabilities have been tied to the forms of asset allocation to be selected. The model has been fundamentally based on the mean variance approach, and has been designed to select an asset mix suitable for the pension fund in question from the efficient frontier, with the help of the aforementioned package of liability information. This mechanism for the selection of an asset mix represents a principal feature of the model. The effectiveness ofthe model has been verified through a verification process using the three different classes of liability data, which are based on the respective degrees of maturity. The model also calls attention to some institutional issues that cannot be solved within the modeling framework. Keywords: ALAl, Pension Fund, Mean-Variance.
073079 (ESO) Mismatching Pensioner Liabilities - Surplus And Solvency. Loades D., U.K., Transactions ICA Brussels, 1995. volume 3, pp. 52 7-550. A simple model is used to explore for UK pension funds whether or not there is likely to be a conflict between the Government prescribed upper limit for tax exempt funding and the proposal for a Minimum Solvency Requirement. This model is adopted to explore the options available in order to avoid breaching the Minimum Solvency Requirement with a high level of probability without adopting a totally matched investment strategy. Keywords: Solvency, Matching. 073080 (E50) The Utilization of the IRIS Method in the Solvency Evaluation of Non-Life Insurance Companies in Brazil. Martins M.V.L., Westenberger R., Brazil, Transactions lCA Brussels. 1995, volume 3, pp. 551566. This paper aims at presenting the results of an adaptation of the american's Insurance Regulatory