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Full-Text Articles in Insurance
An Approach To Estimating Market Value And Duration Of Interest-Sensitive Whole Life Contracts, Thomas J. Merfeld
An Approach To Estimating Market Value And Duration Of Interest-Sensitive Whole Life Contracts, Thomas J. Merfeld
Journal of Actuarial Practice (1993-2006)
A fixed premium interest·sensitive whole life contract is analyzed in order to estimate its market value. In addition, using various definitions of duration, we determine the duration of the contract for each definition. The results of this analysis have implications for market value accounting of life insurance liabilities and for life company portfolio management.
Sensitivity Testing Of Prdperty/Casualty Cash Flows, Ralph S. Blanchard Iii, Eduardo P. Marchena
Sensitivity Testing Of Prdperty/Casualty Cash Flows, Ralph S. Blanchard Iii, Eduardo P. Marchena
Journal of Actuarial Practice (1993-2006)
The paper outlines an approach that has evolved at Aetna through ten years of property/casualty insurance cash flow testing. Methodologies and approaches to setting parameters reflecting both default and call/prepayment risk are discussed for major invested asset categories. Modeling runoff cash flows for a base scenario (and, for some of these assets, shocked scenarios) also is examined for major non-invested asset categories. Loss reserve cash flow modeling is not addressed, except for a brief description of one approach to shocking projected flows. Finally, various alternatives are given for presenting cash flow testing results to management and non-actuarial audiences.