EOM Exercise

[Tosti11]

I think we have to talk about both the liabilities and the assets, then pull them both together and discuss the ALM impacts.

I don't think we need to worry about actually calculating the ratios, just discuss the process we would follow to calculate the ratios.

Question of my own. In discussing the rilsks associated with the liabilities, do we need to discuss Non-Traditional Life or Variable Annuities at all? My sense is no because it appears they are fully supported by separate accounts. Same question for Institutional GICs. But with these, i think only some of them are supported by separate accounts, so we still need to describe the risks for the contracts worth less than $150M.

Any thoughts would be appreciated.

[bosoxrock]

Originally Posted by Tosti11

Question of my own. In discussing the rilsks associated with the liabilities, do we need to discuss Non-Traditional Life or Variable Annuities at all? My sense is no because it appears they are fully supported by separate accounts. Same question for Institutional GICs. But with these, i think only some of them are supported by separate accounts, so we still need to describe the risks for the contracts worth less than $150M.

Any thoughts would be appreciated.

I haven't submitted yet or seen the model solution, but my thought would be that since the GMDB is supported by general account reserves (look at the old Section G on a Blue Book Exhibit 5) it may be worth a mention. For the GIC, I don't think it is a S/A product.

Just now I noticed you posted this in January, so you will probably never read this response. Sorry.




Question of my own in case anyone is monitoring this thread: the end of the LifeCo report is a new set of derivatives guidelines. It discusses hedging strategies in the present tense. Yet, the balance sheet shows no derivatives. Am I missing something?

[LifeTilt]

Originally Posted by bosoxrock

I haven't submitted yet or seen the model solution, but my thought would be that since the GMDB is supported by general account reserves (look at the old Section G on a Blue Book Exhibit 5) it may be worth a mention. For the GIC, I don't think it is a S/A product.

Just now I noticed you posted this in January, so you will probably never read this response. Sorry.




Question of my own in case anyone is monitoring this thread: the end of the LifeCo report is a new set of derivatives guidelines. It discusses hedging strategies in the present tense. Yet, the balance sheet shows no derivatives. Am I missing something?

Once again, may be responding way too late for this, but derivatives are generally not on a balance sheet, which is why they're often lumped under "balance sheet risk."

[love for math]

has anyone been able to find the actual presentation on the SOA site? I have found a few presentations and other .pdf's that seem like theyre on the right track but I definitely dont think I have found what they're referring to... thanks.

[chicago_buy]

Anyone trying to submit today? I am trying make the deadline for June Fac!

[majestics]

anyone currently working on this module? some help would be really appreciated.
Thanks,

[almost~there]

I am working on it... Although I may be the one needing help.