Archive

Milliman FRM thought leadership

21 October 2020

During the months following the February 2020 market drawdown, bonds, commodities, and stocks have all had a remarkable run, leading many investors and advisors to contemplate both the prospect of asset bubbles and the portfolio implications of those bubbles bursting.

16 October 2020 - By Adam Schenck, Jeff Greco, Joe Becker, Ram Kelkar

The market contraction at the onset of the coronavirus pandemic in Q1 2020 was the biggest test of risk-managed investment products since the 2008 financial crisis. This paper puts the downturn into historical context and examines how Milliman FRM's products performed.

09 October 2020

On average, October is the most volatile calendar month of the year for the stock market. This year's contentious election may help to reinforce that trend.

14 September 2020 - By Joe Becker

Four charts that provide historical context around the condition of the U.S. labor market.

12 August 2020 - By Peter H. Sun, Chunpu Song, Victor Huang, Ram Kelkar

This paper examines the hedge effectiveness of a wide range of Variable Annuity carriers.

19 May 2020 - By Sheila Jelinek, Suzanne Norman, Michelle Richter

By increasing the number of female advisors, a greater number of clients can benefit from the unique perspectives and life experiences women bring to help people navigate critical financial decisions.

22 April 2020 - By Josh Dobiac, Bill Matczak, Jeff Greco

This white paper examines the process of constructing discount curves in accordance with Long Duration Targeted Improvements, including the criteria that should be used, and assesses the quality of the different algorithms used to build out a complete curve (including interpolation, extrapolation, and smoothing).

30 March 2020 - By Tony Dardis, Chloe Lau, Ariel Weis

The COVID-19 pandemic is raising some profound questions for risk practitioners.

10 January 2020 - By Christine Jello, Suzanne Norman, Patricia L. Renzi

Women face unique obstacles in securing the necessary roadmap for retirement.

11 December 2019 - By Joe Becker

The global equity market in November posted its third consecutive monthly return of more than 2% and its ninth positive monthly return for 2019.

11 November 2019 - By Joe Becker

The global equity market in October notched its second consecutive monthly return of more than 2% and its eighth positive monthly return for 2019.

25 October 2019 - By Josh Dobiac, Ram Kelkar, Jeanne Russo , David Schreiner

Major initiatives are under way to reform interest rate benchmarks and move away from Interbank Offered Rates (IBOR) to overnight near risk-free rates.

10 September 2019 - By Joe Becker

Global equities notched their worst month of the summer amidst heightened volatility.

03 September 2019 - By Joe Becker

Market observers have posited in recent years that Volatility Control funds represent a focal point of instability for financial markets.

13 August 2019 - By Joe Becker

Global equities diverged in July amidst low equity market volatility.

25 July 2019 - By Aaron C. Koch

An interview with Aaron Koch about the current state of affairs in the insurance-linked securities market and how captives are using this segment.

14 June 2019 - By Joe Becker

After a record-setting first four months of 2019, the S&P Global 1200 Index gave back nearly half its YTD return in May’s decline.

09 May 2019 - By Joe Becker

April marked the best risk-adjusted monthly return for global equities since October 2015.

28 March 2019 - By Ken Mungan, Poojan Shah

This article attempts to illustrate that hedging variable annuity guarantees can smooth company earnings.

18 July 2018 - By Suzanne Norman, Ghalid Bagus

Behavioral finance lessons apply now more than ever as markets continue to climb and risk appetite increases by investors and institutions.

29 January 2018 - By Neil Dissanayake, Victor Huang, Ram Kelkar, Peter Lin, David Schreiner, Chunpu Song

This report summarizes key findings from the 2017 update to Milliman’s survey of derivative usage by the global insurance industry.

23 August 2017 - By Joe Becker

So far in 2017, solid equity market returns, low unemployment, a growing economy, and low inflation point toward financial and economic health and offer reasons for optimism.

08 December 2016 - By Victor Huang, Ram Kelkar, Peter H. Sun

This paper examines the effectiveness of the hedging programs for a wide variety of Variable Annuity writers.

15 July 2016 - By Mitch Morin

The first quarter of 2016 saw the second sputter inside of six months of a staggering stock market.

13 April 2016 - By Mitch Morin

Assets in the Pension Funding Index with Milliman Managed Risk Strategy™ returned 2.0% for the fourth quarter, capturing about 90% of upside return coming off the third quarter market correction.

13 January 2016 - By Mitch Morin

In the third quarter of 2015, the Milliman 100 with MMRS began derisking right as volatility was peaking, interest rates were dropping, and contribution risk was increasing.

04 January 2016 - By Mitch Morin

An introduction, explanation, and application of the Milliman Managed Risk Strategy™ to the Milliman 100 Pension Funding Index.

31 March 2015 - By Neil Dissanayake, Victor Huang, Ram Kelkar, Chunpu Song

Our annual global survey of life insurance companies explores trends in risk management practices and derivatives usage within the insurance industry.

16 December 2014 - By Neil Dissanayake, Jeff Greco, Victor Huang, Ram Kelkar

The consequences of a shift towards an OIS-based valuation framework are likely to be wide-reaching.

16 October 2014 - By Ken Mungan

CalPERS hedge fund divestiture may herald a trend for the industry.

04 September 2014 - By Matt Kaufman, Ken Mungan

Strategy based on stochastic analysis and use of managed risk equities may offer more sustainable retirement income.

09 June 2014 - By Ken Mungan

Why risk management is a key element of retirement income planning.

07 April 2014 - By Neil Dissanayake, Victor Huang, Ram Kelkar, Chunpu Song

Our survey explores hedging strategies, which are a major area of concern for insurers due to the risk of sharp increases in life insurance premium rates, declines in the equity markets around the world, and concerns about a deflationary spiral.

07 February 2014 - By Neil Dissanayake, Victor Huang

The impact and potential benefits of expanding futures-based real-time risk management to hours where the cash markets are closed but the futures markets remain open.

19 December 2013 - By Matt Kaufman, Ken Mungan

Reconciling the difference in investor risk tolerance between long- and short-term investments.

21 June 2012 - By Deep Patel, James Brackett, Sam Nandi

GPU computing can speed hedging calculations and deliver more robust data sets that allow for better management of financial risks.

28 February 2011 - By Daren Lockwood, Joshua Corrigan

Examining various wealth management solutions, both existing and new, that provide inflation-protected benefits designed to meet consumers' wealth accumulation and post-retirement income needs.

02 April 2010 - By Jeff Gebler, Wade Matterson

Alternative asset-allocation approaches can help retirement plan funds better manage the risks they face.

01 March 2010 - By Chihong An, Ji Eun Choi, Dongkuk Kim, Peter H. Sun

Dynamic hedging offers great promise in the expanding Korean VA market.

01 July 2009 - By Peter H. Sun

Hedging programs maintained 94% effectiveness from November 2008 to March 2009. Many life insurers have expanded their programs to cover previously unprotected assets.

01 March 2009

A financial risk management strategy can help your retirement plan weather volatile market conditions.

01 December 2008 - By Ken Mungan, Peter H. Sun

During the volatile months of September and October, the hedging programs developed to protect variable annuities (VAs) with guarantees were, based on an internal study, 93% effective, saving an estimated $40 billion in industry wide assets for the insurance companies

09 October 2008 - By Ken Mungan

Using a hedging strategy that emphasizes execution and simplicity, Milliman's FRM practice is helping insurers achieve predictable results and maintain confidence.

20 May 2008 - By Rikiya Ino, Wade Matterson, Peter H. Sun

A survey reports the results of financial risk management techniques born out of the last period of intense market volatility in late 2001 that have weathered their first big, real-world test.

01 September 2007 - By Ghalid Bagus

As a new risk management tool, catastrophic mortality risk securitization enhances the capacity of the life insurance industry by transferring catastrophic mortality losses to the capital markets.

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