One of the first projects undertaken by Claim Analytics was to create a model to predict return to work for group insurance claimants with long term disabilities. This report, sponsored in part by the Society of Actuaries Health Section , is a case study on creating such a model.

By identifying specific exogenous and insurer specific factors related to life-insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life Insurers performance measurements are 1. Return on Equity, 2. Return on Assets and 3. Increase in Capital and Surplus. This paper has been submitted to the North American Actuarial Journal for publication considerations. This documents the specific charts embedded in the report. Please see the SOA web site for the detail report.

Dynamic fund protection provides an investor with a floor level of protection during the investment period. This feature generalizes the concept of a put option, which only provides a floor value at a particular time. The dynamic protection feature ensures that the fund value is upgraded if it ever falls below a certain threshold level. Gerber and Pafumi have recently derived a closed-form expression for the price of this protection when the basic portfolio follows geometric Brownian motion. In this paper we examine the pricing of this feature under the constant elasticity of variance process. From NAAJ, July 2001, Volume 5, Number 3.

To deal with future correlation crises, the author suggests the implementation of ‘’quanlitative analysts’’ (‘Quanls’) in the enterprise risk management (ERM) process: risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

This study note was written to supplement the “Credibility” chapter of Foundations of Casualty Actuarial Science as a reading for the fourth CAS/SOA examination. It presents important topics not covered in the Foundations chapter including the Bühlmann-Straub Model and nonparametric and semiparametric estimation of credibility formula parameters.

2011 SOA Insurance IFRS Seminar, Hong Kong. This session discussed the various types of policyholder-influenced asymmetries and an approach for setting analytical assumptions.

The research investigates the challenges associated with determining a “fair value” assessment for embedded options in two product types and incorporates the process into product pricing and liability valuation

The Society of Actuaries seeks to provide actuaries of life insurance companies with a systematic approach for estimating the adverse effects of economic developments that could impede insurer performance. The performance measurements include 1. Return on Equity, 2. Return on Assets, and 3. Increase in Surplus and Capial. Toward that end, this study combines market and economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis is based on annual data from 1985 through 1995 for 1,593 life insurers. By identifying important exogenous and insurer-specific factors related to life insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The study also identifies and describes several web sites that provide access to relevant economic and financial data. Also see the SOA website research page for excel spread sheets that have the charts that should be inserted in this report

A study on stochastic simulation literature as it applies to a health actuary.

Slides from a presentation at the Society of Actuaries 2007 Annual Meeting, held in October, 2007 in Washington, D.C. Discussion of what 'scenario planning' is and how it can be used to manage risk and opportunity