Description: This paper compares percentile estimates of a large number of cash flow testing scenarios, where only a very small number fall in the ruin tail, by parametric and non-parametric methods.

Description: Emerging Applications of ESG Methods offers ground-up insights on cutting edge applications of economic scenario generation. The course will focus on the incorporation of climate change risk in scenario modeling and investment applications of ESGs. The following topics will be covered: Approaches to climate risk modeling. Climate risk is very different than classical financial economic risk. Radical uncertainty is amenable to scenario analysis and lack of data. Building special deterministic scenarios that go beyond NGFS requirements as well as bespoke scenarios. Holistic Approach to Climate Risk Modeling. Overview of different Climate Risk Modeling Applications. Use of ESG scenarios for Strategic Asset Allocation (SAA). Liquidity risk management.

Description: 2021 Life Meeting - Session 5E: Importance of Strategic Asset Allocation in a Rapidly Changing Macro Environment 8.31.21 Recording

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This paper presents best upper and lower bounds on the expected value of a reinsurance payment under the terms of a contract written on a random loss with known moments. Bounds on the expected exercise value of a financial option are considered also because the mathematical model used for valuing options is similar to that used in reinsurance net premium calculations. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: The life annuity mortality risk is the variation in actual financial experience of a group of annuitants from that expected, attributable to the mortality experience of the group. This paper investigated the mortality risk present in a single life annuity and determine the effect of age, sex, assumed interest rate, mortality table, and form of annuity on this risk. Then, it investigated the mortality risk in various portfolios of annuities. Followed by several discussion papers submitted

Description: This webcast will detail interpretable machine learning techniques for participants to gain an intuition and understanding about the use of these techniques. We will discuss how to apply them, how to understand them, and how to avoid potential pitfalls.

Description: The author comments on the article Exposure Formulas Based on the Assumption of Uniform Distribution of Deaths written by T.N.E. Greville.

Description: Can you answer the question, 'What are the chances we will lose more than $1 million?' without saying, 'It depends'? If you miss a projection, can you estimate the chances that the miss was due to random variation versus an incorrect projection? Listen in as presenters demonstrate how to answer these questions and others using total risk analysis. Total risk analysis includes quantifying both the random variation risk and the projection risk associated with actuarial functions like pricing and reserving. After attending this session, you will be able to describe total risk analysis and to apply to many health actuarial functions.

Description: Panelists of this teaching session discuss: [1] policyholder and company behavior and its impact on model and assumptions, [2] model purpose and structure, data collection, and behavior models, and [3] the modeling process, including objectives, considerations, constraints, and validation. Session 10 of the 1996 Valuation Actuary Symposium.