Description: The author recommends the use of "minimally destructive scenarios" as part of an ORSA process, in order to deal with cognitive bias that can occur in risk decision-making. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: This paper demonstrates that extreme value theory (EVT) can be used as a tool to model policyholder behavior in the extreme tail. This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It illustrates a process whereby a company can fully model policyholder behavior, including the extreme tail, with existing data. No judgment about the extremal behavior is necessary.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: This article describes changes to financial reporting for variable annuities under US GAAP, IFRS and Statutory regulations, and implications for hedging.

Description: Research is a primary mission of the Financial Reporting Section and is the largest use of section dues. This scorecard will keep section members informed about research projects sponsored or co-sponsored by the section.

Description: This paper introduces a re-rating formula which calculates proposed rates directly by means of fully developed and trended loss costs and current class differentials. From 2007 Enterprise Risk Management Symposium, M-AS07-1.