Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: In order for actuaries to play a valuable role in the realm of enterprise risk management ERM, they must provide value-added advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan’s solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities.

Description: This article considers considers how the assumptions and statistical methods used to analyze investments are likely to change as a result of the events of Black Monday, October 19, 1987.

Description: This article describes methods for addressing technical challenges related to modeling asset cash flows for PBR reserve projections.

Description: The article describes the key components of actuarial model, leading practices in designing them, and characteristics of well-built models.

Description: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: This article discusse key considerations to account for while planning for and executing the initial actuarial model handoff from development to production.