Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: The article and guidebook of the same name use a stochastic simulation model to examine potential impacts of public pension plan risk-sharing policies on government employers and plan members. Policies examined include simple policies such as COLAs and employee contributions that are contingent upon investment returns or funded ratios, and more-complex policies similar to those used in the Wisconsin Retirement System.

Description: This article explains why stochastic modeling is becoming more pervasive, and describes a specific stochastic application with metrics to measure results.

Description: In 2003, the American Academy of Actuaries Life Capital Adequacy Subcommittee LCAS published a set of 10,000 stochastic scenarios that was intended to be used to support the publication, “Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Products with Guarantees Excluding Index Guarantees.” The primary purpose of this article is to illustrate statistical measures that can be used to evaluate stochastic simulations.

Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.