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Design a Stochastic Valuation/Forecast System
Design a Stochastic Valuation/Forecast System Panelists at this session of the SOA 1998 Maui II Spring ... rates=Interest rates;Inflation;Pension plan assets;Pension valuation;Risk measurement;Scenario generation=Scenario ...- Authors: Richard Wendt, Chris K Madsen, John M Mulvey
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models; Pensions & Retirement>Pension investments & asset liability management
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Monte Carlo Solution for Actuarial Problems
X~, X2, and so on are the claim amounts for individual claims. Further, assume that N has a Poisson ... mean, variance and standard deviation of the individual claim amounts are 4.95, 123.88, and 11.13, respectively ...- Authors: Andrew F Seila
- Date: Jun 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Long-Term Disability Buyouts
buyout Mr. Daniel D. Skwire: My background is in individual, group, and association disability insurance ... (LTD) and short-term disability (STD) pricing, valuation, and financial reporting. Mr. Stephen J. Mitchell: ...- Authors: Michael Gabon, Stephen Mitchell, Daniel D Skwire
- Date: Oct 2000
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values>Practice expertise; Strategic Insight and Integration>Effective decision-making
- Publication Name: Record of the Society of Actuaries
- Topics: Economics>Health economics; Health & Disability>Disability insurance; Modeling & Statistical Methods>Stochastic models; Reinsurance>Reserving - Reinsurance
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Risk-Based Capital Requirements on Variable Annuities with Guarantees
reflected industry-wide experience, rather than individual company experience. And they ignored extreme ... Annuities... 3 Commissioner's Annuity Reserve Valuation Method (CARVM) expense allowance, which is transferred ...- Authors: Jeffrey A Leitz, Geoffrey Hancock, Dominique Lebel
- Date: Oct 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods>Stochastic models
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Stochastic Embedded Value and Its Use in Risk Measurement and Financial Management: Part 2
reporting, profitability measurement, reinsurance, valuation, economic and EV frameworks and fair value. She ... guarantees is performed using a risk- neutral valuation. The third approach that the CFO Forum considered ...- Authors: Hubert B Mueller, Michael Hughes, Maria Mercedes Torres-Jorda, Penny Coulthard
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Embedded value; Modeling & Statistical Methods>Stochastic models
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Stochastic Pricing
products are subject to a similar process with valuation technique paper #11. Some companies are also using ... currently works in variable annuity pricing and valuation at Manulife Financial, where he has been for ...- Authors: W Steven Prince, Timothy Hill, Chris Stiefeling, Michael Bean
- Date: Jun 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Modeling & Statistical Methods>Stochastic models
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State-of-the-Art Risk Management System and Application
reserving. We don't have the income models. Asset valuation reserve (AVR), interest maintenance reserve (IMR) ... I want to show you a demonstration on an SPDA (Table 1). To calculate an OAS, we're going to use the ...- Authors: Brian Trust, Douglas A George
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models
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Stochastic Immunization
curve, what we need is a technique to start the valuation process, and I want to describe the most common ... statistics associated with this simple portfolio. Table 1 shows the asset liability management balance sheet ...- Authors: Josephine Marks, Claus S Metzner, Scott E Navin, Steven Craighead, Frederick Slater, Jose Siberon
- Date: Jun 2000
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Measuring Uncertainty in Loss Reserves
at the lower, smaller level and looking at the individual claim, the phenomenon, and the processes that ... information about what the appropriatefactor is. So, in Table 1, I've run Method A with two values of this bias ...- Authors: Spencer M Gluck, Roger M Hayne, Thomas S Wright
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Regression analysis; Modeling & Statistical Methods>Stochastic models
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Stochastic Modeling in Health Insurance
stochastic models. A lot of these can be more individual and collective models, but most people use deterministic ... it a little bit easier. Total IBNR is every individual period we're summing up (see McEllin Slide 11) ...- Authors: Armand Yambao, Jonathan Hendrickson, Edward McEllin
- Date: Jun 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models