Description: The research investigates the challenges associated with determining a “fair value” assessment for embedded options in two product types and incorporates the process into product pricing and liability valuation

Description: 1988 Valuation Actuary Symposium. The session discussed the C-3 risk, not the C-1 risk in the title. It explored the question: For testing purposes, how does one create the investment scenarios to which you expose your assets and liabilities?

Description: 1988 Valuation Actuary Symposium, In this session, the presenter suggests the value of the Reg 126 testing is a function of the attitude of the company toward the process. He also explored the differences in results by product of using deterministic versus stochastic scenarios.

Description: Read the November 2019 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This article is the first installment of a three-part series that aims to provide an overview of ESGs and will focus on the general motivation for stochastic modeling, its advantages and its limitations. Future articles will further break down the key factors of ESGs and the application of these factors to better understand the Academy Interest Rate Generator (AIRG).

Description: Read the April 2020 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity measures, and regulatory demonstrations per VM-20.

Description: Summary of the SOA's research report Modern Deterministic Scenarios for Interest Rates, which developed interest rate scenarios for use in cash flow testing.

Description: According to the Actuarial Standards Board’s Actuarial Standard of Practice No. 49 (ASOP 49), actuarially sound Medicaid managed care capitation rates will include a provision for underwriting gain in order to provide compensation for the risks assumed by an MCO. However, there is no generally accepted method for quantifying underwriting gain in managed Medicaid capitation rates. This article discusses a new model developed to address this void and calculate underwriting gain. The model was developed by researching existing financial literature and performing a statistical analysis of industry data to build out a framework that can be leveraged to estimate underwriting gain.

Description: This paper discusses interest rate generators which vary by intended purpose. The primary focus is on fairly elementary generators for studying C-3 risk, with major emphasis on parametric, mean reversionary generators.