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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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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 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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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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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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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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Generating Stochastic Interest Rate Scenarios
a monograph for the Society, which is titled" Valuation of Interest-Sensitive Financial Investments" [for ... becomes very useful, because we can do this same valuation more efficiently by using iterations of single-period ...- Authors: David N Becker, Michael F Davlin, Gordon E Klein, Mark S Tenney, Craig Merrill
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models
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Corporate Models and Assumptions
theoretical con- siderations. For instance, for individual life insurance we have a sub-model called a cell ... included all operations of the company and all the individual items were tied together in a cohesive and efficient ...- Authors: Allan Affleck, Robert A Lyle, Kihong Sung
- Date: Mar 1977
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Deterministic models; Modeling & Statistical Methods>Forecasting; Modeling & Statistical Methods>Stochastic models
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Stochastic Modeling in the Financial Reporting World
Stochastic Modeling in the Financial Reporting World This session of the SOA 2003 Washington, ... knowledge of how the coming stochastic approaches to valuation will impact financial reporting. MR. ROBERT ...- Authors: Robert W Wilson, Ronald Harasym
- Date: May 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods>Stochastic models