Description: The COVID-19 pandemic has had an impact on all aspects of daily life and its impact extends to how disability incidence may play out in the future. Product profitability will be shaped by how morbidity patterns, interest rate levels and other key drivers will play out into the future. In this session, our panel will discuss COVID’s impact on IDI morbidity experience as observed over the past 18 months, offer comparisons and insights in light of other insurance lines of business, and share emerging information on the on-going effects of Long COVID. Highlights will also include how regional differences and implications for insurers as the industry moves further into the COVID vaccine era.

Description: This article discusses facts and issues related to the selection of a stock’s price distribution.

Description: Economic Scenario Generator - Investment Section Web Series - Risk Neutral

Description: Economic Scenario Generator - Investment Section Web Series Session #1 - Fundamentals & Hot Topics This session will cover the following points: 1. Introduction: ESG Basics, What is Risk Neutral and Real World? 2. Interest Rate Modeling 3. Equity and Private Equity Modeling 4. Example use cases facing investment professionals and actuaries today

Description: Analyze the market volatility behavior in context with historical extreme events during this webcast. There will be a focus on understanding volatility clustering and relationships, both contemporary and temporal, in addition to key economic and capital market variables. You'll also learn from a comprehensive attribution analysis, which uses economic data, asset data, retail investor data and event data as explanatory variables. Dive into investment-related Reddit comments used to capture features of retail investors and tree-based models, including Random Forests and Gradient Boosting Machines to justify changes in volatility modeling. Expect this webcast to end with an example of liability-driven investment optimization that illustrates the potential impact of increased volatility assumption, how to adopt stochastic volatility models, how to reflect volatility clustering and return jumps.

Description: Emerging Applications of ESG Methods offers ground-up insights on cutting edge applications of economic scenario generation. The course will focus on the incorporation of climate change risk in scenario modeling and investment applications of ESGs. The following topics will be covered: Approaches to climate risk modeling. Climate risk is very different than classical financial economic risk. Radical uncertainty is amenable to scenario analysis and lack of data. Building special deterministic scenarios that go beyond NGFS requirements as well as bespoke scenarios. Holistic Approach to Climate Risk Modeling. Overview of different Climate Risk Modeling Applications. Use of ESG scenarios for Strategic Asset Allocation (SAA). Liquidity risk management.

Description: Actuaries can leverage cluster modeling to reduce model runtime and cloud compute costs, which can be a real concern as companies transition from an on-premise grid to a scalable cloud solution. We consider practical considerations associated with clustering, through both US statutory and US GAAP lenses. Lastly, the results from a variable annuity liability clustering case study are presented.

Description: Economic Scenario Generator - Investment Section Web Series Session #2 - Real World This session will cover the following points: 1. NAIC ESG 2. Strategic Asset Allocation and Optimization Techniques 3. Covid-19 Postmortem: Modeling and calibration changes because of recent events

Description: In the United States, there has been much industry discussion of the challenges associated with a sustained low interest rate environment, which impacts both the asset and liability sides of the balance sheet in unfavorable ways. The intent of this article is not to focus on these strategic issues. Rather, we attempt to shine a spotlight on some of the modeling challenges that practicing actuaries may experience when incorporating negative interest rates into their models.

Description: The discount rate is one of the most critical topics in IFRS 17 and may have important repercussions on product profitability. The presenters will cover practical implementation considerations, including alternative approaches to illiquidity premium calculation for business supported by fixed assets with credit risks. Other implementation considerations will also be covered, including granularity of setting the discount rate, application to new business, and implications on asset and liability modeling. The presenters will then discuss how discount rates could be utilized in an Economic Scenario Generator (ESG) to assist IFRS17 calculations, particularly for risk-neutral valuation of the time value of options and guarantees.