Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: This teaching session is about conveying to users of models and forecasts how uncertain the outcome of stochastic projections really is.

Description: Article Disparate Origins Of Life And Non-Life Insurances by Beard in The Actuary, February 1979, Volume 13, Number 2

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

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: This article presents a case study that examines the implication of using real-world interest rate scenario generators with a block of fixed deferred annuities. We contrast cash flow testing results based on New York 7 deterministic scenarios to stochastic scenarios generated with the Academy Interest Rate Generator , as well as an alternative economic scenario generator designed explicitly to capture the risk of a persistently low interest rate environment and the transition to a rising interest rate environment.

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

Description: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, and model efficiency.

Description: Describes using the new multi-risk scenario generator to create sensitivity tests at moderately adverse probability levels, resulting in margins to use for PBR.