Description: Overview of the session “Analytics You Should Know, but Don’t” which took place at the 2007 SOA Annual Meeting in which R, an open source language for statistical computing, was discussed.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This presentation discusses how real world Grey Swan scenarios are excellent choices for stress and resiliency testing. In addition, an example is provided of a set of Grey Swan scenarios which correspond to the RBC C-3, Phase II.

Description: Spreadsheet of sample calculations for extreme value theory. Extreme value analysis seeks to assess, from a given ordered sample of a given random variable, the probability of events that are more extreme than any observed prior.

Description: Discusses using the tseries package in the R computer language for developing historical series of data.

Description: Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that business. Most portfolio optimization methods utilize linear or quadratic programming and require the user to specify the asset and liability attributes and cash flows into the program. The programmer must also supply an objective function to allow the program to find the optimal asset mix for the associated liabilities. Two problems with this approach are that the liability cash flows are fairly static and that one must frequently rebalance the portfolio. An alternative approach would be to develop a corporate model of both the assets and liabilities and incorporate various economic scenarios as input into the model. Asset strategies would be measured against a specific objective function that is calculated by the corporate model. Unfortunately, the majority of maximization algorithms available are very time consuming, and obtaining a reasonable portfolio mix becomes impractical. This paper overcomes this difficulty by using a very rapid optimization method from the chemical engineering profession called the Floppy Triangle. The paper includes an example of the use of this process to determine an optimal portfolio. It also discusses modifications of the algorithm that is required when the shorting of assets is not permitted.

Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: These are the slides that go with the paper 'Mortality Modeling using Projection Pursuit Regression.' In that paper, the authors develop sixteen separate mortality models based on the current SOA mortality data being used for the preferred life study. The models are constructed using projection pursuit regression. The sixteen models arise from all combinations of sex, smoker status, select and ultimate status, and per life vs. per dollar mortality rates. In general the models confirm the following four facts: 1 Mortality rates increase as attained age increases. 2 Mortality rates increase as duration increases. 3 Mortality rates decrease as Face Amount Bands increase. 4. Mortality rates decrease if preferred underwriting is present.