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Preview of E&R Sessions for the Spring Meetings 2003

Preview of E&R Sessions for the Spring Meetings 2003

 

Krzysztof Ostaszewski has organized sessions for both spring meetings in 2003WashingtonD.C. on 2930 May and Vancouver on 2325 June. In Washington, Thursday, 29 May, from 10:30 a.m. to noon, Thomas Herzog will lead a teaching session titled Using Bayesian Statistics and the Monte Carlo Method. This session will cover applications of the Bayesian statistical paradigm in conjunction with Monte Carlo methods to practical problems. The first application will entail the simulation of a two-stage model of a property-casualty insurance operation. The second application will simulate the operation of an insurance regime for home equity conversion mortgages (also known as reverse mortgages) to:

  • Predict the appreciation of individual home values, and
  • Predict the annual mortality experience of individual insureds

A feature of this work is the simulation of the parameters of these models in order to incorporate their variability explicitly into the model. Thomas will also consider model validation issues and alternate forms of scenario testing. Participants will learn to run simulations incorporating Bayesian statistics. This session is designed for attendees who have moderate experience with the subject.

The second E&R session in Washington will be held on Thursday, 29 May, 4:00–5:30 p.m. Krzysztof Ostaszewski will lead a panel of three discussants on the topic What is the true Value of Tax–Deferral? This session is co–sponsored with the Product Development Section. It is true that tax-deferral is a great benefit enjoyed by qualified plans, Individual Retirement Accounts, and deferred annuity products. The actual quantification of this benefit, however, is less obvious. Furthermore, tax–deferral does not come freeaccess to funds in tax–deferred accounts is restricted. In this session, the panelists will show how long it takes for tax–deferral benefits to overcome typical penalties levied on early distributions. They will also discuss the effect of tax–deferral on the risk-profile of investments. Attendees will gain a better understanding of the value of tax–deferral in various accumulation products and its role in product development. This session is designed for attendees who have moderate experience with the subject.

The third E&R session in Washington is a section breakfast at 7:30–8:30 a.m. on Friday, 30 May, and we invite all interested parties to attend this breakfast meeting. In Vancouver, the E&R Section also plans to host three sessions, including a section breakfast at 7:30–8:30 a.m. on Tuesday, 24 June. We will co–host a session with the Pension Section titled Longevity Improvement in Canada, in the United States, and Worldwide on Monday, 23 June from 10:30 a.m. to noon.

Louis Adam will moderate this session, and he will be joined by Richard MacMinn to discuss longevity improvement. Continuous longevity improvement is a great achievement, but it is also a source of increasing fiscal pressure on public and private pension systems. The session will start with a study of the pattern of longevity improvement in Canada. The presentation will outline some results of a mortality study of Canadian pensioners over the calendar period of 1967 to 2000, with emphasis on the 1995–1999 period. The results are based on actual individual records from the Canada Pension Plan (CPP) and the Quebec Pension Plan (QPP). Some interesting insights with respect to the trend of mortality over time will also be shown. Then, the panel will discuss experience in the United States and compare it with that of other countries in this area. Of particular interest are the cohort clusters of longevity improvement, a phenomenon that should be of increasing interest to actuaries. Participants will learn about the newest research developments in the understanding of improvements of human longevity and their importance in pricing and reserving of life insurance and annuity products. This session is designed for attendees who have moderate experience with the subject.

Also, in Vancouver will be a session titled Interest Rate Modeling in Actuarial Practice on Monday, 23 June, 4:00–5:30 p.m. Moderator Hal Pedersen will be joined by Samuel Cox and Jeffrey Pai in discussing the role and application of interest rate modeling in actuarial practice. The panel will present an overview of interest rate modeling and an update on a project involving an interest rate monograph. The estimation and implementation of interest rate models will be analyzed with an accompanying discussion of practical problems with estimation, data and simulation. The applications of the model to investment return, pricing and managing minimum interest rate of return guarantees (such as the guaranteed minimum death benefit for variable annuity products) and issues with mortgage-backed securities will be presented. Participants will gain practical information on using interest rate models in actuarial applications. This session is designed for attendees who have moderate experience with the subject.

The E&R Section owes a great debt to Krzysztof Ostaszewski for organizing these six sessions. Thank you, Krzys.