SOA Spring 2007 Meetings
The Education and Research Section representative, Chuck Fuhrer, reports on the E&R sessions for the spring 2007 Life and Health meetings. There will be a section continental breakfast at each meeting. Below are the session descriptions:
- Title: What is Option Pricing and Why Should I Care?
- Moderator: Chris K. Madsen
- Presenters: Chris K. Madsen and Hal W. Pedersen
Participate in this session to learn the essentials and applications of option pricing through a discussion complemented with small follow-on case studies.
Option pricing is a critical technology in many areas of insurance practice. Variable annuities and insurance pricing and reserving and are among the latest high–profile areas in which option pricing is of enormous practical importance. Our experts will examine:
- The basics of option pricing: what it is and how it works
- Basics examples of option pricing including the Black–Scholes formula
- The relevance of option pricing to the actuarial profession
- The role of option pricing in the design, pricing and risk management of insurance products
The case studies used in the session will include an insurance pricing and reserving case study dealing with investment risk as well as other concrete applications of the method to actuarial problems of current interest. This teaching session is designed for those who have no prior knowledge of the Black–Scholes model.
- Title: Stochastic Modeling in Health Benefits
- Moderator: N/A
- Presenters: N/A
Many advanced statistical techniques are available for use in modeling health benefits. A few examples are generalized additive models, generalized linear models, and non–parametric models. These methods are well known to most statisticians but not most actuaries. The presenters will show how theses methods can improve health insurance analyses in applications such as projecting health insurance claims and pricing health benefits. At the conclusion of this session, attendees will have an understanding of what these procedures can do to aid in getting more accurate results or even some new results for their employers/clients. There may also be some applications that affect their market or industry.
Attendees will also gain a basic understanding of how to perform the techniques and will be pointed to the literature to help them get a more thorough understanding.