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E&R Sessions at 2008 Life Spring Meeting

E&R Sessions at 2008 Life Spring Meeting

By Steve Craighead

The 2008 SOA Life Spring meeting will be held at the Hilton Quebec in Quebec City, Canada from June 16–18, 2008. Below are descriptions of the sessions that are either sponsored or co–sponsored by the Education and Research Section.

  1. The "Estimating Mortality Risk Using Predictive Modeling" session is jointly sponsored with the Joint Risk Management Section, and it is scheduled for Monday, June 16 from 2:00 p.m. to 3:30 p.m. Its session number is 19 and its value ladder stages are Task and Technical. The moderator is Tom Edwalds, FSA, MAAA, who is also a presenter with Steven Craighead.

    2. Here is a description of the session:

    • For a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this talk, we present the use of a predictive modeling technique called projection pursuit regression (PPR) to model mortality data. We first describe the process of creating a PPR model using inter– company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.
    • As a result of attending this session, attendees can identify the primary components contributing to differences in life insurance mortality. Also, the attendees will be able to understand the use of projection pursuit regression.
  2. The Education and Research Section Continental Breakfast is scheduled on Tuesday, June 17 from 7:00 a.m. to 8:15 a.m. Its session number is 35. This breakfast is open to all meeting attendees, however, if you plan to attend, please register in advance to obtain a ticket. Please join and network with us as we discuss current interest issues of the E&R Section Council.

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  3. The "Equity Indexed Annuities–Pricing and Hedging" session is scheduled for Tuesday, June 17 from 10:30 a.m. to noon. Its session number is 50 and its value ladder stage is Process. Here is a description of the session:

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    • Equity Indexed Annuities represent a significant share of the fixed annuity market with sales in excess of $25 billions in 2006. Companies must price these products adequately and consider sound risk management addressing the various risks of these products.
    • Attendees will gain an understanding of:
      1. Methods and techniques for pricing Equity Indexed Annuity products;
      2. Potential hedging strategies that can be used to manage the risk of those products.