November 05, 2017
Renaissance Baltimore Harborplace Hotel
Competency (Learn more)
Special new topic and eighth in the series!
The Society of Actuaries (SOA) and Annuity Systems, Inc. (ASI) are pleased to announce a special half-day seminar (the eighth in this series) that will precede the
Equity-Based Insurance Guarantees Conference
, on Nov. 5, 2017, in Baltimore.
Stochastic-on-stochastic (SOS) generators have been used in the industry by annuity writers when computing reserves and capital associated with the business. The computation of these metrics is relatively easy to do at a point in time, but presents many more challenges when trying to project level into the future. The presence of a full reinsurance program or the absence of any risk-management program - the two extremities of a risk-management program. The same cannot be said when computing these metrics for any other risk-management strategy simply because of the need for huge computational resource (and hence costs). As a consequence, insurance companies have over the last decade invested an enormous amount of time and resource trying to find quicker ways of arriving at the required metrics (including that of the use of approximating functions) which still continues to be investigated and improved on.
Starting with the motivation for the need of SOS generators, the seminar will discuss various approaches (e.g., brute force, fixed training set, random training set, non-parametric etc.) used in practice to perform such computer intensive calculations. The seminar will also discuss a real-life case-study application of the recently proposed C3P2/AG43 changes and considerations for SOS projections. Issues encountered when implementing SOS generators on a production scale will also be discussed in this seminar.
Who Should Attend
Risk managers, risk officers, corporate actuaries, appointed actuaries, investment actuaries, product development actuaries, pricing actuaries, valuation actuaries, software vendors and developers, consultants, investment bankers, derivatives professionals, analysts and regulators.