Stochastic Analysis of Long Term Multiple Decrement Contracts

Research Projects – Life Insurance


The Society of Actuaries Committee on Life Insurance Research and the Reinsurance Section are pleased to make available the following report examining the application of stochastic modeling techniques to non-market risks facing the life insurance industry. Performed by Matthew Clark and Chad Runchey of Ernst & Young, the research focuses on the modeling and quantification of mortality and lapse risks for a 20-year term life insurance product with consideration for the impact reinsurance has on these risks.

The Committee on Life Insurance Research and the Reinsurance Section Council would like to thank the following individuals that served on the Project Oversight Group:

  • JJ Carroll (Chair)
  • Claire Bilodeau
  • Sheryl Kalman
  • Jeff Lucia
  • Graham MacKay
  • Howard Rosen
  • Bud Ruth
  • Jan Schuh
  • Ronora Stryker
  • Art Wallace

If you have any questions or comments regarding this report, please direct them to Ronora Stryker, SOA Research Actuary.