Research Projects–Model Efficiency Study Results

Research Projects – Life Insurance


The Financial Reporting and Product Development Sections, along with the Committee on Life Insurance Research are pleased to make the following report available. Prepared by Bruce Rosner of Ernst & Young, the report summarizes the findings of a stochastic modeling efficiency study. With the help of twelve life insurance and annuity companies, the study tested six techniques for reducing the number of model points or scenarios required to achieve a given level of precision in stochastic actuarial modeling.

The sponsors would like to thank the following individuals who served on the Project Oversight Group:

  • Craig Reynolds (Chair)
  • Mark Alberts
  • Mary Bahna-Nolan
  • Susan Deakins
  • Trevor Howes
  • Lisa Lefkowitz
  • Ronora Stryker, SOA
  • Jan Schuh, SOA

If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at rstryker@soa.org.