Nested Stochastic Modeling for Insurance Companies
The Society of Actuaries’ Financial Reporting Section, the Modeling Section and Committee on Life Insurance Research announce the release of two research reports on nested stochastic modeling for insurance companies. Performed by Runhuan Feng, University of Illinois at Urbana-Champaign, with assistance from, Zhenyu Cui, Steven Institute of Technology and Peng Li, Central University of Finance and Economics, the study examined the following questions:
- In what situations is nested stochastic modeling currently used or planned to be used in the insurance industry?
- What other approaches are currently used instead of nested stochastic modeling?
- What techniques can be used to accelerate the run time for nested stochastic modeling?
To answer the first two questions, the research team conducted a survey of insurers. The first report summarizes the results of this survey. The second report addresses the third question.
The Sponsors would like to thank the companies that participated in the study and the following individuals that served on the Project Oversight Group:
- Mike Leung (Chair), FSA, FCIA
- Bill Beatty, FSA, FCIA
- Fontaine Chan, FSA, MAAA
- Frank Clapper, FSA, MAAA
- Mark Evans, FSA, MAAA
- Bruce Rosner, FSA, MAAA
- Ronora Stryker, ASA, MAAA
- Jan Schuh, Sr. Research Administrator
If you have questions or comments on this research, please contact Ronora Stryker, SOA Research Actuary, at firstname.lastname@example.org.
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