Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.

Description: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

Description: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders of an insurance company in setting appropriate capital targets.

Description: The April 2016 Issue of The Modeling Platform

Description: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, and model efficiency.

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

Description: In order for actuaries to play a valuable role in the realm of enterprise risk management ERM, they must provide value-added advice and quantitative analyses. In this paper, the authors use stochastic simulation technology to present a risk metric for defined benefit pension plans that provides improved measures of the plan’s solvency and provides a tool for pension plan managers to determine the value of risk mitigation activities.

Description: Article Disparate Origins Of Life And Non-Life Insurances by Beard in The Actuary, February 1979, Volume 13, Number 2

Description: The article describes the key components of actuarial model, leading practices in designing them, and characteristics of well-built models.