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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic ... calibration should be treated with just as much care and review as the underlying actuarial assumptions ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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GAAP Accounting for Long-Duration Contracts: Ramifications for the Modeling Actuary
GAAP Accounting for Long-Duration Contracts: Ramifications for the Modeling Actuary This article ... produced by these generators must be tested with care, to confirm that market prices are reproduced and ...- Authors: Jean-Philippe Larochelle, Ryan Laine, Dave Czernicki
- Date: Apr 2019
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Financial Reporting & Accounting>Generally Accepted Accounting Principles [GAAP]; Modeling & Statistical Methods
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Simulating Random Variates from Makeham's Distribution and from Others with Exact or Nearly Log-Concave Densities
brute force method of random variate generation, direct inversion either of the cumulative distribution ... below. Examining these numbers, it is evident that direct inversion of the cdf using Newton- Raphson's method ...- Authors: Jacques F Carriere, John A Mereu, Gordon E Klein, David Scollnik, Jeffrey S Pai
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods
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Quantification of C-3 Risk vs. Risk-Based Capital: Developing a Methodology/Table
force first established some guidelines to help direct the project's efforts. First, we felt we should ... plenty of complexity and confusion to result as a direct outgrowth of this effort. And, as you all know ...- Authors: Dennis A Deeter, Larry M Gorski, Michael E Mateja, Stephen A J Sedlak, Michael L Zurcher, Michael Scott Smith, Lloyd Spencer
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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A STATISTICAL APPROACH TO GRADUATION BY MATHEMATICAL FORMULA
A STATISTICAL APPROACH TO GRADUATION BY MATHEMATICAL FORMULA This article provides an an alternate, ... mortality, the extension to general decrements being direct. DISTRIBUTION THEORY It will be assumed that ...- Authors: Harry H Panjer
- Date: Jan 1979
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Optimization of the Ultimate Ruin Probability in Risk Theory
Optimization of the Ultimate Ruin Probability in Risk Theory The objective of this paper is to present ... Bulletion 26, p.93-105. Panjer, H.H. (1986). Direct calculaton of ruin probabilities, Tim Journal of ...- Authors: Etienne Marceau
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities
The Bounds of Bivariate Distributions that Limit the Value of Last-Survivor Annuities The dependent ... therefore p, = 12 E(F(X)G(Y)) - 3; b) and c) are direct results of Theorem 1. THEOREM 3. Let X and Y ...- Authors: Jacques F Carriere, Lai K Chan
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Annuities; Modeling & Statistical Methods
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Bivariate Schuette Graduation
Bivariate Schuette Graduation Two-dimensional data can be smoothed by minimizing a combination ... this part of the solution. Clearly, considerable care will be needed to prevent missingthe completion ...- Authors: Esther Portnoy
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On the Time Value of Ruin
clarified the situation with what he called the direct Riemann integrability condition. The condition ... Ig)*g](u) + [t - q/(0)] eP u I(x > u) (9.47) holds. A direct verification of (9.47) seems difficult. However ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Actuarial Model Governance: A Survey of Actuarial Modeling Governance and the Industry Evolution Report
models changed in an unauthorized manner. The primary risk of not setting forth controls over the change ... diversified parent, please respond based on the primary focus of the subsidiary.) P&C Life/Annuity ...- Authors: 0483 - Deloitte Consulting LLP
- Date: Feb 2017
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods