Description: This abstract describes a paper that considers various specifications of the general discrete time risk model in which a serial dependence structure is introduced between the claims for each period.

Description: Presented at Living to 100 Symposium, January 2011. This research studies coherent mortality modeling by combining a group of populations with similar period effects - e.g., mortality behaviors - in an effort to improve the stability of mortality modeling for older ages.

Description: According to the Actuarial Standards Board’s Actuarial Standard of Practice No. 49 (ASOP 49), actuarially sound Medicaid managed care capitation rates will include a provision for underwriting gain in order to provide compensation for the risks assumed by an MCO. However, there is no generally accepted method for quantifying underwriting gain in managed Medicaid capitation rates. This article discusses a new model developed to address this void and calculate underwriting gain. The model was developed by researching existing financial literature and performing a statistical analysis of industry data to build out a framework that can be leveraged to estimate underwriting gain.

Description: A summary of a new feature in the newsletter: a forecasting application contest. The Forecasting and Futurism Section will award a 16GB iPad to the section member who develops the best actuarial application of a judgmental forecasting method, incorporating best practices outlined in this issue’s article titled “Best Practices in Judgmental Forecasting.” In addition, we will feature the winning application in an issue of the newsletter.

Description: At the 2009 SOA Annual Meeting in Boston, Nassim Nicholas Taleb shared some thoughts on Black Swans, operating in the fourth quadrant, and living in the world of Extremistan versus Mediocristan during his keynote speech, all of which can be found in his published work. The follow-up session, summarized in this article, addresses the real question: What do we actuaries do about these phenomena?

Description: This is a poster presentation about a study to evaluate various methods for projecting health benefit populations.

Description: Presented at Living to 100 symposium, January 2002. This paper proposes a standard operating procedure for testing the Gompertz assumption using yearly age-specific mortality data, and the impacts of the data collection period and population sizes on the testing results are discussed.

Description: A summary of how the Forecasting and Futurism Section is networking with other SOA sections and with external organizations to collaborate on various projects. Also highlights new events and projects happening on the forecasting and futurism front.

Description: The author discusses the use of genetic algorithms as they apply to actuaries, specifically the application of characteristics and their potential to solve life insurance asset and liability management problems. He also highlights various ways genetic algorithms can be used to solve a variety of actuarial problems.

Description: The article provides a high-level, non-technical, introduction to artificial neural networks (ANNs) and deep learning with an application to risk management. The method relies on typical ANN components such as nodes, activation functions, and optimization through gradient descent.