Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: The panel demonstrates a technique that can help set confidence intervals regarding future rate increases used to satisfy the NAIC rate stabilization model. Specific topics include creating a stochastic model, deciding which variables are deterministic vs. stochastic, developing probability distributions for the stochastic variables, running the model and evaluating the reasonableness of results. From the Record of the Society of Actuaries, Volume 30, No. 1, Session 21

Description: Presented at May 2002 Spring Meeting. Presenters discuss a method of mortality projection on various scenarios about terrorism that have been written by futurists given the events of Sept. 11. Attendees learn to use a futurism technique scenarios to address actuarial problems.

Description: Presented at June 2002 Spring Meeting. A noted expert with a degree from the graduate program in Studies of the Future at the University of Houston-Clear Lake discusses long-term forecasting and planning, the future of information technology and technology transfer, strategic planning and the development of future scenarios.