Description: A study on stochastic simulation literature as it applies to a health actuary.

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 paper describes the use of the Moses software package to model variable annuities with multiple guarantees. Pricing and risk management are discussed.

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: This study note was written to supplement the “Credibility” chapter of Foundations of Casualty Actuarial Science as a reading for the fourth CAS/SOA examination. It presents important topics not covered in the Foundations chapter including the Bühlmann-Straub Model and nonparametric and semiparametric estimation of credibility formula parameters.

Description: This is the abstract of a preliminary report on a research project about the applications of dynamical systems theory in actuarial science. The project is funded by the AERF. The paper will briefly describe the nature of dynamical systems and present a tentative model derived from percolation theory that could be used to understand the pricing variations encountered in a competitive environment and that could also be used as a model for credibility. From Actuarial Research Clearing House 1992, Vol. 1.

Description: This articles describes some of the industry issues that new-generation risk modeling technologies can address and the emerging technology of simultion as it applies to risk modeling.

Description: To deal with future correlation crises, the author suggests the implementation of ‘’quanlitative analysts’’ (‘Quanls’) in the enterprise risk management (ERM) process: risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

Description: By identifying specific exogenous and insurer specific factors related to life-insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life Insurers performance measurements are 1. Return on Equity, 2. Return on Assets and 3. Increase in Capital and Surplus. This paper has been submitted to the North American Actuarial Journal for publication considerations. This documents the specific charts embedded in the report. Please see the SOA web site for the detail report.