Description: This article explains why stochastic modeling is becoming more pervasive, and describes a specific stochastic application with metrics to measure results.

Description: Appendix to the Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries. The Development of a Simulation Model of Primary Prevention Strategies for Coronary Heart Disease

Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: The direct and indirect effects of the pandemic have impacted many actuaries’ work since the spring of 2020. This article addresses three considerations actuaries should account for when using risk evaluation models which are focused on projecting remote, highly unlikely losses: model effectiveness, asset risk, and insurance (mortality and mortality) risk.

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: This work investigates the use of a statistical approach to calculate the incurred but not reported IBNR reserve directly. This allows for the reserve to be estimated in one step, without completion factors, and it provides a confidence interval around the estimate of IBNR as well.

Description: In physics and engineering education, Fermi problems require solutions based on good approximate calculations with little or no actual data, involving making justified guesses and deducing bounds without using sophisticated tools. The idea of Fermi problems are of particular relevance to today's actuaries, as pricing, reserving, and financial reporting involve more and more complex stochastic components. The paper discusses some approximate solutions developed in academia in the spirit of Fermi problems.

Description: This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets. Optimality is defined here as maximizing expected utility of terminal payout.

Description: An interview with Prof. Johnny Li of University of Waterloo, which touches upon the subjects of longevity, mortality projections, international collaboration and the Living to 100 Symposium. Longevity is a topic in which scientific research and collaboration successfully spans many countries, which is desirable because the implications of ever increasing life spans is of global importance.

Description: With the adoption of the C-3 Phase 2 Project of the American Academy of Actuaries, it is now required that stochastic scenarios be developed for establishing reserves for variable annuities. This project has led to the idea of Principle-Based Reserving PBR where many of the same techniques will be used to set life insurance reserves. This article describes the choice of a Random Number Generator RNG to develop the random scenarios.