Description: We devise an approach, using tobit models for modeling annuity lapse rates. The approach is based on data provided by the Society of Actuaries’ Risk Management Task Force. Kim [2005a] models annuity lapse rates using a logit model and the same US data (he also used Korean data separately). We find that the tobit model is a more than suitable approach for all levels of the explanatory variables including interest rates, unemployment rates, and GDP growth rates. Specifically, policyholder behavior in the tail of the distribution of lapse rates is explained as well as it is in the normal range of lapse rates.

Description: The dependent relationship between two lives is readily analyzed within the context of probability theory. This paper presents useful relationships between certain actuarial and probability functions and then explores measures of dependence. From Transactions of Society of Actuaries 1986, Vol. 38.

Description: This report is a summary based on current actuarial practices around the development and use of policyholder behavior assumptions including the use of dynamic modeling approaches. The research team surveyed and evaluated current practices in the industry; and highlighted current thinking on modeling human behaviors outside the life insurance industry. This project was sponsored by the SOA’s Financial Reporting Section and the Committee on Life Insurance Research.

Description: Letters to the national association of insurance commissioners life/health actuarial task force regarding the development of the new annuity non-forfeiture law. Letters are addressed to Mr. Howard Kayton, Mr. Allan Roby, and Mr. John Montgomery. Also included is a demonstration of the workings of a two tiered annuity.

Description: This paper is a literature review of available papers, publications, articles, and presentations on the topic of longevity risk.

Description: This is a research project discussing on the needs and opportunities of the older age market to be used in the development and distribution of products that will protect future retirees from financial risk.

Description: The purpose of this note is to outline a rather simple technique that can be used in determining premium rates for cash refund and installment refund annuities, and in converting other forms of annuity to either of the refund forms. From Transactions of Society of Actuaries 1960, Vol. 12, No. 34.

Description: Initiated by the Financial Reporting Section, this paper explores rising interest rates. Following this path, the paper will look at implications of interest rate changes for the life insurance industry, current stress testing practices, and how a risk manager can proactively prepare for an uncertain future. A paper published in 2014 focused on why rates could stay low, and some aspects of this paper are similar (e.g., description of insurance products). This paper also uses a sample model office to help practitioners look at their own exposures. It includes typical interest-sensitive insurance products and how they might perform across various scenarios, as well as a survey to establish current practices for how insurers are testing interest rate risk currently.

Description: We give some recursive formulas involving life annuities.

Description: The Required Minimum Distribution [RMD] Working Group of the SOA Taxation Section has completed research identifying considerations for actuaries and annuity insurers in determing the actuarial present value of additional benefits for computing the RMD under a deferred annuity contract. This is the Appendix I spreadsheet for determining the Actuarial Present Value of an annuitization bonus. Please see the SOA website research for the full report and other associated spreadsheets.