Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.

Description: The primary focus of this 1997 presentation from the 32nd Actuarial Research Conference is the adaptation of the representative scenario method such that the distribution of the primary rates used for product pricing, are consistent, regardless of the initial random number seed. A preliminary question is how many stochastically generated scenarios are required for consistency. This presentation looks at the implications of: the use of antithetic random normal deviates upon the scenario process, ways of modifying the candidate list, and the choice function within the representative scenario process.

Description: This paper discusses interest rate generators which vary by intended purpose. The primary focus is on fairly elementary generators for studying C-3 risk, with major emphasis on parametric, mean reversionary generators.

Description: The research investigates the challenges associated with determining a “fair value” assessment for embedded options in two product types and incorporates the process into product pricing and liability valuation

Description: This article discusses an upcoming SOA/CAS sponsored project regarding the Modeling of Economic Series Coordinated with Interest Rate Scenarios.

Description: Describes using the new multi-risk scenario generator to create sensitivity tests at moderately adverse probability levels, resulting in margins to use for PBR.

Description: An observation is made regarding the impact interest rate scenarios have on VM-20 stochastic reserves.

Description: This paper identifies several implicit assumptions underlying the use of the lognormal distribution for modeling the periodic change in the interest rate of a given maturity, tests those assumptions against historical interest rates, and presents additional information from those tests. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This article provides an overview of the different types of real world interest rate scenarios that practitioners use in the life insurance industry and explores different approaches to building those generators.

Description: Read the November 2019 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.