Description: Using the recent West Africa Ebola outbreak as an example, the authors discuss several modeling approaches that can be useful for estimating pandemic risk.

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.

Description: A paper entitled “A Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial Journal. In it, Dr. Mary Hardy describes a model for future equity returns and some reasons why that model might better reflect real equity price movements than the often-used lognormal model. The purpose of this article is to apply a two-regime model to variable annnuity GMDB pricing and compare the results to those from a lognormal model.

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.

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: Discussion that developing credibility factors for group health insurance can be accomplished empirically through the use of stochastic models with appropriate parameters and fairly readily obtainable data, without the need for unrealistic assumptions.

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 article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

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

Description: Are Your Scenarios on Target?From Risks and Rewards Newsletter, August 2005, Issue No. 47. Actuaries are faced with the dilemma of how to incorporate advances in insurance products and modeling technology into their work. Increasingly, this means looking at a large number of potential outcomes using stochastic simulations.