Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: This report provides estimated savings for several of the options that are available to plan sponsors after implementation of the Medicare prescription drug program.

Description: In this article, we are going to discuss the AR model by making connections to time-dependent ordinary differential equations.

Description: This paper presents a model for analyzing the impact of underwriting cycles on an insurer’s surplus. The model allows the insurer to vary its security loading in response to the cycles, with a strategy parameter that indicates the extent to which the insurer follows the loading which prevails in the market. The insurer’s claim rate is also allowed to vary to reflect exposure changes that result from the insurer’s strategy. The paper analyzes ruin probabilities using both simulation and a Lundberg-type upper bound which is developed in the paper. It finds that the latter is suitable and convenient for comparing ruin probabilities under the different insurer strategies.

Description: Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity measures, and regulatory demonstrations per VM-20.

Description: In this paper, we investigate the dynamics of the Lee-Carter mortality index parameter kt. Specifically, we perform statistical hypothesis tests to examine whether the mortality indexes for Canada, England and Wales and the United States are best described by stochastic trends difference stationary models or deterministic trends trend stationary models. The empirical results favor broken-trend stationary models over difference stationary models, which are used in most previous applications of the Lee-Carter method. The results also give strong statistical evidence that the rates of mortality decline for the three populations have significantly accelerated in mid-1970s.

Description: Discussion of Capital Market Modeling techniques

Description: Results of an industry survey on life insurance companies' efforts to implement the recently adopted Life Risk-Based Capital Phase II Instructions, which include new requirements for variable annuity contracts. Adopted by the NAIC on October 14, 2005, the new requirements are effective for year-end 2005. Also discusses a summary of the requirements set forth in the instructions.

Description: This panel discussion considers some of the approaches, techniques and problems in the development of corporate models and assumptions. The pros and cons of buying versus developing models was discussed and the use of deterministic versus stochastic models was addressed as well.