Description: By identifying specific exogenous and insurer specific factors related to life-insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life Insurers performance measurements are 1. Return on Equity, 2. Return on Assets and 3. Increase in Capital and Surplus. This paper has been submitted to the North American Actuarial Journal for publication considerations. This documents the specific charts embedded in the report. Please see the SOA web site for the detail report.

Description: Part 2 of a six-part series on the evolution of risk management continues with this article on dynamic financial analysis.

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: The series expansion of a probability density function, known to actuaries by Esscher's name and to statisticians as the saddlepoint approximation, typically gets integrated to approximate probability values under the density, with a location parameter in the expansion chosen to optimize convergence of the integrated series. We review the general form, the accuracy and the derivation of the Esscher approximation. Then we propose using related series expansions for the derivative of a probability density function to approximate the value of the point of maximum likelihood for the density. The key is to make the value of the location parameter an unknown and assume it to be the point of maximum likelihood, which leads to a tractable optimization problem to find its value.

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 summarizes the presentations by the Society of Actuaries and the Academy of Actuaries at the January 2015 National Academy of Social Insurance (NASI) Roundtables in Washington DC. SOA presented on the 2014 SOA monograph series "The Link between Retirement Security and Long-Term Care."

Description: COVID19 highlights the need for greater complexity expertise in risk management. Crisis like the current COVID19 pandemic and 2008 Financial meltdown and others help us to turn into focus inwards for introspection on how we can better manage our resources and provide a deeper understanding of what our objectives should be and how we can achieve them through applying complexity science.

Description: This paper introduces a rich stochastic modeling framework for understanding risks in multiple-decrement contracts. The example in the paper is a 20-year Term insurance contract. Not only are mortality and lapsation considered stochastic, but the parameters governing them are. For example, mortality risk is composed of four risk elements, including error generated in the underwriting process, volatility around the best estimate, catastrophic events that impact mortality, and the trend in mortality improvement or deterioration. When stochastically modeled, the relative contribution and risk profile of each risk element can be evaluated. Generating stochastic mortality results provides a distribution of results that an organization faces and the severity and incidence of the tail events.

Description: This is a correction to the article Six Bridges to Psi's that appeared in ARCH 1993 Vol. 1. Six methods are included for calculating the probability of ultimate ruin, where the waiting times between claims are independent and identically distributed. From the Actuarial Research Clearing House 1994 Vol. 2.

Description: This paper discusses an example showing how simulation has been used to develop financial projections for variable life insurance with a guaranteed minimum death benefit and how recourse to mathematical analysis based on risk-theoretic considerations can enable us to see the impact of stock price changes more clearly. These projections reveal the effects of stock price fluctuations interacting with the more common elements, such as mortality and persistency, on the financial results of a variable life insurance operation.