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 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: This article describes some of the drawbacks to the assessment of longevity risk adopted by most practitioners within the UK together with an initiative that provides a platform for an alternative approach that is both (a) more forward-looking in nature and (b) can complement current practices.

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

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: 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: 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: Read the April 2020 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.