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A Multilevel Analysis of Intercompany Claim Counts
A Multilevel Analysis of Intercompany Claim Counts Automobile insurers classify the risks that ... (2001) and Bolance´ et al. (2003) introduced a dynamic element into the observed latent variable, again ...- Authors: Edward Frees, Emiliano Valdez, Katrien Antonio
- Date: May 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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2009 Economic Capital for Life Insurance Companies –Complete Report
2009 Economic Capital for Life Insurance Companies –Complete Report The Committee on Finance Research ... perform such trades as markets develop (e.g., dynamic hedging strategies). At the end of the one-year ...- Authors: Hubert B Mueller, Mark Scanlon, Ian Farr, Simon W Stronkhorst
- Date: Feb 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management
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An Option-Based Operational Risk Management on Pandemics
An Option-Based Operational Risk Management on Pandemics This paper employs the theory of ... suspension decision as a put option, and uses dynamic programming method to determine the optimal switching ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Operational risks
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Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
paper. Biffis, E., 2005, Affine Processes for Dynamic Mortality and Actuarial Valuations, Insurance: ... and Insurance. 73(1): 1-17 Duffie, D., 1992, Dynamic Asset Pricing Theory (Princeton, New Jersey: Princeton ...- Authors: Samuel Cox, Hua Chen
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Systemic risk; Modeling & Statistical Methods>Stochastic models
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Stochastic Modeling in Actuarial Science and Financial Mathematics: A Research Experience for Undergraduates
actuarial science, financial scenario modeling, dynamic financial analysis (modeling an insurance organization ... (3) DynaMo – a public-access, Excel-based dynamic financial analysis (DFA) program. Downloadable ...- Authors: Richard Gorvett
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Academic partnerships
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Z-Factor Analysis Under A Principles-Based Approach For U.S. Life Insurance Products
491 1,183 308 5.73 234.7 8,124.5 3.8 9.5 6. No Dynamic Lapse 1,369 1,058 312 5.73 209.6 6,807.2 4.6 10 ... 295 5.73 237.8 7,002.8 4.2 9.9 9. Sens 7 with Dynamic Premium 1,687 1,383 304 5.73 139.0 3,225.9 9.4 ...- Authors: John Roeger, Yiping Yang
- Date: Oct 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Life Insurance>Reserves - Life Insurance
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Interest Rate Hedging on Traditional Life and Health
particularly that these results do not reflect any dynamic policyholder behavior. Were we to model, for example ... DV01 hedge strategy we used is not a completely dynamic strategy. It is a strategy in which positions ...- Authors: Craig Reynolds, David Wang
- Date: Sep 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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On the regulator-insurer-interaction in a structural model
On the regulator-insurer-interaction in a structural model This paper provides a new insight ... thus be taken into account by the regulators. Dynamic simulation models;Monte Carlo simulation;Solvency ...- Authors: Carole L Bernard, An Chen
- Date: Aug 2007
- Competency: Results-Oriented Solutions
- Topics: Enterprise Risk Management
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On the Application of the Wilkie Model to the TSX Price Index
On the Application of the Wilkie Model to the TSX Price Index For insurance companies, modeling ... Model The ARIMA–GARCH model is used to model the dynamic structure of long term time series, which are ...- Authors: Chao Qiu
- Date: Jul 2007
- Competency: Technical Skills & Analytical Problem Solving
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Market-Consistent Valuations of Life Insurance Business: The U.K. Experience
Market-Consistent Valuations of Life Insurance Business: The U.K. Experience U.K. life insurers ... upon the firm’s solvency; or that they adopt a dynamic investment strategy, e.g. changing their asset ...- Authors: Chris O'Brien
- Date: Jul 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods; Public Policy
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Application of Structural Equation Modeling on the Linkage of Risk Management, Capital Management and Finanical Management for Insurance Industry
the insurance industry. In addition, with the dynamic features embedded in both asset and liability sides ... decision of its capital structure should be a dynamic process, and so is the linkage in the risk management ...- Authors: Min-Ming Wen, Hong-Jen Lin, Patricia Born
- Date: Jul 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Capital management - Finance & Investments
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Underwriting Cycle and Ruin Probability
to this topic may be found under the title of “dynamic financial analysis.” See for example, D’Arcy et ... provided in Section 6. 3 2 The Model In the dynamic financial analysis literature, the underwriting ...- Authors: Bruce Jones
- Date: Jun 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Modeling & Statistical Methods>Deterministic models
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Potential Impact of Pandemic Influenza on the U.S. Life Insurance Industry Report
Potential Impact of Pandemic Influenza on the U.S. Life Insurance Industry Report Attempts ... different pandemic scenarios. Reinsurance is a dynamic marketplace, very responsive to capital requirements ...- Authors: Jim Toole
- Date: May 2007
- Competency: External Forces & Industry Knowledge; External Forces & Industry Knowledge>External forces and business performance
- Topics: Demography>Mortality - Demography; Economics>Health economics; Finance & Investments>Economic value; Life Insurance>Claims - Life Insurance
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Joint CAS-CIA-SOA Risk Management Section White Paper Project - Linkage of Risk Management, Capital Management, and Financial Management
analytics • Asset Liability Management (ALM) • Dynamic Financial Analysis (DFA) • Hedging • NAIC RBC ... insurance companies have made progress in employing dynamic financial analysis, which may appear as a “black ...- Authors: Aaron Halpert, Leslie R Marlo
- Date: Apr 2007
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Bounds for Ruin Probabilities and Value at Risk
Implications of security market data for models of dynamic economies. Journal of Political Economy, 99(2):225–262 ... Review, 49(1):52–64, 2007. J. Yu and Y. Lin. Dynamic capabilities in volatile environments: Evidence ...- Authors: Samuel Cox, Ruilin Tian, Luis F Zuluaga, Yijia Lin
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Key Findings and Issues-Phases of Retirement
research presented in this report focuses on the dynamic of what people say and what they do. Much of ... the retirement experience can actually be quite dynamic and defined by distinctive phases. In considering ...- Authors: Ruth Helman
- Date: Jan 2007
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Retirement risks
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Enterprise Risk Management for Property-Casualty Insurance Companies
Enterprise Risk Management for Property-Casualty Insurance Companies This paper discusses a theoretical ... business, these are the players of the market dynamic. There is inherent uncertainty associated with ...- Date: Aug 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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The Work Of The SOA Accreditation Implementation Task Force - Background Document
actuarial profession. 7. To maintain a flexible and dynamic basic and continuing education system. 8. To support ... to be solved. 7. To maintain a flexible and dynamic basic and continuing education system. It is ...- Authors: Warren Luckner
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession; Actuarial Profession>Academic partnerships
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Mistakes? We've Seen A Few
Mistakes? We've Seen A Few This paper examines the Australian actuarial qualification process ... internal consistency, etc. Learning, however, is dynamic, not static. The learning that we should be ...- Authors: John Shepherd
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge; Strategic Insight and Integration
- Topics: Actuarial Profession; Global Perspectives
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Pricing of Guaranteed Products for Defined Benefit Pension Funds
spot interest rate and s is a quality spread. Dynamic of the market value of the portfolio A is described ... getting a following equation for a market value dynamic dm D b r dt r s dt D r dt D r dwt t t t t t ...- Authors: Mark Saxonov
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Pension investments & asset liability management
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Substandard Annuities Report
Substandard Annuities Report This report is jointly sponsored by LIMRA International and the ... insurance products, for example, have this same dynamic but to a smaller degree due to the multitude of ...- Authors: Eric Sondergeld, Joseph Montminy, Chad R Runchey, Matt Drinkwater
- Date: Jan 2006
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Payout annuities; Annuities>Pricing - Annuities
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Policyholder Behavior in the Tail Risk Management Working Group - Variable Annuity Guaranteed Benefits Survey Results
out of 22) assume dynamic lapse behavior for GMDBs • Of those that do use dynamic lapses all four use ... Living Benefit Lapses 83% (15 out of 18) assume dynamic lapse behavior for living benefits • Of the 14 ...- Authors: Society of Actuaries
- Date: Dec 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Variable annuities
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Financial Statement Disclosure: The Needs and Practices Related to Financial Risk
Financial Statement Disclosure: The Needs and Practices Related to Financial Risk This paper ... concerning policyholder behavior. Because of the dynamic and complex nature of these cash flows, stochastic ...- Authors: Robert Frasca, Gordon Andrew Tucker
- Date: Nov 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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Report of the Society of Actuaries Accreditation Implementation Task Force
actuarial profession. 7. To maintain a flexible and dynamic basic and continuing education system. 8. To support ... actuarial profession. 7. To maintain a flexible and dynamic basic and continuing education system. 8. To support ...- Authors: Application Administrator, Catherine C Wallach, Bryan V Hearsey, Curtis E Huntington, Stuart Klugman, Warren Luckner, Cynthia Miller, Wolfe Snow, Jeyaraj Vadiveloo, James W Daniel, Michel Jacques, Mary Hardy
- Date: Oct 2005
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession>Academic partnerships
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A Better-Defined Benefit Contribution Policy: Contribute No Less than the Normal Cost
than just fund itself since current liability is dynamic. In other words, the funded ratio is with respect ... liability, but the maximum policy is funding to the (dynamic) current liability. Thus for the maximum deductible ...- Authors: David Kausch
- Date: Sep 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Pensions & Retirement>Funding
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Non-Traditional Guarantees on Life and Annuity Products
or surrenders. Asset Allocation Programs Dynamic asset allocation programs are popular but face ... models need to reflect a relatively high level of dynamic interaction between certain variables, including ...- Authors: John P Glynn, Victoria L Pickering
- Date: Jan 2005
- Competency: External Forces & Industry Knowledge>External forces and business performance; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Annuities>Guaranteed living benefits; Life Insurance>Secondary guarantees
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Retirement Probability Analyzer Software
most appropriate because they are equipped with dynamic link library (DLL) files, which the program relies ... have additional parameters governing their dynamic behavior. The variable annuity requires the following ...- Authors: Moshe Arye Milevsky
- Date: Aug 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Retirement risks; Technology & Applications>Software
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Predicting Return to Work with Data Mining
Predicting Return to Work with Data Mining One of the first projects undertaken by ... mining;Disability insurance;Disabilty rates=Disability tables;Dynamic simulation models;Group health plans;Modeling ...- Authors: Barry D Senensky,
- Date: Jan 2004
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; External Forces & Industry Knowledge>External forces and business performance
- Topics: Health & Disability>Chronic health management - Health & Disability; Health & Disability>Disability insurance; Health & Disability>Disability tables; Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Markov Chain; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Simulation
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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method
Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method The ... Gaissian importance sampler with application to dynamic latent variable models”, Journal of Applied Econometrics ...- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Modeling of Economic Series Coordinated with Interest Rate Scenarios: A progress report on research sponsored by the Casualty Actuarial Society and the Society of Actuaries
• A property-liability insurance company uses dynamic financial analysis (DFA) to compare alternative ... community. For example, a key aspect of the dynamic financial analysis process, which continues to ...- Authors: Stephen P D'Arcy, Richard Gorvett, Kevin Ahlgrim
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Hedging Salary Related Pension Benefits
Hedging Salary Related Pension Benefits In this paper, we consider the relationship between ... Ratio. 25 We still need to explore different dynamic strategies. For examples, we can invest all contributions ...- Authors: Kai Chen
- Date: Jan 2004
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Pricing Perpetual Fund Protection With Withdrawal Option
derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before ... not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Factors Affecting Retirement Mortality
Factors Affecting Retirement Mortality This paper is the final report in a project ... Paxson (1999) noted that the effects of income are dynamic, and although permanent income is negatively correlated ...- Authors: Robert Brown, Joanne McDaid
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Mortality - Demography; Demography>Gender factors; Global Perspectives
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Final Report of the Task Force on Pension Plan Funding
Final Report of the Task Force on Pension Plan Funding The purpose of this report is ... increasingly led other financial disciplines to adopt a dynamic approach for evaluating financial obligations and ...- Authors: 107929_firstname Canadian Institute of Actuaries
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Funding
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Interaction Between Asset Liability Management and Risk Theory: An Unsegmented and a Multidimensional Study
8.1 The basic model In this section, the dynamic evolution of the (m+n)-dimensional stochastic process ... Session, Firenze, 253-269. 22 Janssen J., 1995, "A dynamic stochastic ALM model for insurance companies", ...- Authors: Jacques Janssen, Griselda Deelstra
- Date: Jan 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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A Primer In Financial Economics
(1973b) and Breeden (1979) attempt to move it into a dynamic setting, where now time flows, to make it a more ... proposed, independently of Black-Merton-Scholes, a dynamic hedging of the reserves to meet investment guarantees ...- Authors: Shane Francis Whelan, David Bowie, A J Hibbert
- Date: Jan 2002
- Competency: External Forces & Industry Knowledge
- Topics: Economics>Financial economics
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Risk Position Reporting
reports are broad in nature. n Reports will be more dynamic, in response to changing market conditions. n Report ... levels of new business n More frequent to reflect dynamic nature of product issuance Participants were asked ...- Authors: Mary M Wilson, Mary Gilkison, Anthony Dardis, Francois R Morin, Stephen Britt
- Date: Oct 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Financial Reporting & Accounting
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Modeling of Economic Series Coordinated with Interest Rate Scenarios
several reasons. For example, a key aspect of the dynamic financial analysis (DFA) process, which continues ... Theory of Risk Committee on Finance Research Dynamic Financial Analysis Cte. Research Project: ...- Authors: Kevin Ahlgrim, Stephen P D'Arcy, Richard Gorvett
- Date: May 2001
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Chapter 8 - MINT: Modeling Income in the Near Term: U.S. Social Security Administration Near Term Retirement Income Model
with projected future incomes, it is not a true dynamic microsimulation model. MINT uses statistically ... modeling capability without requiring a full-fledged dynamic microsimulation model.” (Citro and Hanushek, 1997 ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: May 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy; Social Insurance>Social Security
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Databases Useful for Retirement Analysis
Databases Useful for Retirement Analysis Appendix B to SOA Research Report: Models for Retirement ... units in which they reside. It emphasizes the dynamic aspects of economic and demographic behavior, but ...- Authors: Society of Actuaries
- Date: Apr 2000
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement
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Dynamic Financial Models of Life Insurers
Dynamic Financial Models of Life Insurers This paper, part of the Society of Actuaries [SOA} ‘Research ... economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis ...- Authors: James M Carson, Mark J Browne, ROBERT E HOYT
- Date: Feb 2000
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Dynamic Financial Models of Life Insurers
Dynamic Financial Models of Life Insurers The Society of Actuaries seeks to provide actuaries of life ... economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis ...- Authors: James M Carson, Mark J Browne, ROBERT E HOYT
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Dynamic Financial Models of Life Insurers XLS Charts
Dynamic Financial Models of Life Insurers XLS Charts By identifying specific exogenous and insurer specific ... study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life ...- Authors: Mark J Browne, ROBERT E HOYT, James Michael Carson
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Chapter 11 PIMS Pension Insurance Modeling System
PIMS Year Zero = 1997 Simulation technique: Dynamic and stochastic microsimulation Solution algorithms ... outside professionals. Simulation Methodology Dynamic and stochastic microsimulation, longitudinal imputation ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 10 - Macroeconomic-Demographic Model of the U.S. Retirement Income System
Chapter 10 - Macroeconomic-Demographic Model of the U.S. Retirement Income System Chapter 10 ... recursive equations; lagged variables incorporate dynamic features. Solution algorithms and structure: ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Aug 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy; Social Insurance
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An Econometric Forecasting for the Social Security Trust Funds
An Econometric Forecasting for the Social Security Trust Funds The financing for Social Security ... notably by Sims (1980) as a way to estimate the dynamic relationships among jointly endogenous variables ...- Authors: H Shawn Lin
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Forecasting
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Portfolio Optimization in Corporate Models
toolbox. One of our next steps will be to employ a dynamic asset strategy through- out the projection period ... some of these methods to determine the optimal dynamic asset strategy to support a line of business.- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation
Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit ... whereas the cash flow simulation model implements dynamic financial analysis. Logistic regression analysis ...- Authors: J David Cummins, Richard D Phillips, Martin F Grace
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
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Chapter 6 - DYNACAN: Canadian Microsimulation Model for Public Pension Analysis
Chapter 6 - DYNACAN: Canadian Microsimulation Model for Public Pension Analysis Chapter 6 of the Models ... Analysis. This chapter describes DYNACAN, a dynamic microsimulation model developed and maintained ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Technologies Used in Modeling
Technologies Used in Modeling In December 1997, the Society of Actuaries held a conference whose ... have in their knowledge base. The program can be dynamic, in the sense that the criteria for prediction ...- Authors: Arnold Shapiro, Thomas Anthony DeFilippo, AVRIL KATHERINE PHINNEY, Jing Zhang
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Investigation of Unfunded Liability in a Simplified Pension Fund Model
Investigation of Unfunded Liability in a Simplified Pension Fund Model This paper develops ... Clearing House 1998 Vol. 2. Deterministic models;Dynamic simulation models;Stochastic models;Interest rate ...- Authors: P.W.A. Dayananda
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Funding
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Four Approaches to the Political Economy of Regulation
Four Approaches to the Political Economy of Regulation One of the most important influences ... critical. We can expect mistakes to arise in a dynamic market in the absence of perfect knowledge. Sometimes ...- Authors: Philip Booth
- Date: Jan 1998
- Competency: External Forces & Industry Knowledge; Professional Values>Ethical standards
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Competencies; Public Policy
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Chapter 1 - Modeling for Retirement Policy Analysis
structure of the economy and were static rather than dynamic. Physical outputs of industries were assumed to ... October 22, 19971-3 versions have incorporated dynamic features and permitted variable proportions of ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 5 - CORSIM
Cornell Microsimulation Model, which is a large dynamic microsimulation model developed and maintained ... at Cornell University. CORSIM is a large-scale dynamic microsimulation model. It simulates the basic demographic ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Glossary of Modeling Terms
Terms described in this appendix include: Aging dynamic and static, Behavioral response first and second-round ... analysis including gainers and losers tables, Dynamic model, Filing unit, Imputation including hot deck ...- Authors: Society of Actuaries
- Date: Oct 1997
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement
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Chapter 4 PRISM
Chapter 4 PRISM Chapter 4 of Models for Retirement Policy Analysis. The PRISM ... Pension and Retirement Income Simulation Model is a dynamic microsimulation model designed to simulate the ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 3 DYNASIM
Chapter 3 DYNASIM Chapter 3 of the Models for Retirement Policy Analysis. This chapter ... describes the Dynamic Simulation of Model Income DYNASIM which was the first large scale dynamic microsimulation ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Aug 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 2 - Microanalytic Simulation Models
. . . . . . . 2-3 IV. STOCHASTIC FEATURES OF DYNAMIC MODELS . . . . . . . . . . . . . . . . . 2-5 V ... have been used in pension policy analysis are the Dynamic Simulation of Income Model (DYNASIM), developed ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Jul 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models ... Muscatelli, V. A. and S. Hum. (1992). Cointegration and Dynamic Time Series Models, Journal of Economic Surveys ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Estimating Long-Term Returns in Stochastic Interest Rate Models This paper addresses the evaluation ... of interest rate process. The paper derived a dynamic model for aver- age short rate over time to Illal ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Exchange Rate Dynamics in Mixed-Currency Medical Insurance Plan Environments
a monthly basis. Also, this policy design with dynamic values pegged to a foreign currency may face legal ... other countries. In effect, recognition of this dynamic in the model would be one form of introducing changes ...- Authors: Frank E Finkenberg, Kevin Law
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Health & Disability>Health insurance
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Graduation by Kernel and Adaptive Kernel Methods with a Boundary Correction
Verrall [58] views Whittaker graduation as a dynamic generalized linear model. 2.2.1 Choice of Kernel ... like to thank Glenn Stone for the use of his dynamic spline fitting program. It was used to produce ...- Authors: Steven Haberman, Richard Verrall, JOHN EMMETT GAVIN
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance; Modeling & Statistical Methods
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The UP-94 and GAR-94 Tables: Issues in Choosing the Appropriate Table
particular state. Since most states have adopted the Dynamic Valuation Law, these reserves are based on standard ... considered crucial, as opposed to approximating the dynamic table with a projected static one. Of course, ...- Authors: Christopher M Bone, Lindsay Malkiewich, Marilyn Miller Oliver, Application Administrator, Henry N Winslow
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Experience Studies & Data>Mortality
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Operations Research in Insurance: A Review
approaches: network op- timization, goal programming, dynamic programming, chance-constrained programming, and ... network optimization (NO), goal programming (GP), dynamic programming (DP), and chance- constrained programming ...- Authors: Patrick L Brockett, Xiaohua Xia
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Technology & Applications
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Examining Changes in Reserves Using Stochastic Interest Models
Examining Changes in Reserves Using Stochastic Interest Models This paper focuses on the fact that ... determined from discounted case flows mask the dynamic nature of interest rates. To study this effect ...- Authors: Edward Frees, Siu-Wai Lai
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Dynamic Solvency Testing: Boundaries of Risk Definition Phase
Dynamic Solvency Testing: Boundaries of Risk Definition Phase This report identifies the risks that ...- Authors: Donna Claire
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Financial Reporting & Accounting
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Chaotic Analysis on U.S. Treasury Interest Rates
take in the vector space as t changes. If the dynamic system that generates X(t) converges, the orbit ... point. If the dynamic system is periodic, the orbit will form a closed path. If the dynamic system diverges ...- Authors: Steven Craighead
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Economics; Finance & Investments; Modeling & Statistical Methods
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Improving University Actuarial Education
Improving University Actuarial Education In the past, discussion of actuarial education has focused ... pace with the ever-changing requirements of a dynamic environment. Many of the problems encountered ...- Authors: John Shepard, Clare Stella Bellis
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Academic partnerships; Actuarial Profession>Qualifications; Global Perspectives
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Pricing Long Term Insurance Contracts
Pricing Long Term Insurance Contracts This is the abstract for the paper entitled 'Pricing Long Term Insurance Contracts.' ... potential theoretic approach backward induction and dynamic programming. 225 ...- Authors: Benny Levikson, G Mizrahi
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability; Long-term Care>Long-term care insurance; Modeling & Statistical Methods
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n-Year Roll-Forward Reserve Financing of Social Security
n-Year Roll-Forward Reserve Financing of Social Security This paper explores and develops ... that individual [see 6, 1979]. However, in a dynamic economic environment, such preservation of individual ...- Authors: Cecil J Nesbitt, Brett T Houghton, ANDREW EVAN COHEN, DAVID MITCHEL GALLERS, PAUL SAMUEL WEISS, Angela Myler
- Date: Jan 1994
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Funding; Social Insurance>Social Security
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Computing Ruin Probabilities - A Life Table Approach
the form of the constraints of a forward looking dynamic programming problem. This gave us the fle~,ibility ... three steps. 20E; THE MODEL Used the Dynamic P rogramming St ra tegy of wr i t ing down a ...- Authors: Manalur S Sandilya
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Pension Funding in a Dynamic Environment
Pension Funding in a Dynamic Environment Concomitant with the industrial revolution, the function of ... Defined benefit plans=DB plans;Demographics;Dynamic simulation models;Funding policy;Intergenerational ...- Authors: James C Hickman
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Private sector plans; Social Insurance>Social Security
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the ... compute these radii fully captures the rel- evant dynamic process. For the simple stock case presented in ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Loading Gross Premiums for Risk Without Using Utility Theory
Loading Gross Premiums for Risk Without Using Utility Theory This paper cautions against using ... any stage and the information he obtains in the dynamic evolution of his problem. We have shown that if ...- Authors: Colin M Ramsay
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Duration-Based Policy Reserves
Duration-Based Policy Reserves This paper proposes a hypothesis that the negative public ... trend) over increasing premiums. • It provides a dynamic methodology for adjusting for deviations of actual ...- Authors: Application Administrator
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Financial Reporting & Accounting>Statutory accounting; Health & Disability>Health insurance