Description: The Study was designed to elicit reasons behind the participants’ judgments about the future course of the four variables. In the first round participants were asked to provide judgments about the value of the four variables in 2024 and the reasons behind their judgments. The four variables were 1. Increase in CPI, 2. 10 Year Treasury Yield, 3. S&P500 Total Rate of Return, and 4.Corporate Baa yield. In addition, they were asked to list future developments that could cause historical trends in the variables to change. Finally they were asked to express their views on how the judgmental process employed in this study might influence the use and interpretation of traditional actuarial e.g., stochastic, deterministic estimation processes or to aid in planning. The data were collated between rounds and in the second Round, the responses of the group were provided to the participants.

Description: This paper provides actuaries with background and scientific knowledge to understand global climate change and climate model projections for the 21st century.

Description: The SOA, with SCOR as the researcher, completed an experience study of post-level term (PLT) lapse and mortality. In the first part of this session, the presenters will cover the key findings of the traditional analysis regarding the shock lapse, the PLT lapse and mortality experience. The remainder of the session will focus on the results of the predictive modeling, which will provide further insights into policyholder behavior in the post-level term period.

Description: In this, the second step, Sibson engaged the vendor and actuarial communities to solicit input on the actuarial model for determining the impact of various environmental, lifestyle and behavioral risk factors. The goal was to understand the extent to which actuaries currently use models around wellness, refine the above conceptual model, and better understand the potential uses of, and value to, the actuarial and vendor communities that would use such a model. We sought to understand the potential applications and sources of data for the actuarial model. We gathered input on how the model would best suit the professional needs and help shape the future role of the actuary. Lastly, we gathered feedback on the above conceptual model.

Description: The report examines various benchmarks for analyzing option adjusted spreads of the major fixed income asset classes of life insurance companies.

Description: Appendix G is the listing of participants from the Delphi Report. Please see the SOA website Research section for the full Delphi Study of Economic Variables Report and all of the appendices.

Description: This publication is intended to serve as an in-depth primer on economic scenario generators. The first half of the publication provides more general information on the nature of economic scenario generators—what they are, how they evolved, how they address regulatory and business needs in the insurance and pension industries. It also addresses essential features of a good economic scenario generator, and provides some detailed guidance on important aspects of financial market model specification, model calibration and model validation considerations to assure that the ESG will produce simulation results that are relevant, sufficiently robust, and realistically reflect market dynamics. The second half of the publication provides technical discussion of some of the essential financial markets aspects of a comprehensive ESG. Description of arbitrage-free considerations, the role of risk-neutral scenarios, and default-free interest rate models are explored with some of the underlying mathematics necessary to understand these considerations. Final chapters provide some important considerations relating to corporate bond models and equity index models, and how these considerations may extend to international and global interactions.

Description: The report examines various benchmarks for analyzing option adjusted spreads of the major fixed income asset classes of life insurance companies.

Description: In this, the second step, Sibson engaged the vendor and actuarial communities to solicit input on the actuarial model for determining the impact of various environmental, lifestyle and behavioral risk factors. The goal was to understand the extent to which actuaries currently use models around wellness, refine the above conceptual model, and better understand the potential uses of, and value to, the actuarial and vendor communities that would use such a model. We sought to understand the potential applications and sources of data for the actuarial model. We gathered input on how the model would best suit the professional needs and help shape the future role of the actuary. Lastly, we gathered feedback on the above conceptual model.

Description: This predictive modeling for life insurers paper by a Deloitte research team is one of a collection of essays that examine how existing or new methods or models can be applied to the life insurance industry.