Description: “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”

Description: A discussion of the possible effort required and impacts resulting from the implementation of C3 Phase II for establishing risk-based capital for variable annuities. This article will describe practical considerations gleaned from actual valuation calculations recently performed by a consulting firm.

Description: This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic that is becoming increasingly important to actuaries in most fields of practice. “Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free pricing of interest-rate-contingent cash flows.” This paper, by James A. Tilley, won the 1992-93 Annual Prize, and the Halmstad Prize for 1992. The paper includes written discussion and the author’s review of the discussions.

Description: In the present paper, we propose and investigate a numerical method of computing the probability distribution of S. Inversion of the Laplace transform moment generating function is shown to be a better approach than the existing recursive method for find the distribution of sum of several independent random variables. In the continuous case, in many situations, numerical inversion needs to be used to compute the probability distribution function of the sum.

Description: This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then formulate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a system of algebraic equations and partial differential equations.

Description: The SOA’s Committee on Finance Research recently made available the results of a research study that explores economic series and provides an Excel-based tool for generating future economic scenarios. From Risks and Rewards Newsletter, August 2005, Issue No. 47.

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: A summary of the activities of the Forecasting & Futurism Section, including research initiatives, participation in Delphi studies and sponsoring of seminars.

Description: The purpose of this article is to provide a refresher on regression and times series models so that actuaries will feel more comfortable building forecasting models.

Description: Comparison of healthcare costs for early retirees versus active workers in the same age band. When adjusted for age, there is not a significant difference in costs between each group.