Description: There are two main techniques for evaluating the financial impact of interest rate movements on insurance companies: duration measures and computer simulations. In many ways these approaches provide complementary viewpoints.

Description: Prepared for the Society of Actuaries by STATLAB at the University of Western Ontario, this report contains the results of a cash flow testing, ‘CFT,’ software survey performed in 2004. The results were based on the responses of 110 life insurance companies in the U.S. and Canada. The goal of the survey was to produce a report that will serve as a reference for comparing the available CFT packages and lead to better software and modeling techniques. CFT refers to analysis which is used to support both the Asset Adequacy Analysis for the Actuarial Opinion for U.S. companies, and the ALM Provision for Adverse Deviations in applying the Canadian Asset Liability Method to determine reserves for Canadian companies.

Description: This paper presents best upper and lower bounds on the expected value of a reinsurance payment under the terms of a contract written on a random loss with known moments. Bounds on the expected exercise value of a financial option are considered also because the mathematical model used for valuing options is similar to that used in reinsurance net premium calculations. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: Economic Scenario Generator - Investment Section Web Series Session #2 - Real World This session will cover the following points: 1. NAIC ESG 2. Strategic Asset Allocation and Optimization Techniques 3. Covid-19 Postmortem: Modeling and calibration changes because of recent events

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.

Description: This presentation discussed the Copula Methodology, which is the most popular methodology in multivariate modeling in finance and insurance. The definition, advantages, limitations, and uses of the Copula Methodology were presented. Some other multivariate models were discussed as well. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. In this paper, a multivariate quasi-negative binomial distribution is proposed to model frequency dependence among different risk types. The operational risk diversification effect is illustrated through frequency dependency modeled by the bivariate quasi-negative binomial distribution under a framework of Monte Carlo simulation.

Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

Description: This session from the 1994 Valuation Actuary Symposium discusses expectations from asset adequacy analysis including the process of financial condition examination by regulatory authorities, asset cash flows particularly related to mortgages, reliance on investment professionals and recent developments at the NAIC level.

Description: This teaching session was presented as Session 6B at the 1987 Valuation Actuary Symposium. The subject was modeling techniques for use in testing the scenarios being developed by the Canadian Institute of Actuaries, ‘CIA,’ Solvency Standards Committee. The presenters, members of the Committee, have been working on developing a generic modeling approach. Their presentation is limited to the first of three phases of proposed CIA standards for solvency reporting dealing with scenario testing, namely the projection of surplus under various prescribed and selected scenarios.