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: Looking for volunteer organizations to help Academy test new modeling techniques for PBR.

Description: An Overview of Stochastic Simulation modeling techniques and usages

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: Reviews book entitled Stochastic Theory of a Risk Business by Hilary Seal. Book presents a comprehensive survey of the literature on the mathematical foundations of risk taking as a business.

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: The article and guidebook of the same name use a stochastic simulation model to examine potential impacts of public pension plan risk-sharing policies on government employers and plan members. Policies examined include simple policies such as COLAs and employee contributions that are contingent upon investment returns or funded ratios, and more-complex policies similar to those used in the Wisconsin Retirement System.

Description: A classical risk model with a multi-layer premium rate is considered in this paper. In the two-layer case, an explicit expression is obtained for the joint distribution of the maximal surplus up to ruin, the surplus immediately before ruin and the deficit at ruin. Such an expression involves some known results on the joint distribution at ruin for a risk model with a constant premium rate. In the multi-layer case, a scheme is proposed to compute its ruin probability.

Description: Continuation of article from previous issue. This article illustrates the practical and financial implications of applying nested stochastic techniques to a sample product.

Description: This article is based on an excerpt from a Milliman Research Report on universal life insurance with secondary guarantees, ULSG. It discusses stochastic profit analysis and the impact of investment volatility of two common variants of ULSGs - level specified premium and single-fund shadow account designs.