Description: Case Study is used to see how effectively an approach based on combining products can reduce C-3 'interest rate' risk.

Description: This presentation estimates several models of interest rates, including seven without and four with regime shifts.

Description: This abstract describes a paper that investigates how to best choose a model from a flexible set of regime-switching models where the individual regimes are not constrained to be from the same distributional family.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: This article discusse key considerations to account for while planning for and executing the initial actuarial model handoff from development to production.

Description: Interest rate modeling is discussed in this paper with special emphasis on the long and short rate model of Brennan and Schwartz. Comment is made on an unexpected aspect of the solution of the resulting partial differential equation. Also, an analysis is made of the predictive power of the term structure of interest rates. From the Actuarial Research Clearing House 1991 Vol. 1.

Description: Argues that the financial and statistical data on loan restructuring practices collected within the last two years, since the 2008 collapse of the housing market, could be evaluated by actuaries and become a base for improving the existing models and developing new ones.

Description: 1993 SOA Annual Meeting, New York. Insurance regulators commissioned a task force to develop cash-flow variability measurement standards. This session presented the recommendations of that task force and the relationship to cash-flow testing. Topics included: 1. The regulatory need and how the process was approached. 2. The types of CMO variability that the standards attempt to address. 3. A description of the scenario selection process that's used in this model. 4. The prepayment assumptions and the method to be used to collect prepayment data. 5. The relationship to cash-flow testing. 6. The regulators' reactions.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.