Description: Presented at August 2011 46th Actuarial Research Conference. Compression methods improve model run time. This talk discusses compression features, trade-offs, validation, and recommended practice.

Description: This abstract describes a paper that considers an alternative way of estimating distribution parameters for nonnegative random variables.

Description: Chairperson talks about the activities of the section.

Description: Findings from EY Insurance Risk Management Team's 2016 (annual) Insurance Chief Risk Officer Survey.

Description: This article shows a different form of the Black-Scholes formula for European calls and puts under risk-neutral assumptions, that permits a comfortable verbal interpretation. The derivation of this alternative form appears at the end of the article.

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: Technical paper on how to efficiently perform scenario testing for principle-based approaches.

Description: Eric Friedman’s comments on ‘The Case for Stochastic Present Values,” by Dimitry Mindlin

Description: This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement. We argue that this is a reasonable model to use for estimating equity implied volatilities that are beyond the five- to 10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short discussion of how to grade from observable market data to the 'C' measure.

Description: We ask whether we can find support for the previously reported upper limit of the force of mortality of 0.7, i.e. about the probability of tossing a fair coin.