Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: Different mortality projection methodologies are utilized by actuaries across applications and practice areas. As a result, the MIM Advisory Group developed a single framework to serve as a consistent base for practitioners in projecting mortality improvement.

Description: This presentation is a panel discussion, session number 34PD, from the 2002 Valuation Actuary Symposium, held September 19-20 in Lake Buena Vista, FL. A fundamental step in stochastic asset/liability modeling is to choose an appropriate underlying economic scenario generator. In this session, panelists discuss various scenario generation techniques and theories, assumptions underlying interest and equity scenario generators, and choosing suitable economic scenario generators for different applications, the two most common being pricing models [for assets and liabilities], and risk analysis models, used for asset/liability management, investment strategy, regulatory solvency, and capital adequacy. Discussion from participants is included.

Description: This session from the 1994 Valuation Actuary Symposium covers the collapse of the real estate market in the early 1990's and the problems it created in cash flow testing and valuation work. It also covers an integrated asset/liability model and the applications beyond cash flow testing including an example for an SPDA.