Description: This paper uses contingent claims analysis to evaluate portfolios of vulnerable private loan guarantees and investigate their risk diversification properties.

Description: The purpose of this paper is to explore pension plan dynamics— – the behavior of a defined- benefit pension plan over time in an uncertain environment. We proceed by simulating the behavior of a model plan in a stochastically varying economic environment. While both the model and its environment are simplified, the model displays interesting behavior suggesting policy considerations that should be included in the design and funding of these plans.

Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.

Description: Discussion of Capital Market Modeling techniques

Description: Feature article discussing hedging programs becoming a mainstay in the risk management arsenal of life insurers. It focuses on the significant stresses on variable annuity hedging programs.

Description: This paper is intended to acquaint actuaries with a simple and practical application of the ruin function technique in the determination of the C-2 mortality risk reserve needed for individual life insurance business. Followed by 2 discussion papers submitted

Description: Cautions against putting too much faith in financial models - such as the IASB's proposal to accrue future expected profits on the day a policy is issued.

Description: Article provides a market scan of recent state proposals for Medicaid work requirements as well as measures the impact to enrollment in different states.

Description: April 2018 issue of The Modeling Platform by the Modeling Section. Practical information for actuaries, trends that impact section, section activities.