Description: This report is sponsored by the Society of Actuaries in collaboration with Ernst & Young. It examines the application of stochastic modeling techniques to non-market risks facing the life insurance industry.

Description: This section contains book reviews and summarizes recent publications: 'Rights of Creditors in Life Insurance Policies' by Schwarzschild, 'Savings Bank Life Insurance' by Johnson, 'Transferability of Public Employee Retirement Credits among Units of Government' by Advisory Commission on Intergovernmental Relations, 'State and Private Pension Schemes in the European Economic Community and the United Kingdom' by Ratcliff, 'Surplus in British Life Assurance' by Cox and Storr-Best, 'Psychiatric Insurance - Financing Short-Term Ambulatory Treatment' by Avnet. Some digests are also included.

Description: This paper defines a concept of equivalence for profit standards. The central principle advanced is that the company should set prices on all its products to produce marginal profits that are equal in proportion to the products' marginal use of surplus. From Transactions of Society of Actuaries 1981, Vol. 33.

Description: This paper presents simple Bayesian graduation models that substantially ease the prior elicitation burden, and also describes a Monte Carlo integration approach that greatly reduces the computational load.

Description: This report identifies the risks that can affect insurance company solvency, provides information and opinions on techniques currently available, and comments on what additional research may be necessary.

Description: Initiated by the Financial Reporting Section, this paper explores rising interest rates. Following this path, the paper will look at implications of interest rate changes for the life insurance industry, current stress testing practices, and how a risk manager can proactively prepare for an uncertain future. A paper published in 2014 focused on why rates could stay low, and some aspects of this paper are similar (e.g., description of insurance products). This paper also uses a sample model office to help practitioners look at their own exposures. It includes typical interest-sensitive insurance products and how they might perform across various scenarios, as well as a survey to establish current practices for how insurers are testing interest rate risk currently.

Description: The CIA, SOA and Joint Risk Management Section of the CAS, CIA, and the SOA sponsored a whitepaper on the application of ERM at a federal government level.

Description: This paper describes an approach to the problem of long range planning that a group insurance writing company might use in attempting to determine the most desirable rate of growth. These techniques may also be used for testing premium and dividend scales. Discussions of this paper are included.

Description: This paper gives a brief review of advanced time series models, the state space model, using Monte Carlo techniques and subsequently illustrates their usefulness to practicing actuaries. The models employed allow for the possibilities of nonnormal errors and nonlinear functionals in the state equation, the observational equation or both. The approach is illustrated with several examples and data compiled by the National Center for Health Statistics.

Description: Research paper presenting the potential role of Dynamic Solvency Testing, DST, in preventing the insolvency of insurance companies. This study examines major causes of failure for a small group of companies and evaluates whether and how DST would have helped.