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

Description: The next evolution of actuarial systems in the U.S. will likely be a move toward a single system solution. This article defines a single system solution and illustrates how models can be shared across actuarial functions, the potential benefits of a single system solution, and describes potential mitigation strategies to address typical actuarial concerns.

Description: More Efficient Monte Carlo Simulations for Mortality Assumption Testing

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: In physics and engineering education, Fermi problems require solutions based on good approximate calculations with little or no actual data, involving making justified guesses and deducing bounds without using sophisticated tools. The idea of Fermi problems are of particular relevance to today's actuaries, as pricing, reserving, and financial reporting involve more and more complex stochastic components. The paper discusses some approximate solutions developed in academia in the spirit of Fermi problems.

Description: This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets. Optimality is defined here as maximizing expected utility of terminal payout.

Description: Results of an industry survey on life insurance companies' efforts to implement the recently adopted Life Risk-Based Capital Phase II Instructions, which include new requirements for variable annuity contracts. Adopted by the NAIC on October 14, 2005, the new requirements are effective for year-end 2005. Also discusses a summary of the requirements set forth in the instructions.

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

Description: Discusses methods to efficiently run stochastic models in light of AG 43.