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Raising the Bar on Model Validation
sample recalculations • Detailed static and dynamic validation • Backtesting • Implied rate checks ... • Formula inspection • Cell-level static and dynamic validation • Implied rate checks INPUT OUTPUTCALCULATION ...- Authors: Paul Chao-Liang Chen, Patrick Davidson , Dylan Strother
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Life Insurance; Modeling & Statistical Methods; Modeling & Statistical Methods>Modeling efficiency
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Modeling Techniques: PBR and Beyond
Scalability New Functionality – Modularity 13 Dynamic assumption unlocking Post-reserve calculations ... required cashflows to demonstrate appropriateness of dynamic assumptions ValAct- PBR Modeling Techniques ...- Authors: Bill Cember, Reanna Nicholsen, Kathryn van Ryn
- Date: Aug 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Modeling efficiency
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Session 173: Modeling and Analysis of the Future: A Case Study
Session 173: Modeling and Analysis of the Future: A Case Study The session will feature case study ... others, to develop executive dashboards and dynamic drill-down capabilities • Increase speed to act ...- Authors: Corey A Carriker, Charles Frank Deak, Melanie Dunn, Justin Meade
- Date: Mar 2020
- Competency: Strategic Insight and Integration
- Topics: Modeling & Statistical Methods; Technology & Applications
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Session 174: R 101: Available Actuarial Packages & Creating Reproducible Actuarial Analyses
Session 174: R 101: Available Actuarial Packages & Creating Reproducible Actuarial Analyses The session ... flexible deployment of aggregate data – think dynamic Excel Pivot Tables Output R resources4 ...- Authors: Nicholas Hanewinckel, Matthew Zhang, Hadrien Dykiel, Ron Curran
- Date: Mar 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Experience Studies & Data; Experience Studies & Data>Mortality; Modeling & Statistical Methods
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Regime-Switching Portfolio Replication
Generating a Volatility from the RSLN-2 Model Dynamic Unconditional Volatility σ = √ Var [Yt ] = √ ... observation. The regime will be one or the other; the dynamic volatility will generally not be equal to either ...- Authors: R Keith Freeland, Mary Hardy, Matthew Charles Till
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management; Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Asset-Liability Modeling Issues: An Open Forum
Open Forum 5 that was either stochastic or dynamic. So if the actuary were doing a model and let’s ... earned rate, no matter what, but if they had dynamic lapse in there, there would still be a range.- Authors: Tracey Polsgrove, ELLEN COOPER
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Liability Modeling Concepts
Liability Modeling Concepts Panelists discuss the basics of modeling including: model ... selection, appropriate model granularity, static and dynamic model validation, efficient model refresh processes ...- Authors: Robert Welander, Jeffery Fitch, Uri Sobel
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods
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Applied Modeling Concepts—Product Guarantees
two sides to validation: static validation and dynamic validation. Static means you need to check that ... that the data model was reasonably accurate. Dynamic validation is looking at the projection and making ...- Authors: Dennis L Stanley, James Stoltzfus, Don Wilson
- Date: Jan 2005
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Guaranteed living benefits; Modeling & Statistical Methods
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Applied Modeling Concepts
included in a Applied Modeling Concepts 2 dynamic model for a fair value accounting basis. I'll talk ... under dynamic economic conditions, dynamic conditions for claims and for everything else. A dynamic model ...- Authors: David A Ricci, Stephen Strommen, Vincent Y Y Tsang, Benjamin J. Yahr
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods
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Asset Modeling Concepts
an example of dynamic rebalancing where we use duration and convexity to do the dynamic rebalancing. ... works and balances. It’’s just that it has to be a dynamic hedge. It can’’t be a static portfolio. FROM ...- Authors: Don Wilson, ELLEN COOPER
- Date: Sep 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Measuring and Pricing for Tail Risk
reflect that. It's basically very easy to build a dynamic assumption off of a real-world scenario. Again ... scenarios, you should be thinking in terms of dynamic behavior. Is the fact that they're holding this ...- Authors: Henry M McMillan, David M Walczak, Douglas Robbins
- Date: Jun 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Actuarial Appraisals - Process and Issues
called a static validation. There is also a dynamic validation, which calls for running the model for ... account when looking at a dynamic validation. But, in any event, dynamic validation is as important ...- Authors: Richard Farrell, James Hawke, R Thomas Herget
- Date: Jun 2004
- Competency: Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Embedded value; Modeling & Statistical Methods
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Financial Market Volatility: Modeling and Management
Financial Market Volatility: Modeling and Management From a session at the Spring meeting of the ... risk;Derivatives;Discount rates=Interest rates;Dynamic simulation models;Generally Accepted Accounting ...- Authors: Francis Sabatini, Application Administrator, Aleksandar Kocic
- Date: Jun 2004
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods
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Applied Modeling Concepts
perspective, you can take either a static approach or a dynamic approach. A static approach more or less is similar ... with very infrequent rebalancing, while a more dynamic approach is one whereby you are looking at rebalancing ...- Authors: Ronald Harasym, Becky Grant, REBECCA LYNN BURTON
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Integrated Risk Management
summarize here is one that focuses on the impact of dynamic policyholder behavior on capital requirements ... (GMIB) situation. What you can see is that if dynamic lapses are ignored, there's no linkage. With the ...- Authors: Jack Gibson, Albert Zlogar
- Date: Sep 2003
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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General Modeling Techniques
assumptions, and work on spreadsheets for static and dynamic validation or report compilation. Maintain your ... payments, benefits, investment income, and so on. Dynamic validation is a validation of how changes in the ...- Authors: David A Ricci, Scott Kane, REBECCA LYNN BURTON
- Date: Sep 2002
- Competency: Communication>Written communication; Results-Oriented Solutions>Actionable recommendations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Modeling & Statistical Methods
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Asset Modeling Concepts
second type of validation is what I call dynamic validation. Dynamic validation involves comparison of the ... level by asset class and at a portfolio level. Dynamic validation involves comparison of the projected ...- Authors: Scott Houghton
- Date: Sep 2002
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Asset modeling
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Generating Economic Scenarios
don’t stay fixed. Bill is going to talk about dynamic credit spreads and how they can change as your ... used for asset/liability management (ALM) and dynamic financial analysis (DFA) applications. Prior ...- Authors: Ellen Cooper, Marc Altschull, William Pauling, DAVID E MARTIN
- Date: Sep 2002
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods
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General 'Modeling' Techniques
statutory versus GAAP accounting • Static and dynamic model validation techniques • Data integrity ... modeling;Assumptions;Audits;Deterministic models;Dynamic simulation models;Lapse rates=Lapses;Marketing ...- Authors: Michael Harris, Duncan Briggs, REBECCA LYNN BURTON
- Date: Nov 2001
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods
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Complex Liability Modeling Issues
by these products • Selecting realistic dynamic assumptions • Techniques used in modeling ... communicate risks Antiselection;Deferred annuities;Dynamic simulation models;Equity-indexed annuities;Financial ...- Authors: Application Administrator, Thomas J Mitchell, John M O'Sullivan, Joseph M Rafson
- Date: Nov 2001
- Competency: Communication; External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Pricing - Annuities; Annuities>Reserves - Annuities; Annuities>Variable annuities; Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility A presentation on the principle ... from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility ...- Authors: Virginia Ruth Young, Application Administrator
- Date: Aug 2001
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods
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Stochastic Risk Modeling in Banks Versus Insurers
Stochastic Risk Modeling in Banks Versus Insurers This session 15 PD of the Toronto Spring ... definition of “hedged as required” (which includes dynamic hedging strategies) they may hold reserves on a ...- Authors: Donna Claire, W Steven Prince, Murray John Taylor, George Turpie, Chak Raghunathan, Nico Meijer
- Date: Jun 2001
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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General Modeling Techniques
platforms • Model structure • Static and dynamic model validation techniques • Data integrity ... testing;Deterministic models;Disability insurance;Dynamic simulation models;Equity-indexed annuities;Generally ...- Authors: Robert G Meilander, Brian S Reid, Kevin Brimmer, Kitty Ching, Steeve Jean, Keith E Floman
- Date: Sep 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods; Technology & Applications>Software
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Complex Liability Modeling Issues
when we set up a model. Then we also have other dynamic information, such as commissions, expenses, and ... having to see if it makes sense. Everything about dynamic validation won’t make sense. That’s because these ...- Authors: Kenneth Bonvallet, Mike Dorsel, Katharine Young, Douglas Robbins
- Date: Sep 2000
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Asset liability management; Financial Reporting & Accounting; Modeling & Statistical Methods
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Small Company Issues
experience monthly. That seems to be far more dynamic in causing changes on a monthly basis than anything ... standard assumptions. Then you have to do your dynamic valuation, which is basically where you true up ...- Authors: Stephen Marco, John Miller, Lori A. Truelove
- Date: Sep 2000
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods; Public Policy
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ZZZ and ZZZZ Update
criteria apply to optional replication, which permits dynamic hedging of an aggregation of policyholder liabilities ... the wording changed, essentially, to reflect a dynamic total portfolio hedging strategy. The other main ...- Authors: Alan Downey, Martin E Goldman, James P Greaton
- Date: Jun 2000
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Record of the Society of Actuaries
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods; Public Policy
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Financial Modeling Integration
Financial Modeling Integration From a session at a meeting of the Society of Actuaries held ... tax laws, or policyholder behavior, dynamic lapses, and dynamic elections are going to be, then you bump ...- Authors: Josephine Marks, Russell Osborn, Craig Merrill, S Michael McLaughlin
- Date: Jun 2000
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Fuzzy Logic
Fuzzy Logic From a session at a meeting of the Society of Actuaries held in Las Vegas, ... cognitive map. It actually began as an exercise in dynamic systems by Bart Kosko. It was an effort to analyze ...- Authors: Timothy Swankey, Richard A Derrig, Fred A Watkins
- Date: May 2000
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods
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Risks in Investment Accumulation Products: Recent Research
hedge against the guarantees using some sort of dynamic rebalancing strategy, then the computational problem ... it turns out that you can construct, using a dynamic rebalancing strategy, a perfect risk-free hedge ...- Authors: Steven Miller, Peter Tilley, Martin Leroux
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Modeling & Statistical Methods
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Applying Complex Adaptive Systems to Actuarial Problems
agent- based simulation and developing more robust dynamic scheduling algorithms to leverage operational ... First, they’re usually very non-linear and very dynamic. We’re usually interested in the interactions ...- Authors: H Shumrak, Vince Darley
- Date: Sep 1999
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Modeling & Statistical Methods
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Model Integration for Various Corporate Purposes
as just a certain interest rate. They’re not dynamic, and oftentimes it’s a level interest rate. You ... there and quickly get to a validation point doing dynamic and static validations. You’re not going to achieve ...- Authors: J Murray, Yiji S Starr
- Date: Sep 1999
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods
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Deferred Annuity Modeling Issues
rates stayed level or went down. It's the same dynamic; the question is, how do you define it? Equity ... when it's 50%/50%. The model should also have dynamic lapse and transfer. You must factor in the fact ...- Authors: Meredith Ratajczak, Francis Sabatini
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Equity-Indexed Modeling
I'll discuss setting assumptions, including dynamic behavior. After that, I'll briefly touch on economic ... interest or equity product is what to do about the dynamic surrender assumption. I think there are some general ...- Authors: Alan Downey, Duc Ho, Scott Houghton
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Modeling & Statistical Methods
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Bad Behavior: Policyholder and Interest Rates
and customer behavior, in general, are part of a dynamic process. This is a process that you're probably ... that marketing strategy is going to feed into a dynamic system that involves the crediting strategy, lapses ...- Authors: Klaus Shigley, Kenneth Mungan
- Date: Jun 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Value-At-Risk, Risk-Based Surplus, and C-3 Risk-Based Capital
good bridge between valuation actuary testing and dynamic financial condition analysis. National Life, ... many other companies, has a bit of work to do on dynamic financial condition analysis, but i think risk-based ...- Authors: Michael J Hambro, Alastair G Longley-Cook, David Sandberg, Douglas A George
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Public Policy
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Economic Scenario Generators ESG and Actuarial Practice
Economic Scenario Generators ESG and Actuarial Practice 1998 Valuation Actuary Symposium. The ... this, but the bottom line is you may get a new dynamic link library (DLL) from a vendor, and your code ...- Authors: Michael F Davlin, Mark S Tenney, Steven Craighead, Hongfei Zhang, Vladimir S Ladyzhets
- Date: Jan 1998
- Competency: Results-Oriented Solutions
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation
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Variable Annuities - Modeling Issues
Variable Annuities - Modeling Issues This session at the 1997 Valuation Actuary Symposium focuses ... of annuity business, testing the effects of dynamic lapses would be highly desirable. A final point ...- Authors: Thomas Campbell, Harry R Miller, Duncan Briggs
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Variable annuities; Modeling & Statistical Methods
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Health Cash-Flow Testing
Health Cash-Flow Testing 1997 Valuation Actuary Symposium, Session 5 explores health cash-flow ... do it as part of our dynamic capital adequacy testing. The NAIC calls it dynamic solvency testing. As ...- Authors: Kenneth Hammond, Donna C Novak, Kevin J Borchert
- Date: Sep 1997
- Competency: External Forces & Industry Knowledge
- Topics: Health & Disability; Modeling & Statistical Methods
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Practical and Theoretical Considerations in Strengthening Reserves Based on Cash-Flow Testing
currently. If we get into things like dynamic solvency testing or dynamic financial condition analysis (which ... asset adequacy analysis. Let's say you're doing dynamic financial analysis or you're doing pricing. You're ...- Authors: Sue Collins, Edward Robbins, Stephen A J Sedlak, Vincent Zink
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods
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Life Modeling
values in the model against the actual. With dynamic validation, you are usually looking at the moving ... one here, which is really kind of a subset of dynamic validation, called back testing. When you're ...- Authors: Harold Forbes, Thomas Nace, Louis M Pirog, Douglas Knowling
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Advanced Topics in Annuity Modeling
representative nonlevel scenarios to test the various dynamic elements of the model. Look at whether the crediting ... this -- the base lapse rate and, of course, the dynamic element. Both of these are extremely important ...- Authors: Francis Sabatini, Peter Tilley, Russell Osborn
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities; Modeling & Statistical Methods
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Dynamic Financial Condition Analysis Handbook Task Force
Dynamic Financial Condition Analysis Handbook Task Force Presented at October 1996 Annual Meeting. ... in Canada, and current research to support the Dynamic Financial Condition Analysis Handbook. Asset liability ...- Authors: William J Bugg, Michael Eckman, James Reiskytl, Judy L Strachan
- Date: Oct 1996
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Enterprise Risk Management>Financial management; Modeling & Statistical Methods
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Health Financial Projections - Short and Long Range
Health Financial Projections - Short and Long Range 1996 Valuation Actuary Symposium Proceedings, ... well. An extension of asset adequacy would be dynamic solvency testing, where you would include new ...- Authors: Paul Janus, Burton Jay, Max Rudolph, Brian S Reid
- Date: Sep 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Technology and the Actuarial Pricing Model - What Comes Next?
types of scenarios and conditions. We need more dynamic strategies, things that will simulate more proactive ... the calibration of models will come from more dynamic feedback from the systems that have been used to ...- Authors: Shane A Chalke, Thomas W Reese, Irwin T Vanderhoof, Douglas A George, Mark C Abbott
- Date: May 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Annuities>Pricing - Annuities; Life Insurance>Pricing - Life Insurance; Modeling & Statistical Methods; Technology & Applications>Software
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Liability Modeling I – Annuity Products
policyholder behavior first, which includes dynamic lapse rates, dynamic premium withdrawals and policy loans ... flow, withdrawal loans, and some of the other dynamic assumptions. TABLE 2 Lapse Model Development ...- Authors: Greg Mateja, Michael J Murphy, Meredith Ratajczak
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods
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Liability Modeling II - Life Insurance Products
policyholder behavior and that incorporates dynamic lapses, dynamic premiums, loans, and policy withdrawals ... back from business managers, then we fit our dynamic models. We don't have to be exact, but let's set ...- Authors: Greg Mateja, Michael J Murphy, Meredith Ratajczak
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Life Insurance; Modeling & Statistical Methods
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Interest Rate Model Risk
systems to give me more dynamic management action to go along with dynamic interest rate movement. ... relevance. On the other hand, when it comes to dynamic financial analysis -- stress testing and cash-flow ...- Authors: David N Becker, Michael E Mateja, Douglas A George, Peter Fitton
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Practitioners' Forum
regulatory role. I think this was brought up in the dynamic solvency testing debate a few years back. I think ... focused on the solvency of the company and do dynamic solvency testing? Or is it perhaps better to leave ...- Authors: Errol Cramer, James Hohmann, W. Michael Pressley, Stephen A J Sedlak
- Date: Jan 1996
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Financial Projections
assets backing them. We're going to have all the dynamic assumptions built in there, as far as interest-sensitive ... option-adjusted duration and convexity, for example. While dynamic solvency testing has been a hot issue, it currently ...- Authors: Meredith Ratajczak, Douglas Knowling
- Date: Sep 1995
- Competency: Strategic Insight and Integration>Management partnership; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management>Financial management; Modeling & Statistical Methods
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Asset/Liability Management
assumption. Rick's other key assumption was the dynamic lapse function on the liability side, and that's ... with. I don't know that anybody has ever done a dynamic lapse study of any value that says when we're ...- Authors: Mark Davis, Frederick W Jackson
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods
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Cash-Flow Testing Models and the Appointed Actuary
to carry out dynamic solvency testing (DST). The profession determined that this dynamic solvency testing ... ahead, for the time being, in order to fulfill the dynamic solvency testing requirement for property/casualty ...- Authors: Christopher David Daykin
- Date: Apr 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods; Public Policy
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Modeling What Constitutes a Good Predictor
reality in an acceptablefashion. We refer to this as dynamic validation. A major stumblingblockhere is the abilityto ... validationprocess. Let's consider premiumsin this dynamic validation. This is just kind of a run-through ...- Authors: Abraham Gootzeit, Douglas Menkes, Paul J Strong
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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General Modeling Issues
that would not meet this requirement is to use dynamic scenario analysis on one block and a gross premium ... over! It may never be, as we all look forward to dynamic solvency testing in the U.S. 175 1993 VALUATION ...- Authors: Barbara Snyder, Paul A Hekman, Jacqulynn Abdella
- Date: Jan 1993
- Competency: External Forces & Industry Knowledge
- Topics: Modeling & Statistical Methods; Public Policy
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Problems and Solutions
of those static projects attempted to make the dynamic connection between the asset and liability cash ... however, we do use them. Excess lapses and other dynamic assumptions were not always adequately tested.- Authors: Abraham Gootzeit, Application Administrator, Craig R Raymond
- Date: Jan 1993
- Competency: External Forces & Industry Knowledge
- Topics: Actuarial Profession>Best practices; Modeling & Statistical Methods; Public Policy
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Modeling Technologies
going to walk. You must be able to build those dynamic features into your model, without having to make ... have a great time. Next, the system needs to be dynamic with respect to the key drivers, allowing ready ...- Authors: Mark S Mahany, Thomas Nace, R Larry Warnock
- Date: Apr 1991
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods; Technology & Applications>Software
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Application Of Actuarial Analysis And Models To Evaluate Investment Features
allocation or some other method which implies a very dynamic and changing mix of assets, perhaps as frequently ... just pointed out on something that's not quite so dynamic? MR. WENDT: I'll talk about TPF&C. We have a model ...- Authors: Judy Feldman Anderson, John J Haley, Paul H Jackson, Richard Wendt
- Date: Apr 1989
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods; Pensions & Retirement>Assumptions and methods
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Current Research and Alternative Technologies
t ime that the investment s t rategy, is dynamic but it is felt that the above ph i losoph ies ... assumption is def ined as follows: the formula is dynamic, and is equa l to a baseline amount plus two times ...- Authors: Arnold Dicke, Douglas Doll, Gregory D Jacobs
- Date: Sep 1987
- Competency: External Forces & Industry Knowledge
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods
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Modeling Techniques for use in Testing the Scenarios Being Developed by the CIA Solvency Standards Committee
Modeling ... Multiple Calendar Years 6B-35 Slide 14 DYNAMIC MODEL CAPABILITIES • Expected basis - re-pricing ... - change assumptions • Investment policy - dynamic allocation policy • Sales plan • Management ...- Authors: David Congram, J Engels, Gary Mooney
- Date: Sep 1987
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Capital management - Finance & Investments; Modeling & Statistical Methods
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Solvency Standards in Canada
Solvency ... lvency Standards are , on the o ther hand, dynamic and very much concerned with fu ture so ... We are concerned with cont inuing solvency, a dynamic phenomenon. The test being proposed by the ...- Authors: Allan Brender, Robert Howard, David R Johnston
- Date: Jan 1987
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Public Policy
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Making Valuations Using Cash Flow Analysis
Making ... good and suf f i c ient reserves is t ru ly a dynamic one, and we undoubtedly sti l l have much ... l iabi l i t ies. Durat ion match ing is a dynamic s t ra tegy , espec ia l ly if in teres t ...- Authors: Joseph J Buff, Michael E Mateja, Michael R Tuohy
- Date: Oct 1986
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods
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Current Activities In Actuarial Research
required. Linear programming is a one-stage process. Dynamic programming extends the single-stage assumption ... PANEL DISCUSSION the early attempts to bring dynamic programming to bear on the problem of choosing ...- Authors: James W Dallas, Stuart Klugman, Harry H Panjer, Arnold Shapiro, Mark G. Doherty
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Experience Studies & Data; Modeling & Statistical Methods
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Cash Flow Analysis: A New Approach to Understand and Manage Risk
Cash Flow Analysis: A New Approach to Understand and Manage Risk From the 1985 Valuation Actuary Symposium ... averaged just 3 to 4 percent . TABLE 3-19 DYNAMIC VALUATION LAW I = .03 + W(Rl- .03) + w/Z(R2- ...- Authors: James A Geyer, Michael E Mateja
- Date: Jan 1985
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods
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Practical Applications Of Statistics And Operational Research For Actuaries
to 'communicate' their predicted out- come in a dynamic environment. To that end, a strategic premise for ... how they are applied, with recogni- tion of the dynamic nature of these fundamental concepts and that they ...- Authors: Robert P Clancy, James C Hickman, David Holland, Edward Robbins, James L Sweeney
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Actuarial Profession>Professional development; Modeling & Statistical Methods
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Possible Values vs. Expected Values
Possible Values vs. Expected Values An increasing need exists for the actuary to provide ... an account with National C S S. SOFASIM is a dynamic, integrated model. The overall view of a life insurance ...- Authors: James C Hickman, Application Administrator, R Stephen Radcliffe, Irwin T Vanderhoof, John C Wooddy
- Date: Oct 1981
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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A Corporate Model for GAAP, et Cetera
A Corporate Model for GAAP, et Cetera In this discussion, the panel recalls all of the ... company's earned rate of interest is by means of a dynamic simulation model. It seemed reasonable to Ed, John ...- Authors: Alice B Goldstein, John C Wooddy, Barbara G Markowitz, Harry M Markowitz
- Date: Apr 1979
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Modeling & Statistical Methods
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Degree, Depth, and Frequency of Actuarial Reports to Company Management
Degree, Depth, and Frequency of Actuarial Reports to Company Management This discussion focuses ... area of reporting to man- agement to be highly dynamic. Management's need for information is con- stantly ...- Authors: Barton H Clennon, Wilfred A Kraegel, Robert A Lyle, John A Maurer, John W Paige, Richard S Robertson
- Date: Mar 1975
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Actuarial Profession; Financial Reporting & Accounting; Modeling & Statistical Methods
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Corporate Diversification: Experience in the United States and Canada
Corporate Diversification: Experience in the United States and Canada Discussion of the diversification ... in order to keep our in- dustry growing and dynamic. By so doing, we might offset further in- cursions ...- Authors: Society of Actuaries, Robert Paul Brady, Howard T Cohn, Howard H Kayton, Sanford W Scott, Robert C Tookey, Frederick S Townsend, David A Wright, J Craig Davidson
- Date: Jan 1972
- Competency: Strategic Insight and Integration
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments; Global Perspectives; Modeling & Statistical Methods; Public Policy
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Digest of Discussion at Concurrent Sessions
Digest of Discussion at Concurrent Sessions The following topics were discussed at concurrent ... people's unsatisfied desires. This feature of a dynamic form of adaptation to change is much more pronounced ...- Authors: Society of Actuaries, Daniel M Arnold, Thomas P Bowles, Paul A Campbell, David R Carpenter, Daniel Case, Gary Corbett, J Dickson Crawford, Kiran Desai, Ralph E Edwards, Abraham Hazelcorn, Charles C Hewitt, Donald A Jones, Wilfred A Kraegel, Meno T Lake, J Alan Lauer, James Lee Lewis, Walter B Lowrie, John Mahder, J Clunas McKibbon, H Morris, Robert J Myers, Stewart G Nagler, Carl R Ohman, Franklin D Pendleton, Anna M Rappaport, Stuart A Robertson, D'Alton S Bill Rudd, Walter Rugland, Douglas O Sanders, Jesse M Schwartz, Frederic Seltzer, Barry L Shemin, Walter W Steffen, Frederick S Townsend, Howard Young, John E Hanson, RICHARD L MAURER, Charles Barry H. Watson, Charles L. Trowbridge, Richard W Ziock, Dale R Gustafson, John C Fraser, Wendell Milliman, Eugene F Porter, Schuyler W Tompson
- Date: Jun 1970
- Competency: External Forces & Industry Knowledge
- Publication Name: Transactions of the SOA
- Topics: Actuarial Profession; Economics>Financial economics; Life Insurance; Modeling & Statistical Methods; Pensions & Retirement>Assumptions and methods; Pensions & Retirement>Pension legislation and regulation