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 report introduces quantum computing to actuaries. In addition, this research will assess and identify areas in the insurance field where quantum computing can make a difference, accompanied with suggested algorithms.

Description: This paper provides actuaries with background and scientific knowledge to understand global climate change and climate model projections for the 21st century.

Description: This research report is a summary of an online survey and follow-up discussions with survey respondents on the current state of actuarial modeling controls within U. S. and Canadian life insurance and annuity companies. The current state was then compared to the results from the 2012 survey on this topic to examine the evolution in actuarial model controls and governance. The report also provides an industry assessment and proposes considerations for enhancing the current state towards a well-controlled governance framework.

Description: This presentation discusses a process for determining the minimum reinsurance retention level consistent with defined parameters. The conclusions reached were: 1. Under PDS dependence, optimal reinsurance strategy is multivariate stop loss form. 2. Explicit solutions could be derived in certain bivariate model. 3. Binding and unbinding constraints are equivalent. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: An introduction to the field of Complexity Science. The report includes an overview of the field’s key results, detailed instructions for building Complexity Science models, examples of working models, review of practical models applicable to the work of actuaries, a literature review, and a discussion on how actuaries can apply Complexity Science in their work.

Description: This is the final report of a survey of life insurance companies on the cost of implementing the new principle-based statutory accounting framework.

Description: The attached report presents the results of a survey conducted by the Society of Actuaries Mortality and Underwriting Survey Committee in July of 2008 under the following categories: 1. Modeling Mortality Risk. 2. Use of Reinsurance to Manage Mortality. 3. Retention / Large Case Management. 4. Catastrophe Reinsurance. 5. Mortality Concentration of Risk. 6. Catastrophic Bonds.

Description: This is a final report for a research project to create reference material that addresses the methods and techniques for quantifying margins for uncertainty in actuarial assumptions under a Principle-based statutory accounting framework.

Description: Automobile insurers classify the risks that they underwrite in order to subdivide the portfolio into classes of risks with similar profiles. While some insurers may have sufficient historical data, several others may not have significant volume of experience data in order to produce reliable claims predictions to help enhance their risk classification systems. A database containing a pooled experience of several insurers thereby helps to produce a more fair, reliable, and equitable premium structure for all risks concerned. This paper uses multilevel models to analyze the data on claim counts provided by the General Insurance Association of Singapore, an organization consisting of most of the general insurers in Singapore. The multilevel nature of the data is due to the following: a certain vehicle is observed over a period of years and is insured by a particular insurance company under a certain 'fleet' policy. The authors show how intercompany data lead to a priori premiums and a posteriori corrections to these initial premiums. Specific focus is made in understanding the intercompany effects using various count distribution models [Poisson, negative binomial, zero–inflated and hurdle Poisson]. The performance of these various models is compared the authors also investigate how to use the historical claims of a company, fleet and/or vehicle in order to correct for the premium initially set.

Description: U.K. life insurers writing participating business are required by the Financial Services Authority to value their assets and liabilities on a market-consistent basis. The purpose of this paper is to: • Explain the valuation approach based on market-consistent values and its rationale. • Set out the issues faced by life insurers in implementing the regime. • Explain how insurers addressed these issues. • Explain the importance of the modeling techniques they used.

Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: In December 1997, the Society of Actuaries held a conference whose focus was actuarial and financial modeling. During the course of that conference, one of the speakers mentioned a number of technologies his firm was using for modeling, which were either unfamiliar or only vaguely familiar to some of the audience. The purpose of this paper is to define each of the technologies mentioned during that presentation and to briefly describe their distinguishing characteristics. The technologies discussed in this paper are statistical pattern recognition [SPR], neural networks [NNs], genetic algorithms [GAs], simulated annealing, fractal analysis, chaos theory, rule induction, data fusion algorithms [DFAs], data compression, fuzzy logic, case-based reasoning, and expert systems.

Description: This paper explores the flexibility of kernel estimation as a means of nonparametric graduation and relates it to moving-weighted-average graduation. From Transactions of Society of Actuaries 1995, Vol. 47.

Description: This paper reviews the applications of operations research methods in the insurance industry. From Transactions of Society of Actuaries 1995, Vol. 47.

Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: This is the abstract for the paper entitled 'Pricing Long Term Insurance Contracts.' This paper considers several models describing the changes in the needs of the insured for care over time. From Actuarial Research Clearing House 1994, VOL. 1.

Description: Easy access computing power is harnessed to approximate ruin probabilities. The dynamics of the traditional insurance model are stated in the form of period to period constraints. This allows the development of a life-table with the survival probabilities for a given set of parameters. Given the spreadsheet approach of the model, sensitivity analysis to study the impact of different parameter values and loss variable distributions can be easily implemented.

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: This paper describes risk-factor-dependent multiple decrements and actuarial cost functions as a general compartment model, a discrete time and discrete state stochastic model of morbidity and mortality processes. For large numbers of risk factors, the model is extended to its natural continuous time and state form. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper presents a unifying non-Bayesian statistical method for incorporating prior information into the determination of probability distributions and other finite measures and develops the statistical properties of this method together with actuarial applications. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper examines four and-a-half years of prescription records for an elderly population who have relatively comprehensive out-of-hospital drug coverage under the Pharmaceutical Assistance Contract for the Elderly program in Pennsylvania. The result is a discussion of the determination of non-parametric estimations of the distributions. From Actuarial Research Clearing House 1991, Vol 1.

Description: Option bounds are obtained in a discrete-time framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option pricing model to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate replicating portfolio at each trading interval. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This paper develops a theory for the valuation of some kinds of interest sensitive cash flows. A process is derived which takes as input, assumptions about the capital markets and policy holder behaviour, and produces as output interest and decrement assumptions which can be used for conventional actuarial discounting. The methodology is illustrated using some idealized, but tractable, models of conventional non-par whole life insurance. The method is also applied to a simple Universal Life plan. The paper concludes by considering some of the problems encountered when applying the ideas to more practical problems.

Description: This paper studies the statistical theory underlying minimum surplus required to protect a group insurer from the insurance, or C2, risk. Followed by 2 submitted discussion papers

Description: In this paper an algorithm is derived for computing the distribution of aggregate claims for the individual risk theory model. From Transactions of Society of Actuaries 1983, Vol. 35.

Description: This paper looks at mathematical problems formulated in either explicit or implicit form. Followed by several discussion papers submitted

Description: The actuarial profession is faced with a problem of determining delta-ized reserves on a basis which will include appropriate provision for adverse deviations in mortality, lapses, interest rates, and expense rates. This paper describes briefly a method which could be used to solve this Followed by papers submitted by 2 authors problem in a flexible manner.

Description: In this paper, a mathematical model is constructed to study the deviations of claims, investment performance, operating expenses, and lapse expenses as random stochastic processes. Discussions of the paper submitted by 2 readers follows

Description: This is a discussion about computer models and simulation tools for life insurance companies. From Transactions of Society of Actuaries 1969, Vol. 21, No. 59AB

Description: The purpose of this paper is to describe the application of the Monte Carlo technique to a practical situation in a company, group term rate making. It included a discussion of some of the problems encountered and the solution to these problems. Followed by several discussion papers submitted

Description: This paper surveys the actuarial techniques connected with salary scale mathematics for the valuation of defined benefit pension plans. Followed by several discussion papers submitted