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Modeling the Variety of Decision Making
in risk management related calculations to use dynamic or stochastic models. One or several of the key ... evolutionary nature of things. Time and the dynamic behavior of systems — including across scales of ...- Date: Aug 2021
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Resurrecting the White Swan Mindset
environments like board games, often fail in real-world, dynamic, low signal-to-noise environments — such as financial ... this schema. For differing complex, adaptive, dynamic human-involved systems that are shaped, even defined ...- Authors: Guntram Fritz-Albin Werther, Max Rudolph
- Date: Aug 2021
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Principle-Based Reserves Simplified Methods
assumptions and properly reflect the material dynamic risks. C. Recommendations for approximations ... assumptions and properly reflect the material dynamic risks. Additionally, a benefit of performing ...- Authors: Mark Birdsall, Brian Hartman, Stephen Strommen
- Date: Jul 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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Demographic Perspectives on the Rise of Longevity
Demographic Perspectives on the Rise of Longevity This is the Demographic Perspectives on the ... population projections. In: Schoen R, editor. Dynamic demographic analysis: Springer; 2016. p. 285-310 ...- Authors: Marie-Pier Bergeron-Boucher, Francisco Villavicencio , James W Vaupel
- Date: Jul 2020
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Demography
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Future Long-Term Care in Canada
metrics as well.) The projection is performed in a dynamic way such that a large number of variables that ... entering the relevant variations, or shocks, to the dynamic elements in the baseline model, and the quantitative ...- Authors: Bonnie-Jeanne MacDonald, Sim Segal, Michael Wolfson
- Date: May 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Macroeconomics-Based Economic Scenario Generation
Macroeconomics-Based Economic Scenario Generation ... This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a ...- Authors: Kailan Shang
- Date: Apr 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Systemic Risk in China's Insurance Industry (English)
large number of financial institutions, based on a dynamic hazard rate model with macroeconomic covariates ... autoregressive conditionally heteroskedasticity-dynamic conditional correlation) model (Engle, 2002, 2009) ...- Authors: Lin Zhang
- Date: Mar 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Systemic Risk in China's Insurance Industry (Chinese)
Systemic Risk in China's Insurance Industry (Chinese) This report looks at identifying ... Princeton University Press, 2009. [32] Engle R F. Dynamic Conditional Correlation - A Simple Class of Multivariate ...- Authors: Lin Zhang
- Date: Mar 2020
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Practical Analysis of PBR Mortality Credibility for Term Insurance report
it has been realized, a concept we refer to as dynamic or retrospective mortality improvement. Mortality ... The load decreases through the projection as dynamic mortality improvement takes hold. Additionally ...- Authors: Society of Actuaries, Alijawad Hasham, Steven C Ekblad, Jordan Givan, Sebastian Kleber, David Paul Eckrich
- Date: Jun 2019
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Life Insurance
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Technology In Microinsurance
Technology In Microinsurance This literature review provides insights on emerging technologies ... The database, or Insurtech Tracker, provides a dynamic list of firms and organizations that operate Insurtech ...- Authors: Queenie Chow, Michael James McCord
- Date: May 2019
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession; Technology & Applications
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The Use of Predictive Analytics in the Canadian Life Insurance Industry
The Use of Predictive Analytics in the Canadian Life Insurance Industry The Canadian Institute of ... • [Pricing, experience study, and reserving] Dynamic price optimization • [Pricing, experience study ...- Authors: Deloitte
- Date: May 2019
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Life Insurance
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National Risk Management
appropriately long time horizon 4. Making the model dynamic to value/risk drivers 5. Projecting values with ... revenues and expenses. 5.1.4 Making the Model Dynamic to Value/Risk Drivers The ERM model must be designed ...- Authors: Society of Actuaries
- Date: Apr 2018
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Survey of Waiver of Premium/Monthly Deduction Rider Assumptions and Experience
Survey of Waiver of Premium/Monthly Deduction Rider Assumptions and Experience This paper summarizes ... specifically for income replacement, so the same dynamic may not translate to individual life disability ...- Authors: Jennifer Fleck, Paul Correia
- Date: Mar 2018
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Life Insurance
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2017-modern-deterministic-scenarios
reflect the current market environment and to be dynamic to future changes in the environment. The deterministic ... Because the MDS Scenario Set was designed to be dynamic with respect to the initial interest rate environment ...- Date: Sep 2017
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Life Insurance
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Impact of VM20 on Life Insurance Product Development-Phase 2
Impact of VM20 on Life Insurance Product Development-Phase 2 This research report is ... target age of 110 in Phase 1. The example includes dynamic logic to set lapses to zero once the product becomes ...- Authors: Paul Fedchak, Jacqueline M Keating, Karen Rudolph, Uri Sobel, Andrew Steenman
- Date: Jul 2017
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Life Insurance
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Reviewing Systemic Risk in the Insurance Industry
Reviewing Systemic Risk in the Insurance Industry Paper by Max Rudolph ... Once purchased it is unlikely to be sold. This creates a new dynamic for the market to absorb during a crisis. Will central banks ...- Authors: Society of Actuaries
- Date: Feb 2017
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
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Actuarial Model Governance: A Survey of Actuarial Modeling Governance and the Industry Evolution Report
Actuarial Model Governance: A Survey of Actuarial Modeling Governance and the Industry Evolution ... check all that apply.) Static validation Dynamic validation Peer review of model inputs Automated ...- Authors: 0483 - Deloitte Consulting LLP
- Date: Feb 2017
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Applied Robust Performance Analysis for Actuarial Applications
Applied Robust Performance Analysis for Actuarial Applications This paper investigates techniques ... University Press, 2008. [15] G. N. Iyengar. Robust dynamic programming. Mathematics of Operations Research ...- Authors: Qihe Tang, Zhongyi Yuan
- Date: Nov 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Living to 100 - Insight on the Challenges and Opportunities of Longevity
rates (as used in life insurance).[B-12] 3. Dynamic reliability in estimating mortality at advanced ... mono-2002-m-li-02-1-bourbeau.pdf A-13 Using Dynamic Reliability in Estimating Mortality at Advanced ...- Authors: Society of Actuaries
- Date: Oct 2016
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Demography>Mortality - Demography; Demography>Longevity; Experience Studies & Data>Morbidity; Experience Studies & Data>Mortality
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Extreme Events for Insurers: Correlation, Models and Mitigation Study
household financial analysis is a key to understanding dynamic policyholder behaviors. In a financial crisis ... high credit spread or default rate with adverse dynamic policyholder behavior can be used as a stress ...- Authors: Kailan Shang, Marc Alexandre Vincelli
- Date: Apr 2015
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Funding Public Health Insurance Plans Canada and Globally
needing health care and associated costs are dynamic and ever changing with the current pace of new ... changing health status. Actuaries can apply their dynamic modeling skills to quantify how medical advances ...- Date: Dec 2013
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Health & Disability>Health care
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Natural Resource Sustainability Summit Report
modeling expertise could be used to run static and dynamic projections that model the supply and demand of ... long time horizon. These considerations should be dynamic, possibly using complexity theory and complex ...- Authors: Max Rudolph, Society of Actuaries
- Date: Nov 2013
- Competency: Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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PBA Implementation Guide
strengths. Stochastic analysis, assumption setting and dynamic formulas, and nonpremium/benefit cash flows including ... will evaluate and analyze the formulas used in dynamic assumptions and the relationship between investment ...- Authors: Timothy Cardinal, Steven Stockman
- Date: Nov 2013
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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PBA Implementation Guide Case Studies & Templates
PBA Implementation Guide Case Studies & Templates This PBA Implementation Guide provides ... document key assumption sensitivity including dynamic formulas (interdependent with Model) 1.25 Analyze ...- Authors: Timothy Cardinal, Steven Stockman
- Date: Oct 2013
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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Literature Search Results: For the International Compendium of Health Behavior
Literature Search Results: For the International Compendium of Health Behavior This project shows ... coverage; Health Affairs; 2012 [*] Bolhaar J; A dynamic analysis of the demand for health insurance and ...- Authors: Alan Mills
- Date: Jun 2013
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Health & Disability>Health care
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How Fair Value Measurement Changes Risk Management Behavior in the Insurance Industry Report
How Fair Value Measurement Changes Risk Management Behavior in the Insurance Industry ... behavior. Unfortunately, much of the behavior is dynamic, and we certainly have not experienced every combination ...- Authors: Society of Actuaries, Mark Freedman
- Date: Feb 2013
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Fair value accounting
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Living to 100 - Insight on the Challenges and Opportunities of Longevity
Living ... to one year. [A-39] 16 | P a g e 3. Dynamic reliability in estimating mortality at advanced ... o-2002-m-li-02-1-bourbeau.pdf A-13 Using Dynamic Reliability in Estimating Mortality at Advanced ...- Authors: Jennifer Haid, Christopher Raham, Michael Kwan Yu Chan
- Date: Jan 2013
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Demography>Mortality - Demography; Demography>Longevity; Experience Studies & Data>Morbidity; Experience Studies & Data>Mortality
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Behavioral Simulations: Using agent-based modeling to understand policyholder behaviors
Behavioral Simulations: Using agent-based modeling to understand policyholder behaviors To expand ... stochastic approaches of modeling the base and dynamic behavior of policyholders. Such approaches suffer ...- Authors: Louis Lombardi
- Date: Dec 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Predictive Analytics; Technology & Applications
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Controlling Indirect Selection under Healthcare Reform
.................................. 62 30. A Dynamic System for Controlling Indirect Selection ... ... regulation, gets played out in the context of a dynamic game with adverse societal consequences. 21 ...- Authors: Tia Sawhney
- Date: Nov 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics>Health economics; Enterprise Risk Management>Risk measurement - ERM; Health & Disability>Payment models; Modeling & Statistical Methods>Data mining; Modeling & Statistical Methods>Modeling efficiency; Predictive Analytics
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Report On Pricing Using Market Consistent Embedded Value (MCEV)
given to discretionary management actions and dynamic policyholder behavior. Frictional costs of ... important that the TVOG calculation reflect any dynamic behavior favorable to the policyholder, as well ...- Authors: Zohair Motiwalla, David Wang, Novian Junus, Society of Actuaries
- Date: Jul 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Life Insurance
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A Users Guide to the Inflation Generator
A Users Guide to the Inflation Generator This is the User's Guide that accompanies the Inflation ... when performing cash flow testing or 3 dynamic financial analysis (DFA) where cash flows are related ...- Authors: Stephen P D'Arcy, Kevin Ahlgrim
- Date: Feb 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Optimal Reinsurance with Positive Dependence
Optimal Reinsurance with Positive Dependence This presentation discusses a process for determining ... for any convex function u(x). Application in Dynamic Model Consider a compound Poisson model: U(I1 ...- Authors: Jun Cai
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Reinsurance; Reinsurance>Coinsurance; Reinsurance>Stop-loss insurance
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An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s
An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial ... left-tail analysis was presented as well as a dynamic hedging approach. From Actuarial Research ...- Authors: Mathieu Boudreault, Maciej Augustyniak
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Equity-indexed annuities; Annuities>Variable annuities; Finance & Investments
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Catalogue and Survey on Embedded Options Report
options they mirror, are characterized by the dynamic of "asymmetry". "Asymmetry" in the context of this ... by the participant, etc.). As a result of this dynamic, the first option exhibits a much different risk ...- Date: Aug 2011
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement
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Policyholder Behavior in the Tail Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2010 Survey Results
55% last year. Fewer insurers reported using dynamic utilization for income benefits and withdrawal ... respondents use dynamic lapses for death benefits. Over 80% of respondents use dynamic lapses for living ...- Authors: Society of Actuaries
- Date: Dec 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Pricing - Annuities; Annuities>Variable annuities
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Reflecting Risk in Pricing Survey Report
captured through assumption stress testing and dynamic lapse. Operational risk is generally not specifically ... reported using assumption stress testing (37%) and dynamic lapse formula(24%), while 17% use assumption ...- Authors: Society of Actuaries, Margaret O'Connor, Robert Stone, Donna Christine Megregian, Oliver Gillespie, Wing Fung Wong
- Date: Sep 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Global Perspectives; Health & Disability>Health insurance; Life Insurance>Pricing - Life Insurance
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Enterprise Risk Management Practice as Applied to Health Insurers, Self-Insured Plans, and Health Finance Professionals Report
risk management (ERM) process is an iterative dynamic. The field is evolving as new issues and solutions ... Robert. 2008. “The Birth, Death and Resurrection of Dynamic Financial Analysis.” The Actuary, Oct/Nov.- Authors: Max Rudolph
- Date: Dec 2009
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Health & Disability>Health insurance
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Foreign Travel Reinsurer Survey Report
Foreign Travel Reinsurer Survey Report This report presents the results of a survey conducted ... under “Other,” namely: 1. hazardous area very dynamic; all pertinent information utilized to evaluate; ...- Authors: Application Administrator
- Date: Oct 2009
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Global Perspectives; Reinsurance
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Alternative Tools for Mortality Risk Management Survey Subcommittee Report
Alternative Tools for Mortality Risk Management Survey Subcommittee Report The attached report presents ... validate well 25% Experience not credible yet 5% Dynamic validation not done 5% # of Respondents 20 ...- Authors: Society of Actuaries
- Date: Aug 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Experience Studies & Data>Mortality; Modeling & Statistical Methods
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Policyholder Behavior in the Tail Risk Management Section Working Group Variable Annuity Guaranteed Benefits 2009 Survey Results
• The vast majority of insurers (90%) use dynamic lapses for living benefits; however, only 15% of ... out-of-the-money. • About 65% of insurers do not use dynamic lapses for death benefits. This is down slightly ...- Authors: Society of Actuaries
- Date: Jan 2009
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Policyholder behavior - Annuities; Annuities>Variable annuities
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A Multilevel Analysis of Intercompany Claim Counts
A Multilevel Analysis of Intercompany Claim Counts Automobile insurers classify the risks that ... (2001) and Bolance´ et al. (2003) introduced a dynamic element into the observed latent variable, again ...- Authors: Edward Frees, Emiliano Valdez, Katrien Antonio
- Date: May 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Stochastic Modeling in Actuarial Science and Financial Mathematics: A Research Experience for Undergraduates
actuarial science, financial scenario modeling, dynamic financial analysis (modeling an insurance organization ... (3) DynaMo – a public-access, Excel-based dynamic financial analysis (DFA) program. Downloadable ...- Authors: Richard Gorvett
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Academic partnerships
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Z-Factor Analysis Under A Principles-Based Approach For U.S. Life Insurance Products
491 1,183 308 5.73 234.7 8,124.5 3.8 9.5 6. No Dynamic Lapse 1,369 1,058 312 5.73 209.6 6,807.2 4.6 10 ... 295 5.73 237.8 7,002.8 4.2 9.9 9. Sens 7 with Dynamic Premium 1,687 1,383 304 5.73 139.0 3,225.9 9.4 ...- Authors: John Roeger, Yiping Yang
- Date: Oct 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Reserves - Annuities; Life Insurance>Reserves - Life Insurance
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Interest Rate Hedging on Traditional Life and Health
particularly that these results do not reflect any dynamic policyholder behavior. Were we to model, for example ... DV01 hedge strategy we used is not a completely dynamic strategy. It is a strategy in which positions ...- Authors: Craig Reynolds, David Wang
- Date: Sep 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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On the Application of the Wilkie Model to the TSX Price Index
On the Application of the Wilkie Model to the TSX Price Index For insurance companies, modeling ... Model The ARIMA–GARCH model is used to model the dynamic structure of long term time series, which are ...- Authors: Chao Qiu
- Date: Jul 2007
- Competency: Technical Skills & Analytical Problem Solving
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Market-Consistent Valuations of Life Insurance Business: The U.K. Experience
Market-Consistent Valuations of Life Insurance Business: The U.K. Experience U.K. life insurers ... upon the firm’s solvency; or that they adopt a dynamic investment strategy, e.g. changing their asset ...- Authors: Chris O'Brien
- Date: Jul 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting; Modeling & Statistical Methods; Public Policy
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Application of Structural Equation Modeling on the Linkage of Risk Management, Capital Management and Finanical Management for Insurance Industry
the insurance industry. In addition, with the dynamic features embedded in both asset and liability sides ... decision of its capital structure should be a dynamic process, and so is the linkage in the risk management ...- Authors: Min-Ming Wen, Hong-Jen Lin, Patricia Born
- Date: Jul 2007
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Capital management - Finance & Investments
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Enterprise Risk Management for Property-Casualty Insurance Companies
Enterprise Risk Management for Property-Casualty Insurance Companies This paper discusses a theoretical ... business, these are the players of the market dynamic. There is inherent uncertainty associated with ...- Date: Aug 2006
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management
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Pricing of Guaranteed Products for Defined Benefit Pension Funds
spot interest rate and s is a quality spread. Dynamic of the market value of the portfolio A is described ... getting a following equation for a market value dynamic dm D b r dt r s dt D r dt D r dwt t t t t t ...- Authors: Mark Saxonov
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Pension investments & asset liability management
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Policyholder Behavior in the Tail Risk Management Working Group - Variable Annuity Guaranteed Benefits Survey Results
out of 22) assume dynamic lapse behavior for GMDBs • Of those that do use dynamic lapses all four use ... Living Benefit Lapses 83% (15 out of 18) assume dynamic lapse behavior for living benefits • Of the 14 ...- Authors: Society of Actuaries
- Date: Dec 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Annuities>Variable annuities
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Financial Statement Disclosure: The Needs and Practices Related to Financial Risk
Financial Statement Disclosure: The Needs and Practices Related to Financial Risk This paper ... concerning policyholder behavior. Because of the dynamic and complex nature of these cash flows, stochastic ...- Authors: Robert Frasca, Gordon Andrew Tucker
- Date: Nov 2005
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting
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Retirement Probability Analyzer Software
most appropriate because they are equipped with dynamic link library (DLL) files, which the program relies ... have additional parameters governing their dynamic behavior. The variable annuity requires the following ...- Authors: Moshe Arye Milevsky
- Date: Aug 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Pensions & Retirement>Retirement risks; Technology & Applications>Software
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Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method
Estimation of Stochastic Volatility Models by Simulated Maximum Likelihood Method The ... Gaissian importance sampler with application to dynamic latent variable models”, Journal of Applied Econometrics ...- Authors: EUNJI CHOI
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments
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Modeling of Economic Series Coordinated with Interest Rate Scenarios: A progress report on research sponsored by the Casualty Actuarial Society and the Society of Actuaries
• A property-liability insurance company uses dynamic financial analysis (DFA) to compare alternative ... community. For example, a key aspect of the dynamic financial analysis process, which continues to ...- Authors: Stephen P D'Arcy, Richard Gorvett, Kevin Ahlgrim
- Date: Jan 2004
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Economics; Modeling & Statistical Methods>Stochastic models
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Pricing Perpetual Fund Protection With Withdrawal Option
derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before ... not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor ...- Authors: Hans U Gerber, Elias Shiu
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Interaction Between Asset Liability Management and Risk Theory: An Unsegmented and a Multidimensional Study
8.1 The basic model In this section, the dynamic evolution of the (m+n)-dimensional stochastic process ... Session, Firenze, 253-269. 22 Janssen J., 1995, "A dynamic stochastic ALM model for insurance companies", ...- Authors: Jacques Janssen, Griselda Deelstra
- Date: Jan 2002
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Risk Position Reporting
reports are broad in nature. n Reports will be more dynamic, in response to changing market conditions. n Report ... levels of new business n More frequent to reflect dynamic nature of product issuance Participants were asked ...- Authors: Mary M Wilson, Mary Gilkison, Anthony Dardis, Francois R Morin, Stephen Britt
- Date: Oct 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Financial Reporting & Accounting
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Chapter 8 - MINT: Modeling Income in the Near Term: U.S. Social Security Administration Near Term Retirement Income Model
with projected future incomes, it is not a true dynamic microsimulation model. MINT uses statistically ... modeling capability without requiring a full-fledged dynamic microsimulation model.” (Citro and Hanushek, 1997 ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: May 2001
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy; Social Insurance>Social Security
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Dynamic Financial Models of Life Insurers
Dynamic Financial Models of Life Insurers The Society of Actuaries seeks to provide actuaries of life ... economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis ...- Authors: James M Carson, Mark J Browne, ROBERT E HOYT
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Dynamic Financial Models of Life Insurers XLS Charts
Dynamic Financial Models of Life Insurers XLS Charts By identifying specific exogenous and insurer specific ... study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life ...- Authors: Mark J Browne, ROBERT E HOYT, James Michael Carson
- Date: Feb 2000
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models
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Chapter 11 PIMS Pension Insurance Modeling System
PIMS Year Zero = 1997 Simulation technique: Dynamic and stochastic microsimulation Solution algorithms ... outside professionals. Simulation Methodology Dynamic and stochastic microsimulation, longitudinal imputation ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 10 - Macroeconomic-Demographic Model of the U.S. Retirement Income System
Chapter 10 - Macroeconomic-Demographic Model of the U.S. Retirement Income System Chapter 10 ... recursive equations; lagged variables incorporate dynamic features. Solution algorithms and structure: ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Aug 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy; Social Insurance
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An Econometric Forecasting for the Social Security Trust Funds
An Econometric Forecasting for the Social Security Trust Funds The financing for Social Security ... notably by Sims (1980) as a way to estimate the dynamic relationships among jointly endogenous variables ...- Authors: H Shawn Lin
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Forecasting
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Portfolio Optimization in Corporate Models
toolbox. One of our next steps will be to employ a dynamic asset strategy through- out the projection period ... some of these methods to determine the optimal dynamic asset strategy to support a line of business.- Authors: William L Babcock, Steven Craighead
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation
Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit ... whereas the cash flow simulation model implements dynamic financial analysis. Logistic regression analysis ...- Authors: J David Cummins, Richard D Phillips, Martin F Grace
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
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Chapter 6 - DYNACAN: Canadian Microsimulation Model for Public Pension Analysis
Chapter 6 - DYNACAN: Canadian Microsimulation Model for Public Pension Analysis Chapter 6 of the Models ... Analysis. This chapter describes DYNACAN, a dynamic microsimulation model developed and maintained ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Sep 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Investigation of Unfunded Liability in a Simplified Pension Fund Model
Investigation of Unfunded Liability in a Simplified Pension Fund Model This paper develops ... Clearing House 1998 Vol. 2. Deterministic models;Dynamic simulation models;Stochastic models;Interest rate ...- Authors: P.W.A. Dayananda
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Pensions & Retirement>Funding
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Chapter 1 - Modeling for Retirement Policy Analysis
structure of the economy and were static rather than dynamic. Physical outputs of industries were assumed to ... October 22, 19971-3 versions have incorporated dynamic features and permitted variable proportions of ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 5 - CORSIM
Cornell Microsimulation Model, which is a large dynamic microsimulation model developed and maintained ... at Cornell University. CORSIM is a large-scale dynamic microsimulation model. It simulates the basic demographic ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Oct 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 4 PRISM
Chapter 4 PRISM Chapter 4 of Models for Retirement Policy Analysis. The PRISM ... Pension and Retirement Income Simulation Model is a dynamic microsimulation model designed to simulate the ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Sep 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 3 DYNASIM
Chapter 3 DYNASIM Chapter 3 of the Models for Retirement Policy Analysis. This chapter ... describes the Dynamic Simulation of Model Income DYNASIM which was the first large scale dynamic microsimulation ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Aug 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Chapter 2 - Microanalytic Simulation Models
. . . . . . . 2-3 IV. STOCHASTIC FEATURES OF DYNAMIC MODELS . . . . . . . . . . . . . . . . . 2-5 V ... have been used in pension policy analysis are the Dynamic Simulation of Income Model (DYNASIM), developed ...- Authors: Society of Actuaries, Joseph M Anderson
- Date: Jul 1997
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Public Policy
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Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models for Australian Data
Stochastic Investment Models: Unit Roots, Cointegration, State Space and Garch Models ... Muscatelli, V. A. and S. Hum. (1992). Cointegration and Dynamic Time Series Models, Journal of Economic Surveys ...- Authors: Michael Sherris, Ben Zehnwirth, Leanna Tedesco
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Estimating Long-Term Returns in Stochastic Interest Rate Models
Estimating Long-Term Returns in Stochastic Interest Rate Models This paper addresses the evaluation ... of interest rate process. The paper derived a dynamic model for aver- age short rate over time to Illal ...- Authors: Lijia Guo, Zenghui Huang
- Date: Jan 1997
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Graduation by Kernel and Adaptive Kernel Methods with a Boundary Correction
Verrall [58] views Whittaker graduation as a dynamic generalized linear model. 2.2.1 Choice of Kernel ... like to thank Glenn Stone for the use of his dynamic spline fitting program. It was used to produce ...- Authors: Steven Haberman, Richard Verrall, JOHN EMMETT GAVIN
- Date: Oct 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Life Insurance; Modeling & Statistical Methods