Description: Describes using the new multi-risk scenario generator to create sensitivity tests at moderately adverse probability levels, resulting in margins to use for PBR.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

Description: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, and model efficiency.

Description: The April 2016 Issue of The Modeling Platform

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: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders of an insurance company in setting appropriate capital targets.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: The panel demonstrates a technique that can help set confidence intervals regarding future rate increases used to satisfy the NAIC rate stabilization model. Specific topics include creating a stochastic model, deciding which variables are deterministic vs. stochastic, developing probability distributions for the stochastic variables, running the model and evaluating the reasonableness of results. From the Record of the Society of Actuaries, Volume 30, No. 1, Session 21

Description: This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing callable bonds in continuous time models. Results are directly applicable to regulatory scenario testing, immunization and market value accounting.