Description: Constant Proportion Portfolio Insurance (CPPI) performance is assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”.

Description: Read the August 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: The article explores the possibility of using the emerging technology for life insurers to build a monitor system for better risk and profitability management.

Description: How Vitality's Shared Value insurance model aligns the incentives of policyholders with insurer to improve health and create and share actuarial surplus.

Description: Applying behavioral-science and shared-value principles to insurance is a win-win proposition for both insurers and clients.

Description: This paper applies GPUs and deep learning to achieve orders of magnitude performance improvement in the valuation of large portfolios of variable annuities.

Description: An introduction to creating Shiny web applications, with sample code available to reproduce the interactive application displayed in screenshots in the article.

Description: Chairperson's Corner

Description: Read the French language version of the March 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Read the March 2018 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Read the February 2018 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: This interview article summarizes the work being done by a Health Section Strategic Initiative Committee.

Description: Overview and review of books to teach yourself about deep learning.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

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: Read the June 2017 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: In this article, we are going to discuss the AR model by making connections to time-dependent ordinary differential equations.

Description: Short descriptions of the various articles in the June issue.

Description: The standard for measuring retirement income adequacy has been the final earnings replacement rate (usually targeted at 70%). But - does it work?

Description: Read the March 2017 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: This is the second article in a two-part series examining the potential value to companies of implementing a company profitability and risk dashboard.

Description: The financial sector should provide financial security and allocate capital well. As its preeminent professionals actuaries have particular responsibilities.

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

Description: This article describes how to model variable annuities using a GPU along with some of the stumbling blocks.

Description: This article is the first installment of a three-part series and is focused on providing an overview of LTC modeling approaches and considerations.

Description: Discussing impacts of innovation on the actuarial industry.

Description: The article discusses the sustainability of the ACA individual market from a public entitlement standpoint. A key point of measuring sustainability is the reliance on market forces rather than federal budget constraints. The article explains why an actuarial viewpoint of sustainability is necessary to a greater extent than other public assistance and social insurance programs. The article challenges actuaries to be a bold, objective voice in a space that is full of opinionated but often uninformed viewpoints.

Description: In a very general setting this paper describes a straightforward, non-parametric approach to aggregate "stand-alone" or marginal distributions with desired correlations without imposing additional assumptions on those marginals. We then develop two optimizations for the enterprise, one based on maximizing return on economic capital and the other based on a mean -semivariance efficient frontier from the investor point of view.

Description: Highlights a new research paper on determining discount rates for pension plans, by John Turner. The paper breaks new ground on deciding on the appropriate discount rate for untradeable benefit obligations, with a comprehensive summary of the field.

Description: Read the August 2016 issue of Risk Management published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

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: Building on the Part 1 article, Introduction to the Representative Scenarios Method, this article describes testing the methodology with respect to four product types, fixed indexed annuities with GLIBs, level term life insurance, universal life with secondary guarantees, and variable annuities with GLWBs. This Part 2 article describes testing results, refinements to the RSM methodology, and next steps.

Description: Metadata for entire issue

Description: February issue of The Stepping Stone

Description: Summary of Investment Council sponsored meetings as 2015 annual meeting

Description: The article explores the use of economic capital modeling to deliver value to clients by improving the financial security of many individual lives around the world in a cost-effective way.

Description: Health Watch, Issue 79, December 2015, Health Watch

Description: Looks at free and inexpensive resources for the novice in predictive analytics, covering the data analysis theory as well as the most commonly used languages/software used in the field.

Description: After a summary of FASB decisions in their GAAP Targeted Improvements project, this article describes several issues that will need to be resolved either by the board or in actuarial practice and argues for seeking solutions that provide meaningful results without overly complicating valuation processes.

Description: How predictive analytics techniques can be used in the health practice.

Description: The Stepping Stone issue 60, November 2015

Description: An in-depth look at how actuarial skills and competencies picked up in the field can be applied to topics that aren't traditionally actuarial - with this article focusing on card counting in the casino game blackjack.

Description: Examination of full surrender and benefit utilization industry experience for Variable Annuities with and without Guaranteed Lifetime Withdrawal Benefits. Part 1 of 3 articles focuses on full surrenders and building a dynamic surrender function using predictive modeling tools.

Description: Recaps April 2015 seminar on derivatives use for fund managers and insurers in China. Describes growth in Chinese derivatives market including CSI 300 futures

Description: This article summarizes the presentations by the Society of Actuaries and the Academy of Actuaries at the January 2015 National Academy of Social Insurance (NASI) Roundtables in Washington DC. SOA presented on the 2014 SOA monograph series "The Link between Retirement Security and Long-Term Care."

Description: The article describes a dynamic investment strategy for defined benefit pension funds to de-risk the plan by changing the asset mix based on the funded ratio.

Description: Compares how other industries (in this case, Fast Food) researches and tests new products. Provides examples of how the insurance industry can efficiently research and test new product concepts before going to market.

Description: This article discussed the NEAT family of neural network algorithms. NEAT automatically determines the number of hidden neurons, as well as their structure. Additionally HyperNEAT can scale to very large problem domains.

Description: The article is a case study of various actuarial concepts invovled in the design and implementtion of the AQC - a global budget provider payment arrangement implemented by Blue Cross Blue Shield of MA.

Description: The Society of Actuaries' managing director of actuarial research provided an overview of research activities including the funding behind research projects and the staff/volunteers involved with research.

Description: This article addresses the issues of short-term volatility, the non-equivalency of traders and, how product development is being impacted by market consistency.

Description: In this paper, Honorable Mention Essay for the Society of Actuaries' Entrepreneurial Actuaries Section 2010 Papers Competition, the author examines the rapidly increasing costs of maintaining the U.S. prison system and the fiscal pressures the federal and state governments are faced with, and proposes a plan for an early prisoner release program “with a rigorous, merit-based approach that can be expected to demonstrate favorable outcomes for the general public and the released prisoner.” This plan involves “an optimized process for evaluating the perils associated with freeing candidates eligible for early release - an individualized assessment and quantification of those risks…” The article goes on to describe the costs, benefits, risks, and critical success factors. The report includes two appendices.

Description: This article describes a ranking system for early prisoner release. It is intended to describe the framework and strategy needed for mitigating the risk of such programs and optimizing those programs’ outcomes.

Description: This article provides some insights into the creativity employed in cash flow testing to help ensure the sound survival of small companies that have limited means.

Description: A discussion of a the Colombian Army Forces pension plan model.

Description: The last few years have seen a dramatic change in the way that insurance products are priced. If we traveled back in time 15 to 20 years, we would see a world where most insurance products were priced on the basis of a few static scenarios. In the last several years, pricing on a stochastic basis has become more mainstream—at least for contracts with embedded guarantees.

Description: A disscussion of actuar R, an R package for actuarial science, and its facilities in the fields of loss distribution modeling, risk theory and credibility theory.

Description: This article looks at an extensive integrated collection of financial mathematical modeling packages available in R, a language and environment for statistical computing.

Description: An introduction to ultimate life insurance, a product intended to be flexible enough to meet consumers' needs over their lifetimes. The paper gives some illustrations and discusses the Ultimate Life Financial Risk Analysis computer program.

Description: 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. In addition, the paper introduces a technique for estimating capital adequacy that is based on mapping stochastic distributions of regulatory and rating agency capital measures to observable financial rating transition matrices.

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: Measurement of the Volatility Risk of Traditional Actuarial Risks for use in pricing and reserving

Description: This article discusses an upcoming SOA/CAS sponsored project regarding the Modeling of Economic Series Coordinated with Interest Rate Scenarios.

Description: This paper discusses the usage of dynamic i.e. open group pension plan valuation in the current and possible future regulatory environment. From The Pension Forum, August 2001, Volume 13, Issue No. 1.

Description: Discussion of the skills actuaries need going forward to be successful, and hence, incorporated into the new actuarial exam syllabus.

Description: This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This paper sets out, in algorithm form, a one-factor term structure model of interest rates and illustrates the application of such a model to the valuation of loans with prepayment provisions. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This article discusses the need for a sophisticated modeling system capable of analyzing the impact of the variables present in pension plan projections and providing management with information which it may act upon.

Description: This article is a review and discussion of the 1976 “Report of the Consultant Panel on Social Security to the United States Congressional Research Service.” The report contains the results of another government-initiated study of the OASDI system which puts forth a second solution to a problem first publicly identified by the 1975 Advisory Council on Social Security, a problem which has come to be known as the “decoupling issue.” Because the solution proposed by the actuaries and economists making up this consultant panel is significantly different from that of the Advisory Council, this report has inspired some degree of friendly debate among actuaries and others interested in the technicalities of the OASDI benefit formula. Panel members are Peter A. Diamond, James C. Hickman, Ernest J. Moorhead, and William C. Hsiao, Chairman.