Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: A case study, in which we applied survival models to analyze the persistency of a life company in Asia and develop a strategy for actively managing the ...

Description: A discussion about the effects of living to 100 on the insurance industry.

Description: Pricing longevity swap reinsurance transactions consists of a number of different actuarial tasks, each of which hides potential pitfalls. The article outlines the pricing process, which includes a detailed analysis of current mortality experience of the portfolio to be transferred, choice and calibration of an appropriate model for mortality improvement trends and the calculation of a risk margin which reflects the uncertainty associated with the pricing best-estimate, which includes mis-estimation risk, model risk, longevity basis risk and stochastic uncertainty.

Description: A research paper that outlines a seamless method of deriving assumptions for modern reserving and solvency capital requirements from a company’s own data.