Description: Discussion of the appropriate use of geometric versus arithmetic average returns to use in a stochastic interest rate generator to be equivalent to a deterministic single interest rate scenario.

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

Description: Summary of NAIC's Winter National Meeting

Description: With the adoption of the C-3 Phase 2 Project of the American Academy of Actuaries, it is now required that stochastic scenarios be developed for establishing reserves for variable annuities. This project has led to the idea of Principle-Based Reserving PBR where many of the same techniques will be used to set life insurance reserves. This article describes the choice of a Random Number Generator RNG to develop the random scenarios.

Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.

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: This article provides an overview of the different types of real world interest rate scenarios that practitioners use in the life insurance industry and explores different approaches to building those generators.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: Summary of the SOA research project on PBR Simplified Methods. Describes the multi-risk scenario generator, central estimate assumptions, assumption objectivity measures, and regulatory demonstrations per VM-20.

Description: This article presents a case study that examines the implication of using real-world interest rate scenario generators with a block of fixed deferred annuities. We contrast cash flow testing results based on New York 7 deterministic scenarios to stochastic scenarios generated with the Academy Interest Rate Generator , as well as an alternative economic scenario generator designed explicitly to capture the risk of a persistently low interest rate environment and the transition to a rising interest rate environment.