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: The April 2016 Issue of The Modeling Platform

Description: This article describes the key elements of a review of an economic scenario generator (ESG), including scoping, parameters, models, and model efficiency.

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: The research investigates the challenges associated with determining a “fair value” assessment for embedded options in two product types and incorporates the process into product pricing and liability valuation

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.