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: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

Description: More Efficient Monte Carlo Simulations for Mortality Assumption Testing

Description: This session from the 1995 Vancouver Meeting reexamines Monte Carlo solutions for actuarial problems. From the Record of the Society of Actuaries, Vol. 21, No. 3a.

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: An Overview of Stochastic Simulation modeling techniques and usages

Description: This article explains why stochastic modeling is becoming more pervasive, and describes a specific stochastic application with metrics to measure results.

Description: The article and guidebook of the same name use a stochastic simulation model to examine potential impacts of public pension plan risk-sharing policies on government employers and plan members. Policies examined include simple policies such as COLAs and employee contributions that are contingent upon investment returns or funded ratios, and more-complex policies similar to those used in the Wisconsin Retirement System.

Description: In 2003, the American Academy of Actuaries Life Capital Adequacy Subcommittee LCAS published a set of 10,000 stochastic scenarios that was intended to be used to support the publication, “Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Products with Guarantees Excluding Index Guarantees.” The primary purpose of this article is to illustrate statistical measures that can be used to evaluate stochastic simulations.