Description: This paper proposes the use of stochastic compartment model methods for estimating both the current direct and current indirect costs of specific cancers and for forecasting future direct and indirect costs. From Transactions of Society of Actuaries 1982, Vol. 34.

Description: The April 2016 Issue of The Modeling Platform

Description: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. 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.

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

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: 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.

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: The panel demonstrates a technique that can help set confidence intervals regarding future rate increases used to satisfy the NAIC rate stabilization model. Specific topics include creating a stochastic model, deciding which variables are deterministic vs. stochastic, developing probability distributions for the stochastic variables, running the model and evaluating the reasonableness of results. From the Record of the Society of Actuaries, Volume 30, No. 1, Session 21