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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more deference than other ... of model and calibration. Statistical methods 9/17/2019 12:00:00 AM ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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April issue of The Modeling Platform
LDTI (long duration targeted improvements), and IFRS 17 is coming. Not to men- tion, interest rates have ... regulatory and accounting changes, such as LDTI and IFRS 17, the actuary has been asked to make a lot of changes ...- Authors: Society of Actuaries
- Date: Apr 2020
- Competency: External Forces & Industry Knowledge; Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: The Modeling Platform
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Stochastic Embedded Value and Its Use in Risk Measurement and Financial Management: Part 2
financial reporting standards (IFRS). She's also a member of the Society's IFRS task force. Mike is a ... fair-value approach proposed at some point for IFRS Phase II, which companies opposed, many of the ...- Authors: Hubert B Mueller, Michael Hughes, Maria Mercedes Torres-Jorda, Penny Coulthard
- Date: May 2005
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Embedded value; Modeling & Statistical Methods>Stochastic models
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Need for Speed: How to optimize models for maximal run efficiency
Need for Speed: How to optimize models for maximal run efficiency Producing a crystal-clear balance ... reporting bases—including stat- utory, U.S. GAAP, IFRS and tax—modelers should strive to centralize the ...- Authors: Housseine Essaheb
- Date: May 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: CompAct
- Topics: Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Sensitivity testing; Modeling & Statistical Methods>Stochastic models; Technology & Applications>Automation
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Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products
Stochastic Pricing for Embedded Options in Life Insurance and Annuity Products The research investigates the challenges associated with determining a ... 52 655 17 2,553 947 22 ... 87 5 (17) 109 58 159 ...- Authors: Society of Actuaries, Timothy Hill, Dale Visser, Ricardo Trachtman
- Date: Oct 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Dynamic simulation models; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Sequential Credibility Evaluation via Stochastic Approximation
at stage n is of the form an = Alk_~ + AV(X) (17) and a corresponding risk sequence is of the form ... distribution we have P~-i ~- io "2 which conforms with (17). We now offer a modification for the risk and gain ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models
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Real-Time Stochastic Analysis
Real-Time Stochastic Analysis 1998 Valuation ... i3 2014 2015 20t6 ",• .: i i s l l s2! 17 - - s4 - - s3 _:~ - - sT I • • ,•• . ... , . :. -500 0 In - - s l - - s 2 17 _ _ s 3 - - s 4 _ _ s 5 - - s6 _ _ s ...- Authors: Frederick W Jackson, Mel Stein
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Stochastic models
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Stochastic Analysis Of Long Term Multiple-Decrement Contracts
.................................................17 Introduction to Stochastic Lapse .............. ... ................................................ 17 Stochastic Lapse Generator ....................- Authors: Matthew P Clark, Chad R Runchey
- Date: Jan 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Stochastic models
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A Cautionary Note on Pricing Longevity Index Swaps
A Cautionary Note on Pricing Longevity Index Swaps In December 2007, Goldman Sachs launched a product called ... qx,t1−qx,t = A1(t) + A2(t)x 1995 2000 2005 16.8 17 17.2 17.4 17.6 17.8 18 18.2 18.4 18.6 t ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models
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A Life Contingency Approach for Physical Assets: Create Volatility to Create Value
the formula that was used for M(t) in Figure 1. 17 represents about a 25 percent increase in the present ... replacement costs 0.0 0.5 1.0 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 Year of replacement C os t o ...- Authors: Thomas Emil Wendling
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Modeling & Statistical Methods>Stochastic models