Description: Market consistent valuations require path-dependent discounting for scenarios. IFRS 17's requirement to discount best-estimate cashflows using locked-in rates could give non-sensical results in many instances. This article describes a technique for calibrating each of the scenario's cashflows so that they can be discounted with other discount factors or curves without distorting the value of underlying options and guarantees.

Description: Article Disparate Origins Of Life And Non-Life Insurances by Beard in The Actuary, February 1979, Volume 13, Number 2

Description: 2003 Valuation Actuary Symposium, San Diego, CA. In this Teaching Session the instructor discussed the importance of making sure the correct inferences were drawn from stochastic testing exercises. Topics included: 1. Applying the assumption of a normal distribution. 2. Drawing inferences about, and creating confidence intervals around, a population mean. 3. Drawing inferences about, and creating confidence intervals around, tail percentiles. 4. Certifying anticipated mortality under XXX in a mathematically concise way.

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: Read the April 2020 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Read the November 2019 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This paper presents an introduction to collective risk theory. In collective risk theory one seeks to investigate directly the risk enterprise as a whole. Primary interest is focused not upon the gains, losses, or claims from individual policies but upon the amount of total claims or the total gain arising from all the policies in the portfolio considered. Followed by several discussion papers submitted.

Description: In this paper, a mathematical model is constructed to study the deviations of claims, investment performance, operating expenses, and lapse expenses as random stochastic processes. Discussions of the paper submitted by 2 readers follows

Description: Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and result interpretation are morphing even though use of E.C. models has now been around for years.

Description: Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and result interpretation are morphing even though use of E.C. models has now been around for years.