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: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, 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: Article Disparate Origins Of Life And Non-Life Insurances by Beard in The Actuary, February 1979, Volume 13, Number 2

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

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: Looking for volunteer organizations to help Academy test new modeling techniques 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.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: Continuation of article from previous issue. This article illustrates the practical and financial implications of applying nested stochastic techniques to a sample product.