Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.

Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

Description: This session covers stochastic modeling processes currently in use and explores others that may be beneficial to health actuaries. From the Record of the Society of Actuaries, Vol. 31, No. 2, Session 76

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 This session discusses emerging capital and reserve requirements on Variable annuities with guaranteed benefits and the effect that hedging/capital management strategies can have.

Description: Presentation from the 41st Actuarial Research Conference held in August, 2006 in Montreal. This presentation extends the traditional Sparre Anderson model of ruin theory, using an Erlang distribution for inter-claim times and geometric Brownial motion for asset returns.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: Panelists discuss economic capital, capital modeling, and hedge modeling, especially for guaranteed living benefits [GLBs] on variable annuities. Session 34PD of the 2005 Valuation Actuary Symposium.

Description: This session presents a summary of actuarial and potential uses of stochastic modeling for health actuaries. Three case studies are presented: rating health plan reimbursement provisions, developing claim liabilities, and defining appropriate reinsurance levels. From the Record of the Society of Actuaries, Volume 30, No. 1, Session 18

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.