Description: Career changes typically follow a major milestone—a promotion, a job offer, a new degree, maybe a cross-country move. For Patrick Getzen, exposure to some new perspectives ignited a shift.

Description: China’s pension system has transformed from traditional retirement system based on command economy to modern pension system based on market economy.

Description: The transportation industry is in the early stages of profound changes, due to development of sophisticated driving safety and automation technologies.

Description: In this article, we will describe EY’s five-pillar approach that balances practicality with comprehensiveness, and how this applies to LTC model validation.

Description: Read the October 2018 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: As companies implement PBR, this article outlines challenges regarding the treatment of accelerated underwriting under VM-20 and in light of future innovation.

Description: A plain-language, high-level explanation of employer withdrawal liability issues, including how they grew to be large and barriers to their collection.

Description: The article explores the possibility of using the emerging technology for life insurers to build a monitor system for better risk and profitability management.

Description: The article describes changes to the computation of tax reserves as a result of the Tax Cuts and Jobs Act.

Description: This article is to outline the new requirements for valuation rates in VM-22, highlighting key differences and example calculations to enhance understanding.

Description: The article discusses industry practices relating to US GAAP SOP 03-1 valuation for universal life with secondary guarantee products.

Description: Read the February 2018 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: This study is intended to educate insurance professionals on historical insurer impairments and insolvencies and possible future prevention indicators.

Description: The Society of Actuaries (SOA) and the LIMRA Secure Retirement Institute are pleased to present the results of new research on the retirement market in China.

Description: Read the March 2017 issue of The Financial Reporter published by the Financial Reporting Section.

Description: Read the June 2017 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: Read the June 2017 issue of Predictive Analytics and Futurism published by the Predictive Analytics and Futurism Section.

Description: Study of the impact of IRS proposed mortality tables on private sector pension plan costs, including liabilities, contributions and PBGC premiums.

Description: Read the March 2017 issue of Health Watch, published by the Health Section. Practical information for actuaries, articles impact sections, section activities.

Description: On October 30, 2015, the SOA Assumption Development and Governance Group, an informal discussion group consisting of nearly 200 interested actuaries with topics pertaining to actuarial assumption development and governance, organized an industry discussion call on end-to-end assumption documentation practices. The purpose of this call was to generate a large list of ideas for best-practice assumption documentation. More than thirty companies were represented in the call, including direct insurers, reinsurers and consulting firms. This article is the work product of the discussion written by Laurie Li and Alex Zaidlin.

Description: question and look for ways to make improvements on things by making them more efficient and intuitive. Mehmud did not study actuarial science in school. He earned a degree in mathematics and physics while taking courses like Asian history and skeptical thinking. In retrospect, he said, his exposure to a liberal arts education allowed him to view problems with a multifaceted perspective.

Description: The SOA provides information about the actuarial career path in health care and predictive analytics. Throughout 2016, we will share more about actuaries who are tackling some of the industry's biggest challenges and hear from top employers in healthcare analytics.

Description: On October 30, 2015, the SOA Assumption Development and Governance Group, an informal discussion group consisting of nearly 200 interested actuaries with topics pertaining to actuarial assumption development and governance, organized an industry discussion call on end-to-end assumption documentation practices. The purpose of this call was to generate a large list of ideas for best-practice assumption documentation. More than thirty companies were represented in the call, including direct insurers, reinsurers and consulting firms. This article is the work product of the discussion written by Laurie Li and Alex Zaidlin.

Description: Metadata for entire issue

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: The article explores the use of economic capital modeling to deliver value to clients by improving the financial security of many individual lives around the world in a cost-effective way.

Description: December 2015 issue of The Financial Reporter

Description: The next evolution of actuarial systems in the U.S. will likely be a move toward a single system solution. This article defines a single system solution and illustrates how models can be shared across actuarial functions, the potential benefits of a single system solution, and describes potential mitigation strategies to address typical actuarial concerns.

Description: The rapid pace of change within the reinsurance sector over the past few years has given way to the permutations of a “new reality” that is being shaped by abundant capacity from traditional and alternative sources.

Description: The article focuses on the use of predictive analytics in the development of experience studies, pros and cons of using predictive analytics versus traditional techniques, and the implications for setting assumptions and improving profitability.

Description: October 2015 issue of CompAct, the technology section's member benefit newsletter.

Description: NewsDirect September 2015 Issue

Description: Essential Health Benefits and Actuarial Value

Description: In physics and engineering education, Fermi problems require solutions based on good approximate calculations with little or no actual data, involving making justified guesses and deducing bounds without using sophisticated tools. The idea of Fermi problems are of particular relevance to today's actuaries, as pricing, reserving, and financial reporting involve more and more complex stochastic components. The paper discusses some approximate solutions developed in academia in the spirit of Fermi problems.

Description: A survey report designed to provide an overview of the current state of the industry’s preparedness for implementing PBR.

Description: Using the recent West Africa Ebola outbreak as an example, the authors discuss several modeling approaches that can be useful for estimating pandemic risk.

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: Investment Fallacies: Mathematical modeling of social phenomena

Description: Investment Fallacies: The Myth of Time Diversification

Description: The author delves into other important parts that should be in the scope of model validation besides the code.

Description: The editorial cautions that while the development of more sophisticated models may increase efficiency, it is important to consider the very real risk management costs associated with the increased complexity, efficiency and overconfidence in the predictive power of models.

Description: Research is a primary mission of the Financial Reporting Section and is the largest use of section dues. This scorecard will keep section members informed about research projects sponsored or co-sponsored by the section.

Description: The author uses a reprint of an article from the very first edition of the “News from the Individual Life Insurance and Annuity Product Development Section” and assistance from the Taxation Section Council and Friends of that Council to decipher the changes between the life insurance tax environment back in the 1980s compared to today.

Description: The July 2013 issue of the SOA’s Forecasting & Futurism section’s newsletter, Forecasting & Futurism.

Description: Feature article discussing the changes the International Accounting Standards Board’s new accounting standard will bring.

Description: The U.K. Pension Protection Fund (PPF) was established in April 2005 to protect the pensions of members of U.K. private sector defined benefit pension schemes that have insufficient assets and whose corporate sponsor fails. The Fund takes over the pension scheme assets and assumes responsibility for the payment of compensation to the former members of the scheme. The PPF is funded by a levy on the population of eligible schemes. To improve its ERM framework, the PPF has undertaken a reverse stress testing exercise. This analysis provided the organization with new insights into its risk profile, the scenarios leading to the PPF’s potential “failure,” and interactions between these scenarios. This paper discusses the principles and objectives of reverse stress testing in the special case of the PPF and then illustrates the application of complex system science techniques for the purpose of reverse stress testing.

Description: To deal with future correlation crises, the author suggests the implementation of ‘’quanlitative analysts’’ (‘Quanls’) in the enterprise risk management (ERM) process: risk managers who are able to lead interdisciplinary ERM studies from a jointly qualitative and quantitative point of view, with an emphasis on dynamics.

Description: The ORSA should be more than a compliance requirement -- its process should be an integral element of a company's governance and risk and strategic planning process used by both management and the board on a regular feedback loop basis. Similar to that used for ERM, it along with a carefully constructed set of metrics should serve as the springboard to be used to identify, control and mitigate short- and long-term risks, as well as to enable exploitation of opportunities to add shareholder and policyholder value. Risk can represent an opportunity from which insurers can leverage their knowledge and risk management capabilities to find and maintain a competitive edge. Part of the essay collection "Risk Metrics for Decision Making and ORSA"

Description: Actuaries should understand the economic considerations involved in the formulary drug decision-making process, and the presence of actuarial input in the process could improve it, especially by tying it to overall decision making for the health plan. From Prescription Drugs Monograph, M-HB04-1.

Description: Risk management theory prescribes a few legitimate reasons for management to hedge corporate revenues and reduce income volatility. In this paper we will use the oil tanker industry to illustrate some of these strategic considerations and how management can account for them in their decisions regarding whether and how much to hedge. Further work is needed to incorporate these considerations into a broader theoretical framework. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement. We argue that this is a reasonable model to use for estimating equity implied volatilities that are beyond the five- to 10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short discussion of how to grade from observable market data to the 'C' measure.

Description: Guaranteed Annuity Options GAOs are options available to holders of certain pension policies. This paper studies GAOs using two models for the interest rate the Vasicek and the Cox-Ingersoll-Ross models. An actuarial approach is used to value the GAOs and compared with the value of a replicating portfolio.

Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.

Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: This paper demonstrates that using a conditional probability approach to analyzing investment data yields investment forecast and stock option pricing models which more closely match actual market data, and it demonstrates the impact that conditional probabilities could have on CAPM beta and risk premia calculations. Reprinted from: Journal of Financial and Economic Practice, Vol. 6 No. 2 Spring 2006.

Description: Feature article discussing how insurers have reflected volatility in asset return assumptions when determining capital requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions when performing stochastic analysis.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: This is a story of a small insurance company in Argentina “David” that attempted to determine optimal retention levels and the cost of different reinsurance programs by using actuarial techniques.

Description: This paper discusses some of the models used to quantify risk, note some areas where improvements in standard methods are needed, and in some cases suggest alternative approaches for risks in Property and Casualty Insurance and Life Insurance.

Description: Results from the 2008 survey of the Policyholder Behavior in the Tail [PBITT] working group. The goal of the survey was to gain insight into companies’ assumptions in the tail of a stochastic calculation.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.

Description: This paper discusses the theoretic framework of modeling captial markets: index-based composition methodology and statisical procedure of model construction and extension: wavelets-based financial signal processing technique. It also discusses the implications and applications, measuring the market uncertainty and volatility highlighting the S&P 500 as an example.

Description: This paper develops a new technique, which allows the analyst to maximally use all thte historical interest rate information available in forecasting interest rates. Interest rates' daily change do not follow a stationary random process over long time periods. Instead, the process is comprised of stationary periods, each a few years long, with relatively short transitional periods between different stationary periods.

Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

Description: The goal of the survey was to gain insight into companies’ assumptions of variable annuity policyholder behavior in the tail of the C3 Phase II calculation.

Description: This article discusses the coming opportunities for insurance companies in the retirement market, particularly with respect to annuities.

Description: A study on stochastic simulation literature as it applies to a health actuary.

Description: 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. In addition, the paper introduces a technique for estimating capital adequacy that is based on mapping stochastic distributions of regulatory and rating agency capital measures to observable financial rating transition matrices.

Description: This paper considers the question of whether the growth in the size of financial statements witnessed over the last several years has yielded an increase in the quality of disclosure around issues of financial risk and to what extent this disclosure is satisfying the perceived needs of readers of the financial statements, as represented by the investment analyst community.

Description: This paper examines how incentives created by management structures and performance measurement systems affect a corporation’s risk management decisions.

Description: Discusses the emerging issue of non-formulaic reserves, which surrounds principles-based reserving, in a Q&A format.

Description: Presented at May 2005 Spring Meeting. Panelists discuss the insuring of the aging population in respect to assessment of the health of the insured and resulting mortality costs.

Description: Three industry actuarial experts respond to pre-submitted and from-audience questions regarding the future of the valuation actuary, and statutory and GAAP accounting issues. Session 30OF of the 2005 Valuation Actuary Symposium.