Description: This abstract describes a paper that presents preliminary observations with respect to probabilistic fuzzy systems.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This study investigates whether simulation-based models can be used to predict liquidity risk for banks, which must comply with Basel III by January 2015. The paper looks at the process of developing a measurement framework using Black-Scholes and Merton’s asset-based models to measure liquidity risk.

Description: This session from the 1995 Vancouver Meeting reexamines Monte Carlo solutions for actuarial problems. From the Record of the Society of Actuaries, Vol. 21, No. 3a.

Description: With the adoption of the C-3 Phase 2 Project of the American Academy of Actuaries, it is now required that stochastic scenarios be developed for establishing reserves for variable annuities. This project has led to the idea of Principle-Based Reserving PBR where many of the same techniques will be used to set life insurance reserves. This article describes the choice of a Random Number Generator RNG to develop the random scenarios.

Description: The Financial Reporting and Product Development Sections, along with the Committee on Life Insurance Research are pleased to make the following report available. Prepared by Bruce Rosner of Ernst & Young, the report summarizes the findings of a stochastic modeling efficiency study. With the help of twelve life insurance and annuity companies, the study tested six techniques for reducing the number of model points or scenarios required to achieve a given level of precision in stochastic actuarial modeling.

Description: The Individual Life Experience Committee is holding a competition encouraging actuaries and other interested parties to predict 2017 industry mortality based on a data set containg 2009 - 2016 data. The competition is not only about predicting mortality, but also about explaining and presenting the results.

Description: This report is sponsored by the Society of Actuaries in collaboration with Ernst & Young. It examines the application of stochastic modeling techniques to non-market risks facing the life insurance industry.

Description: This paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast mortality rates and analyze mortality securitization.

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.