Description: This session of the SOA 2003 Washington, DC Spring Meeting covers the basics of stochastic modeling with focus on random number and scenario generation, steps in creating models, and verification of models and assumptions.

Description: This session from the 1995 SOA Boston Meeting covers a general overview of basic interest rate models, the meaning of an arbitrage free model, the considerations in choosing an appropriate interest rate scenario generator, the uses, alternative approaches, the double mean reverting process model - DMRP, and how good the results are in terms of historical rates. From the Record of the Society of Actuaries, Vol. 21, No. 4b.

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: 2003 Valuation Actuary Symposium, San Diego, CA. This panel discussion provided an overview of the current risk-based capital RBC requirements for life insurers as well as insight into topical issues and potential changes to RBC. Discussion topics included: 1. Recap of RBC law and RBC calculation rules. 2. Modeling potential impact of alternative actions. 3. The tax impact of the factors. 4. Stochastic capital requirements for variable products. 5. The role of reinsurance and offshore solutions.

Description: This session from the 1995 SOA Boston Meeting discusses constructing and using a comprehensive, credible risk management system with a concentration on C-3 risk. It also covers an example of option adjusted spread analysis for a single premium deferred annuity SPDA. From the Record of the Society of Actuaries, Vol. 21, No. 4b.

Description: Panelists at this session of the SOA 1998 Maui II Spring Meeting present methods for scenario generation and establishing stochasitc models for pension plans.

Description: In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain exposure to longevity and mortality risks. This presentation offers a quantitative analysis of this brand new financial innovation. First of all, the presentation sets up a risk-neutral framework to price QxX index swaps. This framework, which is based on the dynamics of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, yields prices [spreads] that are fairly close to the spreads that Goldman Sachs currently offers. The presentation then explores the uncertainty involved in this model-based pricing framework. Specifically, it studies parameter risk by using Markov Chain Monte Carlo [MCMC] and model risk by examining structural changes in mortality dynamics. The results indicate that both model risk and parameter risk are significant. Actuaries should therefore be aware of these issues when placing a value on a longevity index swap.

Description: 1998 Valuation Actuary Symposium. The panelists discussed how asset liability management is synonymous with a dynamic financial analysis and quantitative risk management. Topics covered were systems implementations including asset risk exposure optimization given a company-specific set of liabilities and total risk exposure optimization, which includes stochastic analysis of alternative asset and liability strategies.

Description: Principle-based reserving requires modeling assets and liabilities across a range of scenarios to assess the sufficiency of assets when determining reserves, a major shift from the current formulaic framework. These changes will require valuation actuaries to evolve their skill set by heightening their focus on creative analysis, gaining deeper understanding of complex projections and clearly communicating drivers of reserve movements to stakeholders in order to influence strategic decision-making. The panelists will discuss the way that they see the role of the valuation actuary changing in response to the change in focus in reserving requirements. They will also discuss successful characteristics along with best practices for understanding and explaining results in the new paradigm. The audience will be given the opportunity to interact through polling and facilitated discussion of their stories, experiences and observations.

Description: 1994 SOA Spring Meeting, Orlando. In this session the panel consider the question of uncertainty in loss reserves including discussion of sources and measurement. The panelists analyzed the same data set from different perspectives and discussed the strengths and weaknesses of the approaches.