Description: This article proposes a framework for estimating mortality improvement models and analyzing the parameter uncertainty in such models.

Description: For the purposes of risk management and stress testing, we characterize a spectrum of plausible extreme events, that we dub Grey Swans, by introducing a probabilistic method involving the concentration of measure phenomenon. As a result, stress tests can be triaged according to severity, probability and, now, information-based plausibility.

Description: Exploration of sources of volatility in retiree health valuations, noting how volatility arises and might be mitigated, with discussion of valuation parameters more problematic for retiree health benefits than for pensions. Three significant influences on retiree health valuation volatility are covered-- changes in benefit level, fluctuations in cost level, and alterations in eligibility for, or duration of, benefit – and attention focused on the last two. Specific conclusions result in recommendations, which are supported by practical examples contrasting volatile measurement results with those likely from the recommended practices. Theoretical discussion includes health claim variation, health trend usage, financial economics, option pricing, discount rates, and deterministic vs. stochastic modeling.

Description: For the purposes of risk management and stress testing, we characterize a spectrum of plausible extreme events, that we dub Grey Swans, by introducing a probabilistic method involving the concentration of measure phenomenon. As a result, stress tests can be triaged according to severity, probability and, now, information-based plausibility.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

Description: This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing callable bonds in continuous time models. Results are directly applicable to regulatory scenario testing, immunization and market value accounting.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.