Description: Overview of the session “Analytics You Should Know, but Don’t” which took place at the 2007 SOA Annual Meeting in which R, an open source language for statistical computing, was discussed.

Description: In this presentation, the authors develop a stochastic generator for the generation of scenarios of the S & P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. They first create a set of 'stylized facts' for these series. These in-sample statistical models are themselves not suitable for generation of scenarios for decision making, but instead are additional stylized facts that assist in model development. The 'best' statistical model according to standard statistical model selection criteria can easily lead to a model that is highly unsuitable for generation of scenarios for decision making. The authors develop a stochastic generator that is suitable for decision making under uncertainty. From Actuarial Research Clearing House 1997, Vol. 1.

Description: This 1997 presentation from the 32nd Actuarial Research Conference develops a stochastic generator for the generation of scenarios of the S&P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. The authors first create a set of 'stylized facts' for these series. They estimate statistical models for these series. These in-sample statistical models are themselves not suitable for generation of scenarios for decision making, but instead are additional 'stylized facts' that assist in model development. The 'best' statistical model according to standard statistical model selection criteria can easily lead to a model that is highly unsuitable for generation of scenarios for decision making. The authors develop a stochastic generator that is suitable for decision making under uncertainty.

Description: Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that business. Most portfolio optimization methods utilize linear or quadratic programming and require the user to specify the asset and liability attributes and cash flows into the program. The programmer must also supply an objective function to allow the program to find the optimal asset mix for the associated liabilities. Two problems with this approach are that the liability cash flows are fairly static and that one must frequently rebalance the portfolio. An alternative approach would be to develop a corporate model of both the assets and liabilities and incorporate various economic scenarios as input into the model. Asset strategies would be measured against a specific objective function that is calculated by the corporate model. Unfortunately, the majority of maximization algorithms available are very time consuming, and obtaining a reasonable portfolio mix becomes impractical. This paper overcomes this difficulty by using a very rapid optimization method from the chemical engineering profession called the Floppy Triangle. The paper includes an example of the use of this process to determine an optimal portfolio. It also discusses modifications of the algorithm that is required when the shorting of assets is not permitted.

Description: The modern valuation manual steps up the need for actuaries to know and apply statistics. If your recall of common actuarial statistical techniques is more than one standard deviation below the mean, this session will provide the lift you need.

Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: Discusses the graphics capabilities of the computer language R.

Description: Feature article discussing the computer language R, cluster analysis and predictive modeling.