Description: This panel discussion session focused on the practical applications of risk theory.

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: 1988 Valuation Actuary Symposium, In this session, the presenter suggests the value of the Reg 126 testing is a function of the attitude of the company toward the process. He also explored the differences in results by product of using deterministic versus stochastic scenarios.

Description: This session from the 1993 Valuation Actuary Symposium looks at asset models and economic scenario generation.

Description: The cloud inspires awe and fear in equal parts these days. There is a need to learn more, but there’s much information to learn and it may be difficult to know what to learn next. In this session, we’ll carve off a small corner of the cloud and make it your own. Setting up a Data Science Virtual Machine on Digital Ocean will be demonstrated. It’s the fastest way to get a data science development environment setup for your own use. Many of the topics and ideas covered will apply to almost all other cloud offerings. What use cases Digital Ocean is good for, and what use cases you should look elsewhere for, will also be discussed.

Description: With many complex regulatory changes on the horizon as well as pressures to ensure model accuracy from auditors, regulatory requirements and new actuarial standards of practice, the importance of robust model validation is coming to the forefront of actuaries’ minds. What was previously a day-two task for many companies is becoming just as important as model development! In this session, you will hear from those that have been deeply involved in building model validation frameworks and tools in responses to regulatory changes GAAP Long Duration Targeted Improvements (“LDTI”) and Principles Based Reserves (“PBR”).

Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: 1995 Valuation Actuary Symposium. In this session panelists discussed how cash-flow testing models can be used to provide significant Asset/Liability Management information, making the transition from cash-flow testing to ALM, definitions of ALM, the key assumptions in ALM, and evaluating results.

Description: This session at the 1998 Valuation Actuary Symposium discusses issues related to variable and fixed deferred annuity modeling.

Description: 1998 Valuation Actuary Symposium. The panelists addressed the practical implications of how to use value-at-risk in a real-life setting, risk-based surplus, and an update of the C-3 component of RBC. This session is a mix between the regulatory situation and quantitative analysis.