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: The April 2016 Issue of The Modeling Platform

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

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: This article describes some of the drawbacks to the assessment of longevity risk adopted by most practitioners within the UK together with an initiative that provides a platform for an alternative approach that is both (a) more forward-looking in nature and (b) can complement current practices.

Description: This article discusses an upcoming SOA/CAS sponsored project regarding the Modeling of Economic Series Coordinated with Interest Rate Scenarios.

Description: Describes using the new multi-risk scenario generator to create sensitivity tests at moderately adverse probability levels, resulting in margins to use for PBR.

Description: This article provides an overview of the different types of real world interest rate scenarios that practitioners use in the life insurance industry and explores different approaches to building those generators.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: Presented at May 2002 Spring Meeting. Presenters discuss a method of mortality projection on various scenarios about terrorism that have been written by futurists given the events of Sept. 11. Attendees learn to use a futurism technique scenarios to address actuarial problems.