Description: The Product Development Section, the Financial Reporting Section, the Modeling Section and the Committee on Life Insurance Research are pleased to present new research on modeling and forecasting cause-of-death mortality. Authored by a Milliman team led by Alexandre Boumezoued, the report develops a framework for forecasting cause specific death rates. Included also is a Cause of Deaths Forecasting Tool and a user guide for the tool.

Description: This paper presents an analysis of mortality in a sample of 441adults aged 55 to 85 at baseline, who were observed for eight years. The study was initiated for the purpose of analyzing age-related changes in a variety of physical variables and their impact on functional independence. The modeling approach is discussed and the factors which were most significantly related to mortality.

Description: Eric Friedman’s comments on ‘The Case for Stochastic Present Values,” by Dimitry Mindlin

Description: This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement. We argue that this is a reasonable model to use for estimating equity implied volatilities that are beyond the five- to 10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short discussion of how to grade from observable market data to the 'C' measure.

Description: We ask whether we can find support for the previously reported upper limit of the force of mortality of 0.7, i.e. about the probability of tossing a fair coin.

Description: This is an abstract for the paper, Analysis of Costs for a Chronic Disease with Acute High Cost Episodes by Marjorie Rosenberg and Philip Farrell.

Description: Read the August 2020 issue of The Modeling Platform published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This article contains best practices on actuarial modeling based on the author's personal experiences and provides useful advice for actuaries to consider in their daily work.

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: Technical paper on how to efficiently perform scenario testing for principle-based approaches.