Description: This article provides an overview of the commonly used structural credit risk modeling approach that is less familiar to the actuarial community.

Description: Economic risk analysis has two dimensions: time and frequency. Asset return varies by time because of economic cycles and economic structural changes. Risk is higher during economic recessions and smaller during economic expansions. In addition, different economic structures may exist at different time scales. Risk measures calculated based on daily, weekly, monthly and yearly historical data can be very different. The appropriate frequency depends on the time horizon of the analysis. Therefore, it is important to measure economic risk at both the time level and the frequency level. However, time series analysis and statistical analysis that have been widely adopted in economic risk analysis focus on only one of the two dimensions. In this paper, wavelet models are used to enhance both time‐invariant analysis and time‐variant analysis. Wavelet models can systematically analyze risk by time and frequency and provide richer information than time series models. Using wavelet models, risk measurement can easily be adjusted based on time horizon in a consistent way. Equity VaR estimation is selected to demonstrate the application of wavelet analysis in risk management.

Description: The CAS is pleased to present its Research Paper, “Users’ Guide to Economic Scenario Generation in Property-Casualty Insurance”. Although there are cases in the literature about the use of economic scenario generators (ESGs) in the property casualty industry, they are far more commonly used for life insurance companies. Our hope is that this paper will serve as a comprehensive guide to the implementation of ESGs in the non-life space and spark interest in research into new applications of ESGs.

Description: The author discusses how the use of a weighted average dollar duration book yield, WADD, rather than the more traditional book yield determined by book value or market value weighting, can provide a better basis for determining the crediting rate on the liabilities.

Description: Measuring Fair Value for Participation Units of Stable Value Pooled Funds

Description: This is the session transcript from Session 6A: Mortality Improvement Approaches from the January 4-6, 2017 Living to 100 Symposium in Orlando.

Description: These are the discussant comments for the concurrent Session 3A: Mortality Inequality: Impact of Socioeconomic Factors

Description: These are the discussant comments for the concurrent Session 2B: Older-Age Mortality Trends from the January 4-6, 2017 Living to 100 Symposium in Orlando.

Description: This is the Trends in Life Expectancy and Lifespan Variation After Retirement abstract authored by Jesu´s-Adria´n A´ lvarez, Søren Kjærgaard, Malene Kallestrup-Lamb, James W. Vaupel for Session 1B of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.

Description: This is the A Study into the Impact of Pre-Programmed Health Risks in Retirement Planning paper authored by N. V. Subramanyan for Session 1B of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.