Description: Quantitative operational risk assessment is essentially based on stochastic scenario modeling of operational loss sequences. Given the lack of reliable historical data in most cases, mathematical methods should meet even stronger requirements in terms of results received and include specific features, namely: rare event analysis, uncertainty analysis and human factor analysis, etc. In this paper, the analytical-statistical simulation approach ASSA is considered as the most flexible approach to stochastic scenario loss sequence modeling and compared with Markov chain, fault/event tree and Monte Carlo, in terms of scenario loss sequence model adequacy and calculation cost. Probabilistic risk analysis software PRAISE and some applications are given. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: This paper demonstrates that extreme value theory (EVT) can be used as a tool to model policyholder behavior in the extreme tail. This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It illustrates a process whereby a company can fully model policyholder behavior, including the extreme tail, with existing data. No judgment about the extremal behavior is necessary.

Description: Article discusses VM-31 requirements and actuarial report overview.

Description: This article includes a summary of 2012 Health section activities as well as upcoming events, including the Health '12 Meeting, two HARI research projects (ACOs and risk adjustment), the value of health section membership, and our Canadian Outreach.

Description: The Behavioral Finance subgroup of the Health Section will be publishing a series of literature reviews in Health Watch. This is the first review of three in the series. The reviewed article describes an attempt to place an econometric value on consumers’ preferences between broad and narrow networks.

Description: Hear from the chairperson on themes in the March 2017 issue of Health Watch, published by the Health Section.

Description: A letter from me introducing this issue.

Description: This paper, first published in 1982 in the Transactions of Society of Actuaries, Vol. 34, discusses the phenomenon of durational antiselection, a commonly observed steady and seemingly irreversible increase in loss ratios on mature blocks of individual health insurance policies. The author, William F. Bluhm, constructs a model to explain the deterioration of loss ratios over time, and to quantify the cumulative antiselection effect. This paper was awarded the 1980-82 Triennial Prize. The paper includes written discussion and the author’s review of discussion.

Description: A Towers Perrin proposal for pension funding reform discussed at the Future of Pension Plan Funding and Disclosure Symposium, held July 14-15, 2005, Washington, DC.

Description: Investment Fallacies: The Misconceptions of Retirement Risks