Description: An Overview of Stochastic Simulation modeling techniques and usages

Description: This presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for extreme ages. This method is based on extreme value theory, and it avoids the need to extrapolate beyond an arbitrary age. This method produces an omega, the highest attainable age, without it being chosen arbitrarily.

Description: Presentation from the 41st Actuarial Research Conference held in August, 2006 in Montreal. This presentation extends the traditional Sparre Anderson model of ruin theory, using an Erlang distribution for inter-claim times and geometric Brownial motion for asset returns.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: This presentation estimates several models of interest rates, including seven without and four with regime shifts.

Description: Provides a metric based on the concept of "entropy" from information theory/signal processing, for modifying a stochastic scenario set to meet pre-defined targets on average across the set. Explains the concept and develops it in simple examples. Illustrates why an optimal adjustment to the scenario set is one that maximizes entropy. Provides guidelines to limit use of the technique appropriately and avoid invalid application of the tool.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: Explains considerations for stochastic modeling of credit spreads, inflation and exchange rate risk.

Description: This work investigates the use of a statistical approach to calculate the incurred but not reported IBNR reserve directly. This allows for the reserve to be estimated in one step, without completion factors, and it provides a confidence interval around the estimate of IBNR as well.

Description: Presentation from the 41st Actuarial Research Conference with the main topic of analyzing the life insurance industry.