Description: This the Application Tool for Mortality Improvement Model, MIM-2021.

Description: View the 2022 SOA Student Research Case Study Challenge.

Description: This paper reviews the general methodology of capture-recapture procedures and describes some applications such as estimating the size of the undercount in censuses and estimating the number of duplicate records on in a database. From Actuarial Research Clearing House 2006.

Description: Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of extreme paths than do the usual stochastic interest rate models. Generalizing the Black-Karasinski model by randomizing the mean reversion target provides an example. Better to understand such models, as well as to calibrate their parameters without trial and error runs of a stochastic model, this paper uses an asymptotic expansion to estimate the moments of the integrated stochastic process over time. Mention is made of a family of related asymptotic expansions that could be of wider interest.

Description: This paper uses the possibility distribution approach, or fuzzy logic, to estimate the insurance loss amount. A special class of parametric possibility distributions is used to model insurance loss variables. The parameters of the possibility distribution are estimated by combining statistical analysis of sample data and domain knowledge provided by actuarial experts. Insurance premiums are calculated using possibilistic mean and possibilistic variation. Estimation of possibility distribution of aggregate loss amount is also discussed.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: The Society of Actuaries' Pension Section and Health Section Research teams commissioned Professor Thomas E. Getzen of Temple University to construct a resource model for the projection of long term healthcare cost trends. The motivation for creation of the model was driven by its potential usage as a resource for the estimation of reportable liabilities for retiree healthcare benefits as specified under FAS 106 and GASB 45 accounting statements. This model, programmed in Microsoft Excel [xlsx format], projects per-person expenditures and growth rates through 2099 using a set of equations and assumptions developed by Professor Getzen with assistance from the Society of Actuaries Project Oversight Group appointed to oversee the effort. The model includes baseline assumptions as well as flexibility for user–inputted alternative assumptions.

Description: The SOA's Committee on Finance Research is please to make available the results of this research project, jointly sponsored by the SOA and CAS, that explores economic series and provides and Excel based tool for generating future economic scenarios. This is an Excel Spreadsheet for Appendix C showing Simulated Financial Scenario Data of inflation rates and interest rates from this research project. Please see the SOA website for the full report and other related spreadsheets.

Description: This is the Retirement Strategy Metrics abstract authored by Mark Shemtob for Session 2B of the January 13-15, 2020 Living to 100 Symposium in Orlando, Florida.