Description: “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”

Description: Read the December 2016 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: An overview of the articles in the November 2019 issue of The Modeling Platform, and a plea for submissions! Please! Send us articles!

Description: Oliver Wyman recently completed its 2020 Life PBR Emerging Practices survey, with results providing a broad industry perspective on implementation impacts, strategy, assumptions and challenges. This article provides further insights into the trends and drivers observed around planned future refinements to PBR models.

Description: This report is a technical paper on a Predictive Analytics Framework and Reusable Workflow for Experience Analysis in actuarial studies. It covers data analysis, machine learning models, methodologies, and model interpretation techniques.

Description: Spreadsheet of sample calculations for extreme value theory. Extreme value analysis seeks to assess, from a given ordered sample of a given random variable, the probability of events that are more extreme than any observed prior.

Description: This paper discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including Lundberg's fundamental equation.

Description: This paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational risk capital charges for banks and insurance companies with regard to U.S. regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the aggregated capital charges in the context of various classes of copulas. From Actuarial Research Clearing House, 2006.

Description: Using data from the Mexican Social Security Institute for labor risks, this paper classifies the severity of sequels in three categories: mild, moderate and high, and attempts to relate this level with the characteristics of the worker and his activities at work. Toward this goal, a model was built using a multilogistic regression, which allowed predicting the severity of physical sequels caused by a labor risk. From Actuarial Research Clearing House, 2006.

Description: This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized linear mixed model GLMM. It shows how credibility depends on the sample size, the distribution of covariates, and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.