Description: Survey of appointed actuaries about asset adequacy testing techniques currently being used in 2012.

Description: A defined contribution plan with a defined benefit minimum guarantee is valued as a put option or exchange option. This paper compares the resulting price with the actual additional contribution rate used by one public sector plan, and considers extensions of the option theory to allow more accurately for the pension plan characteristics.

Description: This paper endeavors to obtain the explicit formulas of the probability of ruin in a Markov-modulated model where claim intensities, claim sizes and premiums vary according to a Markovian environment.

Description: Nonparametric regression tries to ?nd a relationship between the predictor and the response without assuming shape of estimated regression function. Its theory and methods are well developed for the case of completely observed vectors of predictors and responses. In many applications, including actuarial, some components of the observed vectors may be missed. Ignoring missing data and using known methods of nonparametric regression may yield inconsistent estimation. Theoretical results on optimal nonparametric regression with missing data are presented, and an applied actuarial example is discussed.

Description: This report summarizes the results of a research project undertaken by the Society of Actuaries to study the possible effects of the International Accounting Standards Board’s IASB Discussion Paper describing its Preliminary Views on Insurance Contracts on nine representative U.S. life, health and annuity products.

Description: The purpose of this study is to provide the actuarial profession with a review of the actuarial aspects of cash balance retirement plans and original actuarial research regarding the design and valuation of such plans. This report discusses cash balance plan features and methods to measure the associated risks.

Description: This is the final report of a survey of life insurance companies on the cost of implementing the new principle-based statutory accounting framework.

Description: The purpose of the SOA project Modeling Long Term Healthcare Cost Trends for Valuation is to provide a benchmark projection of medical cost increases and provide a user-firendly model for making alternative projections. This paper presents sample output from the model, technical documentation of the model, FAQs, and a review of the literature and references.

Description: Research project that assesses the accuracy of commonly used IBNR estimation methods for medical insurance over a wide range of scenarios. The methods are summarized, practical considerations in making the comparisons and the development of the data simulations for the comparisons are discussed.

Description: This SOA research report produced by Kamakura Corporation helps illuminate credit risk modeling techniques within the life insurance industry. It includes a review of available research on the subject from academic and industry sources, the development and distribution of a survey on actual techniques used within the industry, and all associated analysis. The finance and economics literature review provides a historical review of academic research on credit modeling with Altman Z-scores, Merton’s structural model and more recent “reduced form models” The industry literature includes discussions of the various credit modeling techniques, factor-based approaches, credit migration models, structural models, reduced form models, hybrid models, actuarial models and credit scoring models. As credit risk modeling is an extremely broad topic, the scope of the survey is narrowed to particular asset classes and functions. There were 22 responses in total to the survey from locations in Canada, Europe and the United states.