Description: This SOA-funded study examines the relative performance of different risk assessment methods and risk adjustment systems. From A Comparative Analysis of Methods of Health Risk Assessment, M-HB96-1.

Description: Gives examples of the difference between actual data distribution of investment returns compared with lognormal assumptions.

Description: The abstract for paper Mortality Improvement Select Birth Cohorts and Their Effect on Pricing Survivor Bonds.

Description: The abstract for paper Removing the Disincentives for Long Careers in Social Security.

Description: This paper demonstrates an approach of modeling experience, and then interpreting the model and residual errors.

Description: This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets. Optimality is defined here as maximizing expected utility of terminal payout.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: Discusses how a small health insurance company may be able to create and successfully maintain its wealth through careful actuarial model considerations used in calculating reserves. A traditional and a conservative approach to calculating the reserves are compared. The conservative approach was found particularly useful when estimating reserves for an individual health insurance company with numerous product lines each relatively small in volume.

Description: Products that serve consumers are increasingly complex, creating a real need to help management understand risk exposure in real time. The root of the dilemma is that modeling the entire population, which is feasible with sophisticated computing technology, simply does not offer a practical response time. New modeling techniques such as replicated stratified sampling may help executives better understand risk.

Description: This paper illustrates a current approach to capital allocation, referred to herein as Tail Contribution Analysis TCA, using it to evaluate the impact of changes in an insurer’s operations by allocating capital to individual lines of business. It then highlights a common problem in the implementation of the procedure arising from reserve volatility and briefly notes the failure of the methodology to account for a firm’s changing levels of risk under various strategies. Finally, it introduces an alternative method for analyzing business segments and strategies called Economic Profit Analysis EPA. We will discuss EPA’s key feature, “volatility replication,” an intuitively appealing process of building investor expectations and capital market information into the risk-and-return measurements used to evaluate strategic decisions. Finally, we will illustrate the benefit of using EPA in overcoming the problems of TCA and thereby providing concise reliable information for business decision making.