Description: Sponsored by the Society of Actuaries Research Expanding Boundaries Pool, this report examines an encompassing method to allocating economic capital in insurance conglomerates. Authored by Edward Furman, Yisub Kye, and Jianxi Su, the plan put forth unifies the centralized top-down and the detail-oriented bottom-up approaches

Description: At this session, experts will provide an overview of current statutory valuation issues pertaining to life and annuity products. The focus is on activities of the American Academy of Actuaries relative to principle-based approaches, but other matters will be covered, including the status of the NAIC valuation manual, life risk-based capital, developments at the NAIC affecting life insurance companies, and practice issues for appointed actuaries.

Description: The Society of Actuaries Product Development Section, the Modeling Section, the Reinsurance Section and the Financial Reporting Section announce the release of a new research report that introduces a novel framework for leveraging the "architecture" of an industry mortality table within a company's predictive analytics-based insured mortality analysis.

Description: Presents the results of a survey to explore practices that underwriters utilize in both formal and informal ways to assess older age applicants.

Description: This report documents the work of the UCT with respect to development of an algorithm used to score preferred risk class structures, producing Relative Risk Scores and Prevalences. It is built for both knockout and debit-credit scoring methodologies.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society and the Society of Actuaries, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research. From Actuarial Research Clearing House 2004, Vol. 1.

Description: This paper studies a smoothing spline Poisson regression model for the analysis of mortality data. From Actuarial Research Clearing House 2006, Vol. 1.

Description: In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a diffusion process being added to the claim process, that maximizes the adjustment coefficient in the Sparre Anderson model. From Actuarial Research Clearing House, 2006.

Description: This report describes and demonstrates a method to understand reputational risk that an insurance company can apply to the unique circumstances of the insurance firm. This method applies a policy-capturing survey with scenario analysis to generate insight into reputational risk from the perspective of a variety of stakeholders. Also included is instruction for spreadsheet-based query and reporting to facilitate the use of the information in the risk management function.

Description: Paper by Max Rudolph for the SOA on historical views on systemic risk and its applications.