Description: We derive formulas for calculating the premiums that should be charged on policies in a discounted cash flow model with tax reserves and required assets that are determined by regulation. We also determine the unique division of required assets into “reserves” and “capital” that allows the product profitability to be correctly evaluated. That is, the profit after capital charges is zero if the product achieves the return assumed in pricing. We illustrate the concepts using whole life insurance and guaranteed minimum death benefit examples.

Description: This paper focuses on business risks rather than market, credit and operational risks. The author proposes a bottom-up approach for modelling and measuring business risk where the dynamic of the underlying earnings is described in a continuous-time model.

Description: A study of claims cost variation by policy duration fo rindividual medical insurance. The report presents results for single vs. family contracts with long-form underwriting, based on approximately $1.3 billion in incurred claims data provided by seven carriers, for incurral years 2001 through 2003.

Description: This paper reviews validation for the model of a life insurance company's liabilities with actual company data. Two methods are reviewed: static and dynamic validation. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: The discount rate is one of the most critical topics in IFRS 17 and may have important repercussions on product profitability. The presenters will cover practical implementation considerations, including alternative approaches to illiquidity premium calculation for business supported by fixed assets with credit risks. Other implementation considerations will also be covered, including granularity of setting the discount rate, application to new business, and implications on asset and liability modeling. The presenters will then discuss how discount rates could be utilized in an Economic Scenario Generator (ESG) to assist IFRS17 calculations, particularly for risk-neutral valuation of the time value of options and guarantees.

Description: This paper's objectives are to reduce the variation of life expectancy due to changes in the closing out method and give more homogeneous old age mortality surface for the Algerian population. The paper will also provide readers with a general methodology to extend mortality to old ages for the Algerian population starting from adult mortality data.

Description: Mandatory implementation of life principle-based reserves (PBR) is just around the corner, and there is no shortage of work to do, as most products have yet to be moved to PBR. Oliver Wyman recently completed its 2019 PBR survey, with more than 40 participants covering 85 percent of the individual life market, including 23 of the top 25 life writers and five reinsurers. This article will expand on the key survey findings including implementation status and model simplifications.

Description: In this article, we talk to Lei Rao-Knight, FSA, Vice President and Actuary at Prudential Financial. Lei discusses her model development experience in the Modeling Center of Excellence.

Description: The U.S. health care industry has gone through a dramatic change during the past several years. The business model has moved from a risk selection model to a risk management model. People can shop online for their health care coverage. Everyone is welcome! Annual and lifetime dollar limits, underwriting and the pre-existing conditions exclusion are all in the history book now. Facing the challenges of the post-reform era, many health insurance carriers began using big data analytics on all aspects of their decision-making processes. The goal is to be able to compete on analytics in this quickly changing environment. However, becoming an analytics competitor is not easy. It requires the belief from the leadership and a group of dedicated analytical professionals to solve emergent business problems that existing strategies cannot address in an evolving market. These problems include marketing for acquisition and retention, coding accuracy, revenue growth, health care disparity, payment integrity, quality of care, health care cost reduction and, ultimately, personalized care management. In this section, audience will learn a basic understanding of the role of predictive analytics in US Healthcare marketplace.

Description: This presentation compares continuous-time multi-factor affine cohort mortality models and presents estimation results for an affine multi-factor, multi-cohort mortality model.