Description: A research project with the Society of Actuaries on interest rate hedging on traditional life and health insurance.

Description: This report explains the concept and construction of the Market Consistent Embedded Value (MCEV) measure, as well as its usefulness as a profit/risk measure relative to other profit/risk measures currently used by insurance companies for various products. The knowledge from this research will assist actuaries, corporate leadaers, risk management professionals and others in understanding, implementing and comparing MCEV to current risk assessment tools utilized by insurance companies.

Description: Healthcare costs have been rising faster than general inflation for many years. Early models that predicted this past pattern projected healthcare expenditure growth that continued to outpace total expenditure growth leading to the fallacious position that the whole of the US economy would ultimately be consumed by healthcare. This paper presents a long term healthcare trends resource model, prepared for the Society of Actuaries by Professor Thomas Getzen, that includes capacity constraints to ensure the long-term projection is rational. The motivation for creation of the model was driven by its potential usage as a resource for the estimation of reportable liabilities for retiree healthcare benefits as specified under FAS 106 and GASB 45 accounting statements.

Description: This report studies the various benchmarks for analyzing the option-adjusted spreads of the major fixed income asset classes of life insurance companies. In addition, this report analyzes the historical benchmark performance against default rates for the asset class being benchmarked.

Description: Authored by a MIB Solutions team of Tom Rhodes, Stuart Klugman, Marianne Purushotham and Stacy Gill, the report summarizes the results of a study on the application and adoption of credibility theory within the life insurance and annuity industry. In addition to the report, numerical examples related to the application of credibility to company mortality and lapse data are provided in the four Excel files. This excel spreadsheet is a numerical example relating to the application of Credibility for mortality - Limited Fluctuation Method. Please see the SOA website research section for the full report on Credibity Theory Practices.

Description: This report presents the results of a survey conducted by the Older Age Underwriting Practices Survey Subcommittee. The purpose of this survey was to elicit feedback regarding underwriting guidelines, requirements and practices utilized in the assessment of older age applicants.

Description: Tree models have been found to provide a good fit to group long term disability recovery and mortality rates. This research paper provides an overview of tree models, and details how they have been used for developing these rates.

Description: Chapter 11 from the Models for Retirement Policy Analysis. PIMS is a microsimulation model that produces a distribution of PBGC’s exposure over a defined time interval. This chapter describes the major components of PIMS, the data types in PIMS, the PIMS simulation process, simulation activities, and current output.

Description: Chapter 9 of the Models for Retirement Policy Analysis. This chapter describes SSAIM, which is a policy simulation model of the Old Age and Survivors Insurance and Disability Insurance Social Security programs.

Description: This paper estimates the acquisition and maintenance costs associated with life policies as a function of the amount of insurance and number of policies of an insurer by estimating a cost function for our sample of insurers.