Description: Appendix C to SOA Research Report: Models for Retirement Policy Analysis. The description and evaluation of each model in this report includes an assessment of its suitability to address several specific policy issues. This appendix describes the illustrative policy issues selected for this assessment.

Description: We devise an approach, using tobit models for modeling annuity lapse rates. The approach is based on data provided by the Society of Actuaries’ Risk Management Task Force. Kim [2005a] models annuity lapse rates using a logit model and the same US data (he also used Korean data separately). We find that the tobit model is a more than suitable approach for all levels of the explanatory variables including interest rates, unemployment rates, and GDP growth rates. Specifically, policyholder behavior in the tail of the distribution of lapse rates is explained as well as it is in the normal range of lapse rates.

Description: A research report that examines modeling of cash flow associated within a pool of mortgages and specifically focusing on the effectiveness of infusing a limited amount of capital into the pool.

Description: Transcript of a round table discussion on Housing in Retirement.

Description: This report provides a system-wide analysis of the expected contribution requirements for the U.S. single-employer defined benefit pension universe over the remainder of this decade.

Description: This presentation from the Actuarial Society of Greater New York's November 2011 meeting provides an overview of the Society of Actuaries' research on post-retirement needs and risks.

Description: This is a research report that highlights the characteristics of combination plans that serve to reduce the risks to insurers issuing life or annuity products linked to long-term care insurance. Observations are provided to assist in the understanding of the factors that explain the profit change sensitivity results and the natural hedging against major risks that inherently is present within the linked products.

Description: This project shows how to use agent-based models to simulate the behaviors of agents in complex health systems.

Description: This report examines the circumstances that lead to systemic risk and proposes a new definition.

Description: There have been many examples of interest rate swap deals which have not produced the desired results for the end-user, largely due to unanticipated interest rate movements. While the authors of this paper strongly believe that derivatives, such as IR swaps, are powerful tools, which when used properly can effectively transfer risk and enhance the efficiency of markets, they also believe it is critically important to analyze the potential exposure to interest-rate risk. In this article, they provide the necessary background to measure this potential exposure.