Description: Summary of research titled Understanding VM-20 Results.

Description: Discussions of alternative approaching to setting ascribed premiums for market risk benefits under FASB targeted improvements.

Description: Describes a process for identifying relevant industry experience to credibility-weight with relevant company experience to set modeling assumptions and margins.

Description: Continued look at unlocking of traditional contract valuation assumptions, this time examining the frequency of true up for actual experience.

Description: In this continuation of our July 2013 article we explore an algorithm for evaluating Hidden Markov Models in detail. A preferred method in speech recognition technology, Hidden Markov Models are a promising technique when dealing with data you suspect may be driven by a change in a unobservable state. The example in the article is provided in an Excel workbook for the reader to follow along with.

Description: An introduction of predictive modeling techniques that are applicable to insurance industry, including generalized linear model (GLM) and classification and regression tree model(CART). Other models such as data clustering, neural network, and support vector machine (SVM), are also briefly discussed.

Description: Abstract: Interest rate changes and volatile equity returns have contributed to significant funding and expense volatility for defined benefit plans in recent years. This paper will describe the design of an option contract with payouts that are tied to the combined impact of interest rates and investment returns on the funding level of a defined benefit pension plan. Current derivatives used by plan sponsors can limit exposure to one of these risks; however, a derivative that combines these risks may provide more targeted protection to a plan sponsor at lower cost. This paper discusses several considerations in designing such a derivative. It will also briefly discuss pricing of the option. Finally, the difference in potential outcomes between plan funding with and without option ownership will be demonstrated. As an outcome of the design work, a new way to visualize pension risk that may be useful in sponsor accounting disclosures will be shown.

Description: This article discusses an upcoming SOA/CAS sponsored project regarding the Modeling of Economic Series Coordinated with Interest Rate Scenarios.

Description: Summarizes the articles in the newsletter.

Description: Describes using the new multi-risk scenario generator to create sensitivity tests at moderately adverse probability levels, resulting in margins to use for PBR.