Description: In this article the authors work out the expected discounted penalty function for Levy processes. Unlike the classical compound Poisson case that models the individual claim size distribution and obtains from it the aggregate distribution, here the aggregate claims distribution is known. From Actuarial Research Clearing House, 2006.

Description: This report is presented in the form of a Tableau dashboard and is the sixth public release from this report series and contains the results of an excess mortality analysis for the fourth quarter of 2021. Data from 30 companies representing approximately 69% of the industry’s face amount inforce were included in the analyses in this report. A total of 3.2 million death claims from individual life policies from 2015 through December 31, 2021 make up the basis of the analyses. The report also compares the experience under COVID-19 of the insured population versus the general population.

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: 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 study presents a comprehensive approach of real option analysis to climate adaptation policies aiming to mitigate flood risk. The framework focuses on pricing catastrophic risk in coastal regions, allowing for economic growth and uncertainty in the mean sea level rise.

Description: The American Academy of Actuaries and the Society of Actuaries have joined resources to maintain this Economic Scenario Generators Excel Workbook tool for use in regulatory reserve and capital calculations. Please see the SOA website research pages for further information on this tool and how to use it.

Description: Presents some elementary and down-to-earth calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends until the possible ruin of a company.

Description: The problem of finding the distribution of sums of lognormally distributed random variables is discussed. References going back to the 1930’s are given, as well as some possible solutions. A formula for the characteristic function of one lognormal is stated, and then the moments and distribution of the logarithm of sums of lognormals are considered.

Description: Genetic algorithms [GAs] and neural networks [NNs] are currently being used in actuarial and financial modeling. Nonetheless, while there is a general awareness of the nature of these techniques, there is often only vague familiarity with the details of how they are implemented. This paper is intended to help alleviate this situation. Its purpose is to present an overview of GAs and NNs, which includes an explanation of what they are, how they work, and an example of how they are implemented.