Description: This 2005 presentation from the 40th Actuarial Research Conference is about equilibrium pricing models and valuations related to hybrid pension plans.

Description: These are the slides that go with the paper 'Mortality Modeling using Projection Pursuit Regression.' In that paper, the authors develop sixteen separate mortality models based on the current SOA mortality data being used for the preferred life study. The models are constructed using projection pursuit regression. The sixteen models arise from all combinations of sex, smoker status, select and ultimate status, and per life vs. per dollar mortality rates. In general the models confirm the following four facts: 1 Mortality rates increase as attained age increases. 2 Mortality rates increase as duration increases. 3 Mortality rates decrease as Face Amount Bands increase. 4. Mortality rates decrease if preferred underwriting is present.

Description: The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due to their simplicity, the chain ladder [CL] and Bornhuetter-Ferguson [BF] methods are the most commonly used claims reserving methods in practice. This presentation develops an estimator for the conditional mean square error of prediction [MSEP] of the ultimate claim in the BF method. This will be done in the framework of generalized linear models [GLM] using the overdispersed Poisson model motivation for the use of CL factor estimates in the estimation of the claims development pattern.

Description: This presentation shows that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics simplifies to an elementary calculus exercise.

Description: An Allstate–specific risk framework based on executive interviews and research conducted by the team.

Description: This presentation outlines one company's approach to enterprise risk management and how it is used to monitor and control operational risk.

Description: For insurance companies, modeling the future values of assets and their interactions is useful for setting up asset strategies and managing reserves for liabilities. These are the presentation slides for a research paper that evaluates the ability of Wilkie’s stochastic investment models to predict Toronto Stock Exchange [TSX] price index yield. In the Wilkie Model, correlated econometric indices are modeled through a cascade structure.

Description: In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain exposure to longevity and mortality risks. This presentation offers a quantitative analysis of this brand new financial innovation. First of all, the presentation sets up a risk-neutral framework to price QxX index swaps. This framework, which is based on the dynamics of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, yields prices [spreads] that are fairly close to the spreads that Goldman Sachs currently offers. The presentation then explores the uncertainty involved in this model-based pricing framework. Specifically, it studies parameter risk by using Markov Chain Monte Carlo [MCMC] and model risk by examining structural changes in mortality dynamics. The results indicate that both model risk and parameter risk are significant. Actuaries should therefore be aware of these issues when placing a value on a longevity index swap.

Description: This presentation illustrates a calibration model against 60 years of historical data using a pragmatic mixture of filtering, maximum likelihood and method of moments techniques, and compare the resulting model with interest rates in contemporary economic scenario generators.