Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: This paper first derives the fair participation rate based on a fair value of the equity-indexed annuity EIA. Then using risk measures, a new participation rate is obtained, based on the tail loading of the hedging error distribution. Risk management strategies reducing risk related to the hedging error are also presented. A detailed numerical analysis is performed for a point-to-point EIA.

Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.

Description: This article provides an overview of the different types of real world interest rate scenarios that practitioners use in the life insurance industry and explores different approaches to building those generators.

Description: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

Description: Continuation of article from previous issue. This article illustrates the practical and financial implications of applying nested stochastic techniques to a sample product.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: This paper is Part 1 of a two-part submission. Part 2, “An Alternative Approach to Capital Allocation,” discusses using risk-replicating techniques that directly calculate the cost of capital. Such techniques can be used as a substitute for capital allocation. This paper expands upon current capital analysis by introducing a practical approach that considers the objectives of all stakeholders of an insurance company in setting appropriate capital targets.

Description: The April 2016 Issue of The Modeling Platform

Description: A summary of Modeling Section-sponsored sessions at the 2016 Life/Annuity Symposium, covering model risk management, model governance, and model efficiency.