Description: Appendix to the Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries. The Development of a Simulation Model of Primary Prevention Strategies for Coronary Heart Disease

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: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

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: 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: More Efficient Monte Carlo Simulations for Mortality Assumption Testing

Description: A classical risk model with a multi-layer premium rate is considered in this paper. In the two-layer case, an explicit expression is obtained for the joint distribution of the maximal surplus up to ruin, the surplus immediately before ruin and the deficit at ruin. Such an expression involves some known results on the joint distribution at ruin for a risk model with a constant premium rate. In the multi-layer case, a scheme is proposed to compute its ruin probability.

Description: Discussion of the appropriate use of geometric versus arithmetic average returns to use in a stochastic interest rate generator to be equivalent to a deterministic single interest rate scenario.

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: This article is based on an excerpt from a Milliman Research Report on universal life insurance with secondary guarantees, ULSG. It discusses stochastic profit analysis and the impact of investment volatility of two common variants of ULSGs - level specified premium and single-fund shadow account designs.