Description: One of the first projects undertaken by Claim Analytics was to create a model to predict return to work for group insurance claimants with long term disabilities. This report, sponsored in part by the Society of Actuaries Health Section , is a case study on creating such a model.

Description: By identifying specific exogenous and insurer specific factors related to life-insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The Life Insurers performance measurements are 1. Return on Equity, 2. Return on Assets and 3. Increase in Capital and Surplus. This paper has been submitted to the North American Actuarial Journal for publication considerations. This documents the specific charts embedded in the report. Please see the SOA web site for the detail report.

Description: The series expansion of a probability density function, known to actuaries by Esscher's name and to statisticians as the saddlepoint approximation, typically gets integrated to approximate probability values under the density, with a location parameter in the expansion chosen to optimize convergence of the integrated series. We review the general form, the accuracy and the derivation of the Esscher approximation. Then we propose using related series expansions for the derivative of a probability density function to approximate the value of the point of maximum likelihood for the density. The key is to make the value of the location parameter an unknown and assume it to be the point of maximum likelihood, which leads to a tractable optimization problem to find its value.

Description: The Society of Actuaries seeks to provide actuaries of life insurance companies with a systematic approach for estimating the adverse effects of economic developments that could impede insurer performance. The performance measurements include 1. Return on Equity, 2. Return on Assets, and 3. Increase in Surplus and Capial. Toward that end, this study combines market and economic factors with insurer-specific data to form dynamic financial models of life insurers. Empirical analysis is based on annual data from 1985 through 1995 for 1,593 life insurers. By identifying important exogenous and insurer-specific factors related to life insurer performance, this study provides a basis for actuaries to build dynamic financial models for individual insurers. The study also identifies and describes several web sites that provide access to relevant economic and financial data. Also see the SOA website research page for excel spread sheets that have the charts that should be inserted in this report