Description: 2011 Enterprise Risk Management Symposium, Chicago. This study investigates whether simulation-based models can be used to predict liquidity risk for banks, which must comply with Basel III by January 2015. The paper looks at the process of developing a measurement framework using Black-Scholes and Merton’s asset-based models to measure liquidity risk.

Description: Feature article discussing numerical short cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate points for a real-world stochastic model of interest rates.

Description: An overview of guaranteed lifetime withdrawal benefits (GLWB) on registered index-linkedannuity (RILA) products and a stochastic analysis of market risks.

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 is the User's Guide that accompanies the Inflation Generator Excel spreadsheet which is associated with the research report entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.'

Description: The Individual Life Experience Committee is holding a competition encouraging actuaries and other interested parties to predict 2017 industry mortality based on a data set containg 2009 - 2016 data. The competition is not only about predicting mortality, but also about explaining and presenting the results.

Description: The research investigates the challenges associated with determining a “fair value” assessment for embedded options in two product types and incorporates the process into product pricing and liability valuation

Description: The article warns against treating the results of a stochastic model with more deference than other actuarial analysis, and describes some hidden risks involved with choice of model and calibration.

Description: This report is sponsored by the Society of Actuaries in collaboration with Ernst & Young. It examines the application of stochastic modeling techniques to non-market risks facing the life insurance industry.

Description: Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of extreme paths than do the usual stochastic interest rate models. Generalizing the Black-Karasinski model by randomizing the mean reversion target provides an example. Better to understand such models, as well as to calibrate their parameters without trial and error runs of a stochastic model, this paper uses an asymptotic expansion to estimate the moments of the integrated stochastic process over time. Mention is made of a family of related asymptotic expansions that could be of wider interest.