Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

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: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

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: Discussion that developing credibility factors for group health insurance can be accomplished empirically through the use of stochastic models with appropriate parameters and fairly readily obtainable data, without the need for unrealistic assumptions.

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: The article explores impact of resetting cap vs static cap choice for the GLWB rider for a Fixed Index Annuity for a Point to Point. Moreover, analysis of a Monthly Sum Cap is provided showing impacts of particular choices of market models (e.g. Black, Heston, Bates) used to price this deal.

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: This presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for extreme ages. This method is based on extreme value theory, and it avoids the need to extrapolate beyond an arbitrary age. This method produces an omega, the highest attainable age, without it being chosen arbitrarily.

Description: The CSTEP 'Cluster Sampling for Tail Estimation of Probability' system is a desktop-based application to assist actuaries in efficient stochastic modeling through the implementation of Representative Scenario approaches. Its goal is to provide actuaries with an open-source HPC 'High Performance Computation' research platform to select a sample set of representative 'pivot' risk scenarios through user-specified or user-researched distance definitions.