Description: Principle-based reserving requires modeling assets and liabilities across a range of scenarios to assess the sufficiency of assets when determining reserves, a major shift from the current formulaic framework. These changes will require valuation actuaries to evolve their skill set by heightening their focus on creative analysis, gaining deeper understanding of complex projections and clearly communicating drivers of reserve movements to stakeholders in order to influence strategic decision-making. The panelists will discuss the way that they see the role of the valuation actuary changing in response to the change in focus in reserving requirements. They will also discuss successful characteristics along with best practices for understanding and explaining results in the new paradigm. The audience will be given the opportunity to interact through polling and facilitated discussion of their stories, experiences and observations.

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.

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: Presentation from the 41st Actuarial Research Conference held in August, 2006 in Montreal. This presentation extends the traditional Sparre Anderson model of ruin theory, using an Erlang distribution for inter-claim times and geometric Brownial motion for asset returns.

Description: Modeling experience sharing by David Yu who leads the retirement product and asset model development team within Prudential Financial

Description: Discusses methods to efficiently run stochastic models in light of AG 43.

Description: As stochastic modeling has evolved, it has divided down two paths—real-world and risk-neutral. This article discusses this division and shows how these paths may be re-united through the use of deflators.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

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.