Description: Introducing the Respresentative Scenarios Method, the Motivation and Goals, how the methodology works, and what key information can be derived.

Description: A discussion of setting margins for financial reporting of insurance contract liabilities, with a focus on the cost - of - capital approach.

Description: Since insurance contract liabilities are uncertain in amount, an estimate is required. And under most accounting frameworks, the estimate of an uncertain amount should contain some sort of margin for uncertainty. This paper provides a mathematical connection between that margin and the market price of risk as measured by the cost of capital. The connection makes use of the theory of utility and an exponential utility curve.

Description: Scenario generators used in financial models to quantify risk are sometimes described as being as either “real-world” or “risk-neutral”. The difference is in the treatment of the market price of risk. This report explores the relationship between real-world and risk-neutral scenarios and when it is appropriate to use each type.

Description: This article is an update, as of March 2019, on Financial Reporting Section sponsored projects in process and those recently completed.

Description: Full version of The Financial Reporter, Issue No. 65, June 2006.

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: The Society of Actuaries (SOA) Research Institute released an updated report summarizing current issues regarding actuarial technology. In March 2022, for a second time, the SOA Research Institute gathered a panel of insurance industry experts for an update on current actuarial technology topics to help identify directions for future research efforts. This report summarizes their discussions on the Actuarial operating model, technology risk and open-source software.

Description: Building on the Part 1 article, Introduction to the Representative Scenarios Method, this article describes testing the methodology with respect to four product types, fixed indexed annuities with GLIBs, level term life insurance, universal life with secondary guarantees, and variable annuities with GLWBs. This Part 2 article describes testing results, refinements to the RSM methodology, and next steps.