Description: Summary of the SOA's research report Modern Deterministic Scenarios for Interest Rates, which developed interest rate scenarios for use in cash flow testing.

Description: Discussion of the appropriate use of geometric versus arithmetic average returns to use in a stochastic interest rate generator to be equivalent to a deterministic single interest rate scenario.

Description: The April 2016 Issue of The Modeling Platform

Description: For the purposes of risk management and stress testing, we characterize a spectrum of plausible extreme events, that we dub Grey Swans, by introducing a probabilistic method involving the concentration of measure phenomenon. As a result, stress tests can be triaged according to severity, probability and, now, information-based plausibility.

Description: Summary of NAIC's Winter National Meeting

Description: Target volatility, as an investment strategy, has been used by many funds not only as a way to smooth return but also as a way to manage risks of the VA guarantees. Contrary to existing research which favors volatility targeting over fixed allocation, this article shows that because of the existence of market jump risk, target volatility strategy does not necessarily offer an improved risk profile for VA writers. Further, target volatility coupled with leveraging can significantly increase tail risk for insurance companies.

Description: This article looks at stochastic techniques actuaries can use to quantify the non-market risks in insurance products and how stochastic techniques can be used in the evaluation of reinsurance arrangements.

Description: This article describes the key elements of a review of an economic scenario generator (ESG), including scoping, parameters, models, and model efficiency.

Description: With the adoption of the C-3 Phase 2 Project of the American Academy of Actuaries, it is now required that stochastic scenarios be developed for establishing reserves for variable annuities. This project has led to the idea of Principle-Based Reserving PBR where many of the same techniques will be used to set life insurance reserves. This article describes the choice of a Random Number Generator RNG to develop the random scenarios.

Description: This is a brief on a publication intended to serve as an in-depth primer on economic scenario generators.