Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: This paper demonstrates the calculation of the moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that each record represents an independent Bernoulli trial with its own known probability of a claim, q. Continuous distributions matching the first three or four moments are identified.

Description: This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes towns with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution like univariate t-distributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.

Description: This is a stochastic model used to find the distribution of the discounted value of all future cash-flows.

Description: Appendix to the Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries. The Development of a Simulation Model of Primary Prevention Strategies for Coronary Heart Disease

Description: Transcript of the Q&A period from Session 6A: Projection and Statistical Modeling of Mortality at Late Age

Description: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

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.