Presentation by Noel Harewood - Actuary.com

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Deterministic mortality projections do not provide the necessary depth to evaluate treaty characteristics The deterministic mortality assumption applied to certificateholders was 80% of the 83 GAM table. COLI product and reinsurance cash flows were projected assuming a 10, 20 and 30% quota-share percentage. Profitability and risk were analyzed <strong>by</strong> calculating the net present value of reinsurance cash flows, and the maximum probability of a reinsurance claim in a period: Key Metrics from Deterministic Projection Quota Share % 80% 83 GAM 10% 20% 30% NPV Reinsurance Cash Flows ($ millions) $0.8 $1.5 $2.3 Max P (Claim) in a Projection Period 0.0% 0.0% 0.0% 20
Deterministic mortality projections do not provide the necessary depth to evaluate treaty characteristics (cont.) The deterministic projection results suggest that higher quota-share percentages result in a more profitable out<strong>com</strong>e However, the best-estimate mortality assumptions never produce a large enough amount of certificateholder claims to force the reinsurer into a claim payment 21
Page 1 and 2: Stochastic Modeling Workshop — Mo
Page 3 and 4: Overview
Page 5 and 6: Stochastic mortality techniques can
Page 7 and 8: Monte Carlo simulation is a common
Page 9 and 10: Stochastic mortality rates can also
Page 11 and 12: There are several practical applica
Page 13 and 14: Case Study 1: Senior Settlements
Page 15 and 16: We have analyzed a hypothetical sen
Page 17 and 18: Case Study 2: COLI Reinsurance
Page 19: Case Study 2: COLI Reinsurance (con
Page 23 and 24: Stochastic mortality projections he
Page 25 and 26: Modifying the expected mortality as
Page 27 and 28: Case Study 3: Economic Capital for
Page 29 and 30: Projection of stochastic mortality
Page 31 and 32: Effect of a Mortality Shock on Capi
Page 33: Closing Thoughts Stochastic modeli

Presentation by Noel Harewood - Actuary.com

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