Presentation by Noel Harewood - Actuary.com

More documents

Recommendations

Info

Modifying the expected mortality assumption used to develop the Monte Carlo scenarios adds further insight (cont.) The reinsurer may also want to know the sensitivity of the projected reinsurance cash flows to changes in the underlying expected mortality assumption: NPV Reinsurance CFs <strong>by</strong> Expected Mortality % 1000 Trial Projection, Quota Share % = 20% NPV Reinsurance CFs 2,000,000 - (2,000,000) (4,000,000) (6,000,000) Best Est Min Percentile 0.5% 1.0% 2.5% 5.0% 10.0% 50.0% 90.0% 95.0% 97.5% 99.0% 99.5% Max 70% 83GAM 80% 83GAM 90% 83GAM 24
Modifying the expected mortality assumption used to develop the Monte Carlo scenarios adds further insight (cont. The profitability and risk profile of the treaty change dramatically when introducing a 10 percentage point change in expected mortality. This degree of mortality sensitivity goes undiscovered when analyzing only deterministic mortality projection results, as shown <strong>by</strong> the ‘Best Est’ results. 25
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 and 20: Case Study 2: COLI Reinsurance (con
Page 21 and 22: Deterministic mortality projections
Page 23: Stochastic mortality projections he
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

Create successful ePaper yourself

Delete template?

Save as template?