Presentation by Noel Harewood - Actuary.com

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Under a deterministic scenario, there is no mortality volatility risk Required assets (assets necessary to ensure solvency) are set equal to the gross premium reserve using best estimate assumptions Assumes constant investment rate Issue Age 65 75 85 Required Assets $87,083 88,276 89,213 Mortality based on 100% of the 2000 SOA Basic Annuity Table Reserves based on $100,000 gross premium 28
Projection of stochastic mortality produces a range of required asset values 1,000 mortality scenarios projected Scenarios based on parameterization of aggregate death rates Model used is q 1 x+t = a t,i x q x+t − Where a t,I ~ Normal (1, (q x+t x p x+t )/n) − q x+t is the tabular death rate Mortality risk capital for a particular scenario is equal to the required assets less the best estimate gross premium reserve more . . . 29
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 and 24: Stochastic mortality projections he
Page 25 and 26: Modifying the expected mortality as
Page 27: Case Study 3: Economic Capital for
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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