Presentation by Noel Harewood - Actuary.com

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Effect of a Mortality Shock on Capital Stochastic modeling allows a more precise determination of capital Risk Capital Shock occurs Initial volatility Stochastic 740 bps 8 741 Introducing the possibility of a permanent shock significantly increases the mortality risk of the contract Note that stochastic modeling produces a result lower than the sum of the “worst case” method and the initial result 32
Closing Thoughts Stochastic modeling of mortality can be a useful enhancement of life insurance modeling Particularly useful in certain cases − Low number of lives covered − Impact of mortality results on financial results is discontinuous Certain organizations may be significantly exposed to mortality risk Particularly reinsurers Further research in this area is needed 33
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 and 28: Case Study 3: Economic Capital for
Page 29 and 30: Projection of stochastic mortality
Page 31: Effect of a Mortality Shock on Capi

Presentation by Noel Harewood - Actuary.com

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