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Life Health > Annuities > Variable Annuities

Papers Focus On Forecasts Involving Random Variables

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NU Online News Service, Sept. 16, 2003, 3:46 p.m. EDT – Organizers of the recent Stochastic Modeling Symposium in Toronto gave the Outstanding Paper Award to Alastair Longley-Cook and Jason Kehrberg, actuaries at Tillinghast-Towers Perrin, New York.

The actuaries’ paper, “Efficient Stochastic Modeling Utilizing Representative Scenarios,” discusses a fast technique for using a small number of cash-flow scenarios to develop a stochastic model powerful enough to help an insurance company determine capital needs.

A stochastic model is a statistical model that incorporates one or more random variables.

Other papers presented at the symposium addressed topics such as use of stochastic models in forecasting mortality risk, predicting the volatility of stock market returns and analyzing the effects of policyholder behavior on the level of capital required for variable annuities.