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2006 General Meeting Assemblée générale 2006 Chicago, Illinois

Canadian Institute of Actuaries. L’Institut canadien des actuaires. 2006 General Meeting Assemblée générale 2006 Chicago, Illinois. IP-20: Stochastic Interest Rate Modeling in Life Insurance Pricing Nazir Valani, FCIA, FSA, MAAA. Practical Example.

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2006 General Meeting Assemblée générale 2006 Chicago, Illinois

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  1. Canadian Institute of Actuaries L’Institut canadien des actuaires 2006 General Meeting Assemblée générale 2006 Chicago, Illinois

  2. IP-20: Stochastic Interest Rate Modeling in Life Insurance Pricing Nazir Valani, FCIA, FSA, MAAA

  3. Practical Example • Generate 5,000 scenarios using AXIS to be used for pricing

  4. Practical Example Interest Rate Models in AXIS: • Correlated Monte Carlo (2) 2 factor Log Normal (3) Calibrated Correlated Monte Carlo (4) Prescribed CALM scenarios

  5. Practical Example Equity Rate Models in AXIS: • Correlated Monte Carlo (2) Correlated Log Normal (3) Regime Switching Log Normal (RSLN - Mary Hardy) (4) Stochastic Asset Model (Wilkie)

  6. Practical Example Equity Models in use: (1) Regime Switching Log Normal (RSLN – CIA & SOA) (2) Stochastic Log Volatility (SLV - AAA) (3) Cox Ingersol Ross (being programmed in AXIS) Mary Hardy Paper

  7. Practical Example Generate 5,000 EQUITY scenarios using AXIS to be used for pricing • RSLN (2 regimes) (1) good regime (+ve return/ low volatility) (2) bad regime (-ve return/ high volatility)

  8. Practical Example Computer Farm: AXIS GridLink - 32 processors - run times

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