Unlocking -- feel like you've done this before?

My fellow actuaries, I think there is a better way.  Let's discuss "How to Get Real Results in Policyholder Behavior Modeling" at session 134 of the SOA Annual Meeting.

Join me at this ACTEX webinar - Data Analysis and Modeling for Long-Term Products


In this webinar, we will explore the difficulties of analyzing experience data for long-term products that are early in their lifecycle and translating this data to assumption models. These issues are endemic to any new product line and are evident across many large and important segments of the life and annuity landscape, including post-level term mortality and variable and fixed indexed annuity lifetime income guarantees. As a case study, we will utilize actual industry-level policyholder experience data from the US annuity market to explore the key drivers, interrelationships, and market segments. Following this, we will put ourselves in the position of an actuary working for a company in this market and analyze a company's experience data. Then we will develop and calibrate assumption models to this data, mindful of credibility limitations and risks of over-fitting data. Finally, we will show how relevant external data can be incorporated to refine the model, and how to quantify the cost-benefit of accessing this data and improving a company’s risk management.

Obstacles to annuity reinsurance deals?

I'll be speaking about how to deal with one of the biggies -- policyholder behavior assumptions -- at the 2019 SOA Reinsurance Seminar on Sep 24-25.  Hope to see you there.

The Use of Predictive Analytics to Set Valuation Assumptions

I will be one of the speakers at session 39 of the SOA Valuation Actuary Symposium, which will cover this hot topic for annuities and other product lines.  Hope to see you there.

Super Models - SOA webcast

August 2, 2019

12:00 - 1:30pm Eastern


I will be the presenter at this SOA webcast.  If you like me, Super Models, or continuing education credit, this is the webcast for you!

What is a "super model"? In this context, super models are developed based on rigorous data analytics techniques, and they provide a range of potential outcomes and financial metrics that can be used to evaluate when material changes are necessary. “Assumptions” can be extracted from super models for various applications, but the super model itself is more robust than that. It is a framework for analysis and risk management, not a point-in-time set of numbers.

This session will emphasize data visualization and communication of highly technical concepts to colleagues and non-actuarial stakeholders. There will be examples based on industry-level policyholder behavior data from the U.S. annuity market, but the concepts transcend product lines.

2019 VA industry studies are coming

This year's VA industry studies of policyholder behavior (surrenders, partial withdrawals and income utilization, and GMIB annuitization) should be complete and delivered to purchasers in mid-June.

If you have not yet decided, we continue to see significant increases in exposures and credibility in key areas that are critical for assumption models:

Total exposure years: 85 million (+5.1% since last year)
GMIB (10yr) exposure years: +28.7%
GLWB in-the-money by 25% or more: +12.3%
GLWB income commencement exposure in years 11 or later: +94.5%

With all of this data in our studies, we can identify key factors of influence and interactions that are typically not evident at the individual company level, even for large blocks. Moreover, we can use this data to develop and calibrate customized behavioral models that are readily implementable with sensible factors of influence, strong goodness-of-fit, and dramatically improved predictive power in terms of A/E ratios. This is not a budget question, it is an investment in risk management with quantifiable benefits. You can check this out as part of our Premium service option.

Also, data gathering is in progress for new industry studies for payout annuities (incl. GMIB/GLWB post-annuitization, SPIA, and structured settlements, respectively), fixed deferred annuities, and the growing market of structured/indexed variable annuities.

Details and pricing are available upon request, including all of the above along with our 2019 FIA studies and triennial (2018) VA and FIA mortality studies. Please contact me with your purchase decisions or if a discussion would be helpful. We will be back in touch in a few weeks when the VA study results are available.

On behalf of our team, thanks for your ongoing support! Talk to you soon.




Pictures of Super Models

Delighted to contribute this cover article to The Modeling Platform newsletter of the Society of Actuaries Modeling section.

And thanks to those of you who attended my presentation at session 08 of the Life & Annuity Symposium this week, which was in a similar vein.

Please contact me at timothyparis@ruark.co if you would like to learn more about how we use industry-level data and techniques like these to develop a cost-benefit equation for data, and quantifiably improve actuarial models and risk management.

See you at the SOA Life & Annuity Symposium!

I will be speaking at session 08 about policyholder behavior modeling and the risks of over-fitting data.  Hope to see you in sunny Florida!