Model compression and stochastic modeling

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By Craig W. Reynolds | 30 June 2010

The movement toward a principle-based approach to statutory valuation for life insurance has made stochastic modeling more common for a range of applications, including embedded value, enterprise risk management, and economic capital. Actuarial Guideline 43, which took effect at the end of 2009, marked the first application of stochastic modeling in U.S. statutory accounting, and provides some important lessons that will apply to future stochastic reserve or capital calculations under a principle-based approach. In this article in The Financial Reporter, Craig Reynolds explores the critical issue of runtime and discusses options like liability model compression. The article is copyright 2010 by the Society of Actuaries, Schaumburg, Illinois, and is posted with permission.

Please see page 22 in the article below.

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