Stochastic Modeling Published

The International Actuarial Association in late June published Stochastic Modeling — Theory and Reality from an Actuarial Perspective. TheActuarial Foundation, along with five other actuarial organizations, supported the development of this publication with a $20,000 contribution.

A guide for practitioners interested in understanding this important emerging field, Stochastic Modeling —Theory and Reality from an Actuarial Perspective presents the mathematical and statistical framework necessary to develop stochastic models in any setting (insurance or otherwise). Sufficient mathematical detail is presented but no advanced background in mathematics or statistics is required.

This publication features case studies of life and non-life insurance companies, covering a range of topics relevant to capital and surplus modeling of life and non-life insurance companies, including Economic Capital calculations, stochastic reserve and capital calculations, embedded value analyses, and stochastic product pricing and risk management. Taken together, these case studies cover most of the widely-used insurance applications of stochastic modeling to date, and provide an illustrative framework from which future applications can be developed.

For more information, or to order a copy, visit www.actuaries.org.