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The Actuarial Foundation co-sponsored with the Society of Actuaries and the Canadian Institute of Actuaries, the very successful 2003 Stochastic Modeling Symposium held in Toronto, Ontario, Canada, September 4-5, 2003.
Highlights from the 2003 Stochastic Modeling Symposium If you weren’t in Toronto this past September 4th and 5th, you missed out on the 2003 Stochastic Modeling Symposium. But missing out on the symposium doesn’t mean you have to miss out on all the excellent papers that were presented at the symposium. It was a great event, organized by the Canadian Institute of Actuaries’ Committee on Investment Practice but with the full support and sponsorship of the Actuarial Foundation and a number of SOA sections and committees, namely the Financial Reporting Section, the Investment Section and the Committee on Finance Research.
The symposium kicked-off with a welcoming reception on the evening of September 3rd, where highlights included a short walk over to the SkyDome, home of Major League Baseball’s Blue Jays, to enjoy a ball game where the visiting New York Yankees had one thing in mind: to avenge their 8-1 loss suffered two nights earlier. To the dismay of some visiting symposium attendees, the final score would be 4-3 in favor of the home team. The symposium got down to business the next morning and covered a lot of ground over the two days. 175 attendees from 10 countries gathered in Toronto for the opportunity to see, hear, learn and question the authors of 16 excellent papers, all addressing some aspect of stochastic modeling. Like the inaugural 1999 stochastic modeling symposium that was also held in Toronto, this symposium brought together academics and practitioners. In fact, of the 16 papers presented at this year’s symposium, eight were from academics and eight were from practitioners. There is a lot each can learn from the other, and these symposia are great forums for these exchanges. And let me tell you, the refreshment breaks were breaks from sitting down, but there were still a lot of ideas being shared. Lots of contacts were rekindled and many new ones were formed. Clearly, interest in stochastic modeling is high. And why not? We all know that, when built and used carefully, stochastic models can be extremely powerful tools in shedding light on the potential financial implications of today’s increasingly complex insurance and wealth accumulation products. Without stochastic models, one is often left speculating on the possible outcomes. The Canadian Institute of Actuaries (CIA) and the Office of the Superintendent of Financial Institutions (OSFI) have both realized the power of stochastic modeling. OSFI based the capital requirements for segregated fund guarantees on the results of stochastic modeling, and, subject to some conditions, permits companies to use their own internal models to set liabilities and capital for these products. OSFI sees stochastic modeling as an important part of a company’s risk management infrastructure. The CIA, for its part, moved to encourage the use of stochastic models for the valuation of a wider range of products by including stochastic models as an alternative in the general Canadian Asset Liability Method (CALM) valuation process. On the US front, stochastic models will soon make a jump into the insurance regulatory system via the proposed RBC C-3 Phase II requirements for variable annuity guarantees. But I digress – back to the symposium. Papers presented covered topics ranging from choosing appropriate equity and interest rate models, to modeling mortality for heavily skewed mortality cost arrangements such as some reinsurance treaties, to methods for potentially reducing the number of scenarios to run without losing too much accuracy, to understanding the modeling uncertainty or sampling error, to valuing and pricing a range of products, and modeling policyholder behavior. All papers presented had been first subject to the scrutiny of a scientific review committee, also consisting of both academics and practitioners. It would be fair to say that all 16 papers were high quality papers. Nevertheless, the review committee identified a number of papers deserving of spec
To access the 16 papers that were presented at the 2003 Stochastic Symposium, login into the Canadian Institute of Actuaries' website by using login name ciaguest and password ciaguest, then go to the following link: http://www.actuaries.ca/members/resources/meetings/archive_stochasticsymposium_2003_e.cfm If you have trouble accessing the papers, please call Judy Findley at 613-236-8196 ext. 119. Paraphrasing one of the presenters at the symposium, I’d say that stochastic modeling has changed our lives, is here to stay, and actuaries will find a growing number of useful applications for it in the future. In that vain, the Committee on Investment Practice plans to hold the next stochastic modeling symposium in 2006. That’s good to know if you intend to attend or even submit a paper. Indeed, I encourage everyone working on a regular basis with stochastic models to start thinking about what you would like to write a paper on! If enough of us do that, the next symposium could be even better than the one we just had!
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ial mention. Six papers were honored with “Outstanding Paper Awards” and rewarded with $3,500 cash prizes (thanks again to our sponsors). The winning authors (in alphabetical order) and the paper titles are as follows: