1. 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

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