Stochastic modellingHow actuaries can use stochastic techniques to better manage their businesses |
The use of stochastic techniques by Life Insurers globally has grown rapidly over the last 10 years, mainly driven by regulatory requirements in the presence of significant investment risks. Stochastic models have many possible applications that the actuarial profession can embrace going forwards. It is therefore important the actuaries are aware of the range of models available, their features and some of the practical issues associated with using stochastic techniques.
In a paper presented at the 2007 Institute of Actuaries Biennial Convention, Trowbridge Deloitte consultant Shaun Gibbs, discussed a range of issues associated with stochastic asset models, and with asset-liability modelling for life and wealth management companies.
Attachment
Practical issues in ALM and stochastic modelling (343KB PDF)
Paper prepared for the Institute of Australian Actuaries