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Modern Deterministic Scenarios for Interest Rates
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Modern Deterministic Scenarios for Interest Rates

September 2017

The Society of Actuaries’ Smaller Insurance Company Section, Financial Reporting Section, Committee on Life Insurance Research and the Modeling Section announce the release of a new study examining moderately adverse conditions. Authored by Mark Alberts, the report provides a framework that actuaries can use to evaluate moderately adverse conditions. The study also provides practical tools to assist actuaries in computing interest rates scenario sets that might collectively be considered moderately adverse.

Report

Modern Deterministic Scenarios for Interest Rates

Modern Deterministic Scenarios for Interest Rates-Addendum 2020

Modern Deterministic Scenarios for Interest Rates - Appendices B-I

Modern Deterministic Scenarios for Interest Rates - Appendix J

Modern Deterministic Scenarios for Interest Rates - Appendix K

Modern Deterministic Scenarios for Interest Rates - Appendix L

Modern Deterministic Scenarios for Interest Rates - Appendix M

Modern Deterministic Scenarios for Interest Rates - Appendix N

Modern Deterministic Scenarios for Interest Rates - Appendix O

Thank You

The Sponsors would like to thank the following individuals that served on the Project Oversight Group:

Pam Hutchins—Chair
Steve Cheung
Duncan Cook
Kip Headley
Eric Janecek
Don Walker
Zhixin Wu
Corwin Zass
Ronora Stryker, SOA Research Actuary
Jan Schuh, SOA Sr. Research Administrator

Questions Or Comments?

If you have comments or questions, please send an email to research@soa.org.

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