演讲题目：

Stochastic Modeling—Theory and Reality from an Actuarial Perspective

摘要：

• Introduction to Stochastic Modeling & Techniques

• Stochastic Models vs. Non-stochastic Models

• When should stochastic models be used?

• When should use of stochastic models be questioned?

• Alternatives to stochastic models

• Disadvantages of stochastic models

• Interest Rate Stochastic Case Study

• Risk-neutral Scenarios vs. Real-world Scenarios

• Simplified example

• Application of risk-neutral interest rate scenarios

• Health Case Study

• Stochastic claim reserves for health

• Financial projections of long-tailed health examples

• Guidance on stochastic model implementation

• Checking, Auditing, Communicating and Peer Review

• Putting It All Together—Economic Capital Study

• Q&A Section

演讲人：

James G. Stoltzfus

FSA, MAAA,CERA

Principal, Consulting Actuary

CURRENT RESPONSIBILITY

Jim is a principal with the Philadelphia office of Milliman . He joined the firm in 1982.

EXPERIENCE

Jim consults primarily to life and health insurance companies. His professional experience includes Actuarial appraisals for reinsurance, mergers and acquisitions; product development for Long Tem Care; asset and liability analysis with emphasis on valuation of fixed income securities and derivatives; cash flow testing; statutory and GAAP valuations; embedded value analyses; claim liability analyses; and other life and health insurance consulting. Most recently, he was one of the principal editors on the recently released IAA book on Stochastic Modeling-Theory and Reality form an Actuarial Perspective. In addition, he has published articles on Long Term Care, Mergers and Acquisitions, Economic Capital and Enterprise Risk Management. Jim is an expert in MG-ALFA- Milliman’s asset and liability system-assisting in the development of asset classes and life and health liability lines of business.

PROFESSIONAL ACTIVITIES

Currently, Jim is a member of the SOA Long Term Care Section Council and a frequent speaker at SOA and industry meetings on the topics of ERM, asset liability analysis, and LTC valuation. Also, Jim is currently chair of the SOA Private Placement Experience Committee.

报告时间：2013年10月10日18:30-20:30

报告地点：学术会堂706

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