The Academy’s Model Efficiency Work Group

The Academy’s Model Efficiency Work Group (MEWG) is actively promoting and assembling research reports on various techniques to make complex modeling demands more manageable. You can help us by contributing to our research!

Model Efficiency Research Project

The MEWG is now sponsoring and coordinating a new research project on Modeling Efficiency and welcomes contributions from all practicing actuaries, and in particular from any who participated in the PBA research project in early 2009.

We hope to assemble information about the impact and benefits of promising efficiency techniques tested on realistic data for a variety of insurance products. We are looking for companies that are willing to run two sets of projections, one with a detailed model and all scenarios and the other using your choice of scenario or modeling reduction techniques from our published bibliography [1] or from other sources. Perhaps you are already using an effective technique and would be willing to share it with your peers?

If your company agrees to participate, we need only a brief description of the technique used, along with a summary of the results and some basic specifications about the business modeled. See the attached questionnaire for the type of data to be compiled.

• Response Template [2]

* THIS IS A VOLUNTARY SURVEY. DO NOT PROVIDE ANY BUSINESS CONFIDENTIAL OR PROPRIETARY INFORMATION IN RESPONSE TO THIS SURVEY OR ANY COMPANY SPECIFIC INFORMATION WITHOUT THE COMPANY’S PERMISSION. THE ACADEMY CANNOT RECEIVE SUCH INFORMATION OR MAINTAIN ITS CONFIDENTIALITY.

For additional information or to discuss possible contributions to this research project, please contact mewg@actuary.org [3].

Modeling Efficiency Resources

Reports from the MEWG

• Bibliography [4], updated December 2011, listing of published and online resources with short descriptions, organized by technique category (e.g., scenario selection, model data building techniques, hardware design)
• Survey [5], November 2007, summarizing 30 responses from practicing actuaries regarding model efficiency techniques currently being used in categories of scenario design, model design, hardware and software techniques, and general comments

Seminars and Meetings

The following are archived slides from actuarial presentations relating to modeling efficiency techniques and issues, and are not necessarily sponsored by the MEWG.

• SOA Life Meeting, Spring 2008, Quebec City, Quebec
  • Session 41 - Introduction to Modeling Efficiency and Scenario Reduction Techniques–Part 1 [6]
  • Session 51 - Introduction to Modeling Efficiency and Scenario Reduction Techniques–Part 2 [7]
  • Session 62 - Introduction to Modeling Efficiency and Scenario Reduction Techniques–Part 3 [8]
  • Session 72 - Introduction to Modeling Efficiency and Scenario Reduction Techniques–Part 4 [9]
• SOA Annual Meeting, Fall 2008, Orlando, Florida
  • Session 20 - Disability Modeling—Designing Effective and Efficient Models [10]

About the MEWG

The MEWG was formed by the Academy’s SVLII Committee in recognition that many of the calculations envisioned by a principle-based approach to statutory reserves and capital can be onerous. The purpose of this Work Group is to examine ways to make these calculations more manageable.

The Work Group can be contacted via email lifepolicyanalyst@actuary.org [11] or by calling the Academy at 202-223-8196 and asking for John Meetz or Nancy Bennett.