Alternative liability modelling techniques

Lessons from America

Bruce Rosner at Ernst & Young

There are two key ways to make the task of stochastically modelling liabilities more manageable – by compressing the number of policies, or by reducing the number of scenarios through which the policies are simulated. There are a number of potential techniques for both approaches, and insurers are already investigating or implementing several of these for their product pricing, risk management and regulatory reporting. Life & Pension Risk has already looked at some in detail – replicating portfo