Time and Uncertainty: Quantify and Control Risk
Time and Uncertainty: Quantify and Control Risk
Stochastic and solvency models for robust, sustainable decision-making.
Stochastic and solvency models for robust, sustainable decision-making.
Fair Cost of a Contingent Obligation: What price or contribution should be established today to cover a future payment (a loss or benefit) whose timing and occurrence are uncertain?
Long-Term Capital Shortfall Problem: Determining the gap between current assets and future liabilities—that is, how much capital must be set aside today to ensure the fulfillment of all promises and obligations in the coming decades.
Uncertain Liability Valuation Problem: What is the exact value that should be recorded in the accounting books today for payment obligations that will only materialize if a future event occurs (e.g., an annuity that depends on survival)?
Structural Sustainability Problem: How can a financing scheme (e.g., a pension fund or a guarantee program) be evaluated and designed to be solvent and viable over a horizon of 30, 50, or more years?
Risk of Increasing Longevity Problem: How can the financial impact of a population or group of beneficiaries consistently living longer than projected, thus increasing the total cost of benefits, be quantified?
Intergenerational Equity Problem: Are current contributions sufficient or excessive compared to the benefits promised to future participants, maintaining a fair balance over time?
Extreme Scenario Modeling Problem: How can the organization's financial results be generated and evaluated under catastrophic conditions (severe economic crises, claims spikes, or high inflation) to measure the scheme's resilience?
Event Frequency Prediction Problem: Determining the probability of an event (death, disability, retirement, etc.) occurring at a specific future time for a group or individual, and how that probability will affect cash flows.
Key Assumption Calibration Problem: What are the most realistic and prudent interest rates and risk rates (mortality, illness, retirement) to use for projecting cash flows and the value of provisions?