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For all life actuaries

Research Paper: Calibration of Equity Returns and Volatility for Stochastic Models

The Committee on Life Insurance Financial Reporting has created a working group to draft this paper to provide support for an updated promulgation of calibration criteria for equity returns and volatility for use in stochastic models related to life insurance actuarial valuation and financial reporting.

The existing calibration criteria for equity returns were developed using the data from January 1956 to June 2010. The data have been updated to cover the period from January 1956 to December 2015 for developing the updated calibration criteria.

If you have any questions or comments regarding this research paper, please contact Dean Stamp, Chair, Working Group, at dean_stamp@manulife.com.

Link(s)
Council/Committee
Practice Council/ Committee on Life Insurance Financial Reporting
Contact with Questions Dean Stamp, Chair, designated group, at dean_stamp@manulife.com
Announcement Number
2017-05(03768)
May 18, 2017