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Climate stress tests on corporate bonds
The effects of climate change are increasingly noticeable, particularly those affecting economic activity.
Backtesting of dynamic hedging of RILA
Comparing static vs. dynamic hedging with a Monte Carlo perspective for decision making
The impact of climate change on winter mortality: A complex phenomenon with an uncertain future
In this study, we detail the mechanisms of the impact of changing winter weather conditions on the human body, define the climatic variables of interest, and present appropriate models.
Etude de la mortalité par causes et par facteurs socio-économiques en France
La modélisation de la mortalité par causes de décès permet en effet de repérer les maladies qui bénéficient le plus des avancées médicales, ainsi que celles qui au contraire se généralisent au cours des dernières années.
Individual claim reserving: A complementary approach to aggregated methods
Consistent equity risk-neutral valuation under climate stress tests
This paper proposes a methodology for simulating proper risk-neutral scenarios used to perform best-estimate calculations that integrate some climate transition risk, analyzing their impact on a virtual insurer's balance sheet.
Modeling financial losses from a ransomware attack using a causal approach
With ransomware attacks on the rise all over the world, regulators are keeping a close eye on the reimbursement of ransoms by insurers.
Impact of COVID-19 on best estimate mortality assumptions
Adjustment of COVID-19 mortality data points & impact on the calibration of mortality models
Reducing the number of scenarios used for stochastic ALM valuation
We offer some valuable insights into scenario reduction and trajectory selection for stochastic ALM valuation that could help improve results and minimize computation.
Cosine densities approximations: Applications to swaptions pricing
This paper describes an efficient swaptions pricing method based on density approximation with Fourier series under the Libor market model with a displaced diffusion and stochastic volatility (DD-SV-LMM) framework.