Faye Albert and Mark Tenney presentation on Economic Scenario Generators at 2011 Valuation Actuary Symposium.

www.soa.org/files/pd/2011-orlando-valact-57.pdf

The graphs are hard to read, so you may want to buy the e-book version, which has clear copies of the graphs.

e-book vendor 1.

e-book vendor 2

After seeing the graphs showing that SLV does poorly at low rates or transitions from medium to low or low to medium, the actuaries at the session gave Faye Albert and I low ratings for our talk.   They said we had little knowledge and should not be invited back to speak again in our speaker evaluations.  They said our talk had no important content including these graphs showing SLV fails.  SLV is the required model by the NAIC.

Since that talk in September 2011, nothing has been done to fix these problems in the SLV model.  I have downloaded the latest version of the spreadsheet and ran it.  These problems are model problems not programming problems.

Also, when the interest rate portion of the Academy of Actuaries spreadsheet and stock parts were combined, errors were introduced.  I built a replicating system and found some programming errors leading to output errors.  No one else reported them.  Those were fixed in the spreadsheet.  Steve Strommen is the person who coded in the fixes to the Academy of Actuaries spreadsheet.  Note these are distinct from the model problems that still persist in SLV.

So out of the entire US life insurance industry that is required to use the scenarios from the Academy of Actuaries spreadsheet, no one built a replicating system to test the spreadsheet.  Thus no one found the errors introduced at the time of combining the interest rate and equity parts.  Fortunately, I did, and the errors were fixed soon after the combination.   Whether companies bothered to download the fixed version and use it is hard to say. Sometimes people use old versions because they get used to them.

How to get the message out?