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Dr. Steven Morrison is a senior director in Moody’s Analytics insurance research group. Steven joined Barrie & Hibbert in 2001 and played a leading role in the design and development of B&H's Economic Scenario Generator software. His recent research and advisory work has focused on applications of the Least Squares Monte Carlo (LSMC) proxy modeling technique to multi-period problems, in particular capital projection and projection of dynamic hedge programs in order to assess hedge effectiveness. He pioneered the use of LSMC as a tool for projection of insurance liability values and measurement of economic capital, publishing in industry journals on this topic. He has an MSc in financial mathematics and a PhD in theoretical physics.

Related Insights

Solvency In Sight - New Tools for Understanding the Impact of Investment Decisions on Capital

In this paper, we have considered the use of proxy models as a way of overcoming some of the operational and computational challenges associated with measuring future solvency under different market conditions and ALM assumptions.

October 2017 Pdf Dr. Steven Morrison

A Primer on Model Efficiency Techniques for Valuation of Large Life Insurance Portfolios

This paper provides an introduction to various techniques for efficient calculation of the market-consistent value of a portfolio of insurance policies. Two standard approaches to portfolio valuation are considered: (1) Use of different scenarios through different policies; (2) Portfolio compression through the use of model points. Additionally, the use of proxy functions is introduced as a novel approach to valuation of individual policies.

April 2017 Pdf Dr. Steven Morrison

Proxy Methods for Run-off CTE Capital Projection: A Life Insurance Case Study

In this paper, we show a practical application to forecasting capital requirements for real portfolios of participating whole life and annuity business, carried out in a joint research project between Moody's Analytics and New York Life Insurance Company.

October 2016 Pdf Dr. Steven Morrison, Aubrey Clayton