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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
Whitepaper

Fast Projection of Reserve and Capital Requirements with Proxy Functions

An emerging business requirement for North American insurers is the ability to project forward stochastic reserve and capital requirements under various planning scenarios to a specific future date. In this paper we consider applying proxy functions to this task, using function fitting techniques described in our previous research paper Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods.

October 2018 Pdf Aubrey Clayton, Dr. Steven Morrison
Whitepaper

Fitting Proxy Functions for Conditional Tail Expectation: Comparison of Methods

This paper details alternative methods for fitting proxy functions to CTE, employing quantile regression in combination with OLS among other techniques. We compare methods according to quality of fit for an example portfolio of variable annuities.

March 2018 Pdf Aubrey Clayton, Dr. Steven Morrison
Whitepaper

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