Regulating hurricane insurance loss costs produced by computer models
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Regulating Hurricane Insurance Loss Costs Produced by Computer Models. Presented to the CASE October 10, 2005 by Martin M. Simons MAAA, ACAS, FCA Public Actuarial Consultant. Presentation to CASE 10/10/2005. Florida Commission on Hurricane Loss Projection Methodology

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Regulating Hurricane Insurance Loss Costs Produced by Computer Models

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Regulating hurricane insurance loss costs produced by computer models

Regulating Hurricane Insurance Loss CostsProduced by Computer Models

Presented to the CASE

October 10, 2005

by

Martin M. Simons MAAA, ACAS, FCA

Public Actuarial Consultant


Presentation to case 10 10 2005

Presentation to CASE 10/10/2005

  • Florida Commission on Hurricane Loss Projection Methodology

  • Hawaii Hurricane Model Review Committee

  • Insurance Rate Filings and Hurricane Loss Estimation Models


Fchlpm

FCHLPM

  • Establish by Florida Legislature in 1995

  • to adopt findings relating to the accuracy or reliability of particular methods, principles, standards, models, or output ranges used to project hurricane losses

  • eleven member statutorily defined board


Fchlpm1

FCHLPM

Commission

Insurance Consumer Advocate

FHCF Executive Director

Executive Director of Citizens P.I.C.

Director of Emergency Management

FHCF Advisory Council Actuary

Florida Office of Insurance Regulation Actuary

P & C Company Actuary

Professor of Insurance Finance

Professor of Statistics

Professor of Computer Science

Professor of Meteorology


Accurate

Accurate

  • Designed and constructed in a careful, sensible, and scientifically acceptable manner such that they correctly describe the critical aspects needed to project loss costs


Reliable

Reliable

  • Consistently produce dependable results and that there is no inherent or known bias which would cause the model or technique to overstate or understate the results


Acceptability process

Acceptability Process

  • Prior to November 1, each year, FCHLPM produces new standards, forms and submission requirements

  • Prior to February 1, modeler must notify the FCHLPM that it is ready for review, including:

    • Submission document

    • Required Forms must be completed

    • Description of Trade Secret information to be presented to the Professional Team


Professional team

Professional Team

  • Meteorologist - Dr. Jenni Evans

  • Structural Engineer – Fred Stolaski

  • Actuary – Marty Simons

  • Statistician – Dr. Mark Johnson

  • Computer Scientist – Dr. Paul Fishwick


Professional team review

Professional Team Review

  • Due diligence review of submitted information and proprietary information

  • On-site testing under control and supervision of the professional team

  • Verification of information submitted in forms, disclosures, etc.

  • Review of standards for compliance


Standards

Standards

  • To be determined acceptable, the model must have been found acceptable for all Standards.

  • If the model fails to be found acceptable, by a majority vote, for any one Standard, the model will not be found to be acceptable.


Standards1

Standards

  • General (5 standards)

  • Meteorology (6 standards)

  • Vulnerability (2 standards)

  • Actuarial (9 standards)

  • Statistical (6 standards)

  • Computer (7 standards)


General standard

General Standard

  • G-1 - Scope of the Computer Model and its Implementation

    • The computer model shall project loss costs for personal lines residential property from hurricane events


General standard1

General Standard

  • G-2 – Qualifications of Personnel

    A – Model construction, testing, and evaluation shall be performed by modeler personnel or consultants who possess the necessary skills, formal education, or experience to develop the relevant components for hurricane loss projection methodologies.


General standard2

General Standard

  • G-2 – Qualifications of Personnel

    B - . . reviewed by either modeler personnel or consultants in the following disciplines:

    1) structural engineer (licensed P.E.)

    2) statistics (advanced degree)

    3) actuarial science (FCAS or ACAS)

    4) meteorology (advanced degree)

    5) computer science (advanced degree)


General standard3

General Standard

  • G-3 – Risk Location

    A - ZIP Codes must be updated at least every 24 months

    B – ZIP Codes must be based on population centroids

    C – ZIP Code information must be verified


General standard4

General Standard

  • G-4 Submission Specifications

    A – Units of measurement must be clearly defined

    B – Model outputs shall be in statute miles, statute miles per hour, and millibars

    C – Wind fields generated by the model shall be used for completing forms and tables in submission


General standard5

General Standard

G-5 Independence of Model Components

  • The meteorological, vulnerability and actuarial components shall each be theoretically sound without compensation for potential bias from the other two components. Relationships within the model among the meteorological, vulnerability, and actuarial components shall be reasonable.


Meteorological standard

Meteorological Standard

  • M-1 Base Hurricane Storm Set

    For validation of landfall and bypassing storm frequency in the stochastic storm set, the modeler shall use

    FCHLPM Official Storm Set, or

    The NHC HURDAT as of June 1, 2005


Meteorological standard1

Meteorological Standard

  • M-2 – Hurricane Characteristics

    Methods for depicting all hurricane characteristics, including but not limited to wind speed, radial distributions of winds and pressure, minimum central pressure, radius of maximum winds, strike probabilities, tracks, the spatial and time variant wind fields, and conversion factors, shall be based on information documented by currently accepted scientific literature.


Meteorological standard2

Meteorological Standard

  • M-3 Landfall Intensity

    Models shall use maximum one-minute sustained 10-meter wind speed when defining hurricane landfall intensity. This applies both to the Base Hurricane Storm Set used to develop landfall strike probabilities as a function of coastal location and to the modeled winds in each hurricane which causes damage.


Meteorological standard3

Meteorological Standard

  • M-4 – Hurricane Probabilities

    A – Modeled probability distributions for hurricane intensity, forward speed, radii for maximum winds, and storm heading shall be consistent with historical hurricanes in the Atlantic basin.


Meteorological standard4

Meteorological Standard

  • M-4 – Hurricane Probabilities

    B – Modeled hurricane probabilities shall reasonably reflect the Base Storm Set used for category 1 to 5 hurricanes and shall be consistent with those observed for each coastal segment of Florida and neighboring states (Alabama, Georgia, and Mississippi).


Meteorological standard5

Meteorological Standard

  • M-5 – Land Friction and Weakening

    A – The magnitude of land friction coefficients shall be consistent with currently accepted scientific literaturerelevant to current geographical surface roughness distributions and shall be implemented with appropriate geographic information system data.


Meteorological standard6

Meteorological Standard

  • M-5 – Land Friction and Weakening

    B- The hurricane overland weakening rate methodology used by the model shall be reasonable in comparison to historical records.


Meteorological standard7

Meteorological Standard

  • M-6 – Logical Relationship of Hurricane Characteristics

    A – The magnitude of asymmetry shall increase as the translational speed increases, all other factors held constant.

    B – The wind speed shall decrease with increasing surface roughness (friction), all other factors held constant.


Vulnerability standard

Vulnerability Standard

  • V-1 – Derivation of Vulnerability Functions

    A – Development of the vulnerability functions is to be based on a combination of the following: (1) historical data, (2) tests, (3) structural calculations, (4) expert opinion, or (5) site inspections. Any development of the vulnerability functions based on structural calculations or expert opinion shall be supported by tests, site inspections, or historical data.


Vulnerability standard1

Vulnerability Standard

  • V-1 – Derivation of Vulnerability Functions

    B – The method of derivation of the vulnerability functions shall be theoretically sound.

    C – Any modification factors/functions to the vulnerability functions or structural characteristics and their corresponding effects shall be clearly defined and be theoretically sound.


Vulnerability standard2

Vulnerability Standard

  • V-1 – Derivation of Vulnerability Functions

    D – Construction type and construction characteristics shall be used in the derivation and application of vulnerability functions.


Vulnerability standard3

Vulnerability Standard

  • V-1 – Derivation of Vulnerability Functions

    E – In the derivation and application of vulnerability functions, assumptions concerning building code revisions and building code enforcement shall be reasonable and be theoretically sound.


Vulnerability standard4

Vulnerability Standard

  • V-1 – Derivation of Vulnerability Functions

    F – Vulnerability functions shall be separately derived for building structures, mobile homes, appurtenant structures, contents, and additional living expense.

    G – The minimum wind speed that generates damage shall be reasonable.


Vulnerability standard5

Vulnerability Standard

  • V-2 – Mitigation Measures

    A – Modeling of mitigation measures to improve a structure’s wind resistance and the corresponding effects on vulnerability shall be theoretically sound. These measures shall include fixtures or construction techniques that enhance Roof Strength, Roof covering performance, Roof-to-wall strength, wall-to-floor-to-foundation strength, opening protection, and window, door and skylight strength.


Vulnerability standard6

Vulnerability Standard

  • V-2 – Mitigation Measures

    B – Application of mitigation measures shall be reasonable both individually and in combination.


Actuarial standard

Actuarial Standard

  • A-1 Modeled Loss Costs

    Modeled loss costs shall reflect all damages starting when damage is first caused in Florida from an event modeled as a hurricane at that point in time and will include all subsequent damage in Florida from that event.


Actuarial standard1

Actuarial Standard

  • A-2 – Underwriting Assumptions

    When used in the modeling process or for verification purposes, adjustments, edits, inclusions, or deletions to insurance company input data used by the modeler shall be based upon accepted actuarial, underwriting and statistical procedures.


Actuarial standard2

Actuarial Standard

  • A-2 – Underwriting Assumptions

    B – For loss cost estimates derived from or validated with historical insured hurricane losses, the assumptions in the derivations concerning (1) construction characteristics, (2) policy provisions, (3) claim payment practices, and (4) relevant underwriting practices underlying those losses, as well as any actuarial modifications, shall be reasonable and appropriate.


Actuarial standard3

Actuarial Standard

  • A-3 – Loss Cost Projections

    A – Loss cost projections produced by the hurricane loss projection models shall not include expenses, risk load, investment income, premium reserves, taxes, assessments, or profit margin.


Actuarial standard4

Actuarial Standard

  • A-3 – Loss Cost Projections

    B – Loss cost projections shall not make a prospective provision for economic inflation.

    C – Loss cost projections shall not explicitly include demand surge.


Actuarial standard5

Actuarial Standard

  • A-4 – User Inputs

    All modifications, adjustments, assumptions, and defaults necessary to use the inputs in the model shall be actuarially sound and included with the model output. Treatment of missing values for user inputs required to run the model shall be actuarially sound and described with the model output.


Actuarial standard6

Actuarial Standard

  • A-5 – Logical Relationship to Risk

    A – Loss costs shall not exhibit an illogical relation to risk, nor shall loss costs exhibit a significant change when the underlying risk does not change significantly.

    B – Loss costs produced by the model shall be positive and non-zero for all valid Florida ZIP Codes.


Actuarial standard7

Actuarial Standard

  • A-5 – Logical Relationship to Risk

    C – Loss costs cannot increase as friction or roughness increase, all other factors held constant.

    D- Loss costs cannot increase as the quality of construction type, materials and workmanship increases, all other factors held constant.


Actuarial standard8

Actuarial Standard

  • A-5 – Logical Relationship to Risk

  • E - Loss costs cannot increase as the presence of fixtures or construction techniques designed for hazard mitigation increases, all other factors held constant.

  • F - Loss costs cannot increase as the quality of building codes and enforcement increases, all other factors held constant.


Actuarial standard9

Actuarial Standard

  • A-5 – Logical Relationship to Risk

  • G- Loss costs shall decrease as deductibles increase, all other factors held constant.

  • H – The relationship of loss costs for individual coverages (e.g., structures, and appurtenant structures, contents, and loss of use/additional living expense) shall be consistent with the coverages provided.


Actuarial standard10

Actuarial Standard

  • A – 6 – Deductibles and Policy Limits

  • A – The methods used in the development of mathematical distributions to reflect the effects of deductibles and policy limits shall be actuarially sound.

  • B – The relationship among the modeled deductible loss costs shall be reasonable.

  • C – Deductible loss costs shall be in accordance with s. 627.701(5)(a)1., F.S.


Actuarial standard11

Actuarial Standard

  • A – 7 – Contents

  • A – The methods used in the development of contents loss costs shall be actuarially sound.

  • B – The relationship between the modeled structure and contents loss costs shall be reasonable, based on the relationship between historical structure and contents losses.


Actuarial standard12

Actuarial Standard

  • A – 8 – Additional Living Expense

  • A – The methods used in the development of Additional Living Expense (ALE) loss costs shall be actuarially sound.

  • B – ALE loss cost derivations shall consider the estimated time required to repair or replace the property.


Actuarial standard13

Actuarial Standard

  • A – 8 – Additional Living Expense

  • C – The relationship between the modeled structure and ALE loss costs shall be reasonable based on the relationship between historical structure and ALE losses.

  • D – ALE loss costs produced by the model shall appropriately consider ALE claims arising from damage to the infrastructure.


Actuarial standard14

Actuarial Standard

  • A – 9 Output Ranges

  • A – Output Ranges shall be logical and any deviations supported

  • B – Output ranges produced by the model shall reflect:

    • 1. lower loss costs for masonry than frame construction

    • 2. lower loss costs for residential vs. mobile home risks

    • 3. lower loss costs, in general, for inland vs. coastal counties

    • 4. lower loss costs, in general for northern vs. southern counties


Statistical standards

Statistical Standards

  • S-1Modeled results and goodness of fit

    A – The use of historical data in developing the model shall be supported by rigorous methods published in currently accepted scientific literature.

    B – Modeled and historical results shall reflect agreement using currently accepted scientific and statistical methods


Statistical standards1

Statistical Standards

  • S-2 Sensitivity analysis for model output

    The modeler shall have assessed the sensitivity of temporal and spatial outputs with respect to the simultaneous variation of input variables using currently accepted scientific and statistical methods and have taken appropriate action


Statistical standards2

Statistical Standards

  • S-3 Uncertainty analysis for model output

    The modeler shall have performed an uncertainty analysis on the temporal and spatial outputs of the model using currently accepted scientific and statistical methods and have taken appropriate action. The analysis shall identify and quantify the extent that input variables impact the uncertainty in model output as the input variables are simultaneously varied.


Statistical standards3

Statistical Standards

  • S-4 County level aggregation

    At the county level of aggregation, the contribution to the error in loss cost estimates attributable to the sampling process shall be negligible.


Statistical standards4

Statistical Standards

  • S-5 Replication of Known Hurricane Losses

    The model shall reasonably replicate incurred losses in an unbiased manner on a sufficient body of past hurricane events from more than one company, including the most recent data available to the modeler. This standard applies separately to personal residential and, to the extent data are available, to mobile homes. Personal residential experience may be used to replicate structure-only and contents-only losses. The replications shall be produced on an objective body of loss data by county or an appropriate level of geographic detail.


Statistical standards5

Statistical Standards

  • S-6 Comparison of Projected Hurricane Losses

    The difference, due to uncertainty, between historical and modeled annual average statewide loss costs shall be reasonable, given the body of data, by established statistical expectations and norms.


Computer standards

Computer Standards

  • C-1 Documentation

  • C-2 Requirements

  • C-3 Model architecture and component design

  • C-4 Implementation

  • C-5 Verification

  • C-6 Model maintenance and revision

  • C-7 Security


Computer standards1

Computer Standards

  • C-1 Documentation

    A. The modeler shall maintain a primary document binder, containing a complete set of documents specifying the model structure, detailed software description, and functionality. Development of each section shall be indicative of accepted software engineering practices.


Computer standards2

Computer Standards

  • C-1 Documentation

    B. All computer software (i.e., user interface, scientific, engineering, actuarial, data preparation, and validation) relevant to the modeler’s submission shall be consistently documented and dated.

    C. Documentation shall be created separately from the source code.


Computer standards3

Computer Standards

  • C-2 – Requirements

    The modeler shall maintain a complete set of requirements for each software component as well as for each database or data file accessed by a component.


Computer standards4

Computer Standards

  • C-3 – Model Architecture and Component Design

    The modeler shall maintain and document (1) detailed control and data flow diagrams and interface specifications for each software component, and (2) schema definitions for each database and data file. Documentation shall be to the level of components that make significant contributions to the model output.


Computer standards5

Computer Standards

  • C-4 – Implementation

    A. The modeler shall maintain a complete procedure of coding guidelines consistent with accepted software engineering practices.

    B. The modeler shall maintain a complete procedure used in creating, deriving, or procuring and verifying databases or data files accessed by components.


Computer standards6

Computer Standards

  • C-4 – Implementation

    C. All components shall be traceable, through explicit component identification in the flow diagrams, down to the code level.


Computer standards7

Computer Standards

  • C-4 – Implementation

    • The modeler shall maintain a table of all software components affecting loss costs, with the following table columns: (1) Component name, (2) Number of lines of code, minus blank comment lines; and

      (3) Number of explanatory comment lines.


Computer standards8

Computer Standards

  • C-4 – Implementation

    E. Each component shall be sufficiently and consistently commented so that a software engineer unfamiliar with the code shall be able to comprehend the component logic at a reasonable level of abstraction.


Computer standards9

Computer Standards

  • C-5 - Verification

    A. General – For each component, the modeler shall maintain procedures for verification, such as code inspections, reviews, calculation crosschecks, and walkthroughs, sufficient to demonstrate code correctness.


Computer standards10

Computer Standards

  • C-5 Verification

    B. Component testing

    1. The modeler shall use testing software to assist in documenting and analyzing all components.

    2. Unit tests shall be performed and documented for each component.

    3. Regression tests shall be performed and documented on incremental builds.

    4. Aggregation tests shall be performed and documented to ensure correctness of all model components. Sufficient testing shall be performed to ensure that all components have been executed at least once.


Computer standards11

Computer Standards

  • C-5 Verification

    C. Data Testing

    1. The modeler shall use testing software to assist in documenting and analyzing all databases and data files accessed by components.

    2. The modeler shall perform and document integrity, consistency, and correctness checks on all databases and data files accessed by the components.


Computer standards12

Computer Standards

  • C-6 - Model Maintenance and Revision

    A. The modeler shall maintain a clearly written policy for model revision, including verification of revised components, databases, and data files

    B. A revision to any portion of the model that results in a change in any Florida residential hurricane loss cost shall result in a new model version number.

    C. The modeler shall use tracking software to identify all errors, as well as modifications to code, data, and documentation.


Computer standards13

Computer Standards

  • C-7 - Security

    The modeler shall have implemented and fully documented security procedures for: (1) secure access to individual computers where the software components or data can be created or modified, (2) secure operation of the model by clients, if relevant, to ensure that the correct software operation cannot be compromised, (3) anti virus software installation for all machines where all components and data are being accessed, and (4) secure access to documentation, software, and data in the event of a catastrophe.


Hawaii hurricane model review

Hawaii Hurricane Model Review

  • Initiated in 2001

  • Updated June 30, 2003

  • Based on FCHLPM reviews

  • Composition –

    • Actuary

    • Engineer

    • Meteorologist


Objective

Objective

  • to ensure that models used to produce property insurance loss costs in Hawaii appropriately consider Hawaii hurricane characteristics and frequencies, Hawaii construction types and Hawaii land use and land cover data in their development.


Hawaii model review questions

Hawaii Model Review Questions

Is the model the same as that which has been accepted by the Florida Commission on Hurricane Loss Projection Methodologies (FCHLPM)?

If not, describe the major differences.


Hawaii model review questions1

Hawaii Model Review Questions

Describe how your model defines “hurricane” and how that definition compares with the insurance policy definition used in Hawaii.


Hawaii model review questions2

Hawaii Model Review Questions

Provide details of the impact of each of the following criteria on the creation of the stochastic storm set:

  • Hurricanes vs. tropical storms, Pacific vs. Atlantic storms, historical time period, central pressure, wind speed, land friction, surface roughness, weakening, topography, atmospheric conditions, by-passing storms


Hawaii model review questions3

Hawaii Model Review Questions

Provide details of the process used to develop the expected paths for storms that impact Hawaii. Provide maps at two-and-a-half degree latitude and longitude grid resolution, showing the storm frequencies generated by the model for the domain bounded by the equator and 30N latitude and 140W longitude and the International Dateline.


Hawaii model review questions4

Hawaii Model Review Questions

Provide the 100 and 500- year recurrence interval 3 second gust wind speeds for the following airport locations:

  • Lihue

  • Honolulu

  • Kahului

  • Hilo


Hawaii model review questions5

Hawaii Model Review Questions

Provide details (both written and graphic) of the process used to develop the expected landfall frequencies of storms by hurricane strength for each area of Hawaii.

What is the minimum central pressure for all hurricanes in the stochastic storm set used for Hawaii? What is the source for verification of the minimum central pressure? What is the maximum wind speed associated with this hurricane in the model?


Hawaii model review questions6

Hawaii Model Review Questions

  • Describe the basis of vulnerability function development relative to Hawaii construction characteristics.

  • Describe the studies and methods used in the development of the building stock.

  • Describe the studies and methods used in the validation and verification of the building stock.


Hawaii model review questions7

Hawaii Model Review Questions

  • Describe the studies and methods used in the development of the vulnerability functions.

  • Describe the studies and methods used in the validation and verification of the vulnerability functions.

  • Describe the studies and methods used to determine that the construction characteristics within the model appropriately reflect Hawaii construction characteristics.


Hawaii model review questions8

Hawaii Model Review Questions

  • Provide the total aggregate zero deductible personal residential (homeowners plus dwelling policies) losses produced by your model for Hurricane Iniki.

  • Provide comparisons (in as much detail as model and data will allow) of actual losses with model output losses for Hurricane Iniki.


Hawaii model review questions9

Hawaii Model Review Questions

  • Describe any tests performed to validate the following criteria, especially as the model relates to Hawaii:

    • wind speeds, directions, strengths (Meteorology)

    • damage estimates (Vulnerability)

    • loss costs produced by the model (Actuarial)


Hawaii model review questions10

Hawaii Model Review Questions

Provide the two dimensional instantaneous windfield for the island of Kauai at the time of landfall for Hurricane Iniki as developed by the model at a one-mile grid resolution.


Insurance rate filings and hurricane loss estimation models

Insurance Rate Filings and Hurricane Loss Estimation Models

  • Journal of Insurance Regulation, 4/2004

  • By Charles C. Watson, Jr., Mark E. Johnson, and Martin Simons

  • 324 Public Domain Model Combinations


Public windfield models

Public Windfield Models

Wind Field

  • Rankin Vortex

  • Holton (1992)

  • Miller (1967)

  • SLOSH (Jenesnianski, et al., 1992)

  • Stand. Project Hurricane (Schwerdt, et al,1979)

  • Bretschneider (1972)

  • AFGWC (Brand, et al., 1977)

  • Holland (1980)

  • Georgiou (1985)


Public friction boundary layer models

Public Friction (Boundary Layer Models)

  • None (Schwerdt, et al., 1979)

  • Cell-based (Cook, 1985)

  • ASCE (2000)

  • Trajectory (Watson, 1995)


Public damage functions

Public Damage Functions

  • Australian (Leicester, et al., 1978)

  • Foremost (1996)

  • Friedman (1984)

  • Clemson 1 (Sill, et al., 1997)

  • Clemson 2 (Rosowsky, et al., 1999)

  • Professional Team (FCHLPM, 2002)

  • X-cubed (Howard, et al., 2972)

  • Energy (Watson, 2002)

  • Stubbs (USAID/OAS, 1996)


Study criteria

Study Criteria

  • Topography: US 90 meter DEM from USGS

  • Land Cover:NASA/UMD 250m Global Land Cover data set (Spring 2003)

  • Track: 1851-2002 revised HURDAT data from NHC

  • Exposure: Census 2000 Block Group data (the STF3 data set).


Other hurricane prone states

Other Hurricane Prone States

  • Model review committee

    • Meteorologist

    • Structural Engineer

    • Actuary

  • Determination that the model being reviewed appropriately considers individual state criteria


Individual state criteria

Individual State Criteria

  • Meteorology

    Hurricane frequencies

    Hurricane tracks

    Hurricane strengths

    Land Use

    Land Cover

  • Vulnerability

    Construction Characteristics

    Building Codes and Enforcement

  • Actuarial

    Policy Language

    Insurance Company Practices


Some additional references

Some Additional References

  • Hurricane Best Track Files (HURDAT), Atlantic Tracks File www.nhc.noaa.gov/pastall.shtml

  • Tropical Prediction Center/National Hurricane Center (TPC/NHC), Tropical Cyclones of the North Atlantic Ocean, 1871-1998, with updates

  • Information from the FCHLPM www.sbafla.com/methodology/

  • Watson, Charles C., Johnson, Mark E. and Simons, Martin M., Insurance Rate Filings and Hurricane Loss Estimation Models, Journal of Insurance Regulation, April 2004.

  • Iman, Ronald L., Latin Hypercube Sampling, Encyclopedia of Statistical Sciences, Update, Volume 3, 1999

  • Actuarial Standard of Practice, number 38


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