Actuaries - Risk is Opportunity
Actuarial Directory
Search by:
Advanced Search
My Account
CPD Requirements
Learn more about the SOA CPD requirement.
Go
Exam Registration
Register for exams and requirements.
Go
Calendar
View professional development opportunities.
Go
Find a section
Research

Past Prizes and Awards

Past Prizes and Awards  

The Annual Prize  

An Annual Prize of $500 and a plaque are awarded to the author writing the best eligible paper published in the North American Actuarial Journal. A prize will be awarded only if the Editorial Board of the North American Actuarial Journal considers that the best eligible paper is of sufficient value to justify an award.

No special action is needed to have an eligible paper qualify for consideration in the award of the Annual Prize.

  Period Covered Author(s) Title of Paper and Reference  
January-December 2011 Johnny Siu-Hang Li, Ph.D., FSA and Mary R. Hardy, Ph.D., FSA, CERA, FIA, ACIA “Measuring Basis Risk Involved in Longevity Hedges”
Volume 15, Number 2
January-December 2010 Mario V. Wüthrich, PhD “Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method”, Volume 14, Number 2
January-December 2009 Andrew J. G. Cairns, PhD, David Blake, PhD, Kevin Dowd, PhD, Guy D. Coughlan, Phd, David Epstein, Phd, Alen Ong, and Igor Balevich, FSA, MAAA “A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States”, Volume 13, Number 1
January-December 2008 Tak Kuen Siu, PhD, Christina Erlwein, PhD, and Rogemar S. Mamon, PhD, CSci, CMath “The Pricing of Credit Default Swaps under a Markov–Modulated Merton's Structural Model”, Volume 12, Number 1
January-December 2007 Samuel H. Cox, FSA, Ph.D. and Yijia Lin, Ph.D. “Natural Hedging of Life and Annuity Mortality Risks”, Volume 11, Number 3
January–December 2006 Carole L. Bernard, Ph.D., Olivier A. Le Courtois, Ph.D., and Francois M. Quittard–Pinon, Ph.D. "Development and Pricing of a New Participating Contract," October 2006, Volume 10, Number 4.
January–December 2005 Angus S. Macdonald, FFA, PhD, Howard R. Waters, FIA, FFA, DPhil, and Chessman T. Wekwete, PhD A Model for Coronary Heart Disease and Stroke with Applications to Critical Illness Insurance Underwriting (I: The Model & II: Applications)
January–December 2004 Howard J. Bolnick, F.S.A., M.A.A.A., Hon FIA "A Framework for Long–Term Actuarial Projectors of Health Care Costs: The Importance of Population Aging and other Factors," NAAJ, October 2004, Vol. 8, No. 4
January–December 2003 Howard J. Bolnick, F.S.A., M.A.A.A., Hon FIA "Designing a World–Class Healthcare System," NAAJ, April 2003, Vol. 7, No. 2.
  and  
  X. Sheldon Lin, A.S.A., Ph.D. and Ken Seng Tan, A.S.A., Ph.D. "Valuation of Equity–Indexed Annuities under Stochastic Interest Rates," NAAJ, October 2003, Vol. 7, No. 4.
January–December 2002 David F. Babbel, Jeremy Gold, F.S.A., Ph.D. and Craig B. Merrill "Fair Value of Liabilities: The Financial Economics Perspective," NAAJ, January 2002, Vol. 6, No. 1.
  and  
  Luke N. Girard, F.S.A., F.C.I.A., M.A.A.A. "An Approach to Fair Valuation of Insurance Liabilities Using the Firm's Cost of Capital," NAAJ, April 2002, Vol. 6, No. 2.
January–December 2001 Mary R. Hardy, A.S.A, F.I.A., Ph.D. "A Regime–Switching Model of Long–Term Stock Returns," NAAJ, April 2001, Vol. 5, No. 2
  and  
  Phelim P. Boyle, F.I.A, F.C.I.A., Ph.D., Adam W. Kolkiewicz, Ph.D. and Ken Seng Tan, A.S.A., Ph.D. "Valuation of the Reset Options Embedded in Some Equity–Linked Insurance Products," NAAJ, July 2001, Vol. 5, No.3.
January–December 2000 Hans U. Gerber, A.S.A., Ph.D.and Gérard Pafumi, Ph.D "Pricing Dynamic Investment Fund Protection," NAAJ, April 2000, Vol. 4, No. 2
January–December 1999 Phillipe Artzner "Application of Coherent Risk Measures to Capital Requirements in Insurance," NAAJ, July 1998, Vol. 3, No. 2
  and  
  Yong Yao "Term Structure Models: A perspective from the Long Rate," NAAJ, July 1998, Vol. 3, No. 3
January–December 1998 Hans U. Gerber, A.S.A., Ph.D.and Gérard Pafumi, Ph.D. "Utility Functions: From Risk Theory to Finance," NAAJ, July 1998, Vol. 2, No. 3
January–December 1997 Phelim P. Boyle, F.S.A.and Sheldon Lin, A.S.A. "Optimal Portfolio Selection with Transaction Costs," NAAJ, Vol. 1, No. 2
July 1, 1995–June 30, 1996 Partick L. Brockett,Samuel H. Cox, F.S.A.,Boaz Golany,Fred Y. Phillips,and Yun Song "Actuarial Usage of Grouped Data:" An Approach to Incorporating Secondary Data, TSA, Vol. XLVII (1995)"
July 1, 1994–June 30, 1995 Hans U. Gerber, A.S.A.and Elias S. W. Shiu, A.S.A. "Option Pricing by Esscher Transforms," TSA, Vol. XLVI (1994)
July 1, 1993–June 30, 1994 James A. Tilley, F.S.A. "Valuing American Options in a Path Simulation Model," TSA, Vol. XLV (1994)
July 1, 1992–June 30, 1993 James A. Tilley, F.S.A. "An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators," TSA, Vol. XLIV (1992)
July 1, 1991–June 30, 1992 Robert R. Reitano, F.S.A. "Multivariate Duration Analysis," TSA, Vol. XLIII (1991)
July 1, 1990–June 30, 1991 Edward W. Frees, F.S.A. "Stochastic Life Contingencies with Solvency Considerations," TSA, Vol. XLII (1990)
July 1, 1989–June 30, 1990 Mark E. Litow, F.S.A. "A Modified Development Method for Deriving Health Claim Reserves," TSA, Vol. XLI (1989)
July 1, 1988–June 30, 1989 David N. Becker, F.S.A. "Generalized Profits Released Model for the Measurement of Return on Investment for Life Insurance," TSA, Vol. XL (1988)
July 1, 1987–June 30, 1988 Harry H. Panjer, F.S.A. "AIDS: Survival Analysis of Persons Testing HIV+," TSA, Vol. XL (1988)
  and  
  Louis J. Lombardi, F.S.A. "Relationships between Statutory and Generally Accepted Accounting Principles (GAAP)," TSA, Vol. XL (1988
July 1, 1986–June 30, 1987 S. Michael McLaughlin, A.S.A., F.I.A. "A Comparison of Alternative Generally Accepted Accounting Principles (GAAP) Methodologies for Universal Life," TSA, Vol. XXXIX (1987)
July 1, 1985–June 30, 1986 Paul R. Milgrom, F.S.A. "Measuring the Interest RateRisk," TSA, Vol. XXXVII (1985)
July 1, 1984–June 30, 1985 John D. Stiefel, III, F.S.A. "The Guaranteed Investment Contract (GIC)," TSA, Vol. XXXVI (1984)
July 1, 1983–June 30, 1984 James A. Attwood, F.S.A., and Carl R. Ohman, F.S.A. "Segmentation of Insurance Company General Accounts," TSA, Vol. XXXV (1983)
July 1, 1982–June 30, 1983 Michael F. Davlin, A.S.A.,and Shane A. Chalke, F.S.A. "Universal Life Valuation and Nonforfeiture: A Generalized Model," TSA, Vol. XXXV (1983)

The Triennial Prize*  

A Triennial Prize of $500 and a plaque are awarded the Society member writing the best eligible paper published in the North American Actuarial Journal during each successive three–year period. To be eligible, the paper must have been submitted to the Society in acceptable form before the end of the fifth year succeeding the calendar year in which the author first qualified as an Associate of a recognized actuarial society. A prize will be awarded only if the Editorial Board of the North American Actuarial Journal considers that the best eligible paper is of sufficient value to justify an award. The fact that a paper has been awarded an Annual Prize will not preclude its being considered for the Triennial Prize.

No special action is needed to have an eligible paper qualify for consideration in the award of the Triennial Prize.Prizes are funded in part through memorial gifts donated to the Society of Actuaries. At present, this includes a gift donated in the memory of John P. Tillinghast.

*Winners of this prize, awarded biennially by the Actuarial Society of America (TASA) prior to 1926 and triennially thereafter by the Actuarial Society of America (TASA) and the American Institute of Actuaries (RAIA), are listed in the 1989 and prior Yearbooks.

  Period Covered Author(s) Title of Paper  
2000–2003 (No Award)  
1997–2000 (No Award)  
1994–1997 (No Award)  
1991–1994 Virginia R. Young "The Application of Fuzzy Sets to Health Underwriting," TSA, Vol. XLV (1994)
1988–1991 A. Stephen Beach "Statutory Reserves for Non–Level–Premium Policies," TSA, Vol. XLII (1990)
1985–1988 Jacques F. Carriere "The Bounds of Bivariate Distribution That Limit the Value of Last–Survivor Annuities," (Lai K. Chan, co–author), TSA, Vol. XXXVIII (1986)
1983–1985 Shane A. Chalke "Universal Life Valuation and Nonforfeiture: A Generalized Model," (Michael F. Davlin, co–author), TSA, Vol. XXXV (1983)
1980–1982 William F. Bluhm "Cumulative Anti–Selection Theory," TSA, Vol. XXXIV (1982)
1977–1979 James A. Tilley "The Pricing of Nonparticipating Single Premium Immediate Annuities," TSA, Vol. XXXI (1979)
1974–1976 Paul R. Milgrom "On Understanding the Effects of GAAP Reserve Assumptions," TSA, Vol. XXVII (1975)
1971–1973 Francisco Bayo "Mortality of the Aged," TSA, Vol. XXIV (1972)
1968–1970 Samuel H. Turner "Asset Value Guarantees under Equity–Based Products," TSA, Vol. XXI (1969)
  and  
  Richard W. Ziock "Gross Premiums for Term Insurance with Varying Benefits and Premiums," TSA, Vol. XXII (1970)
1965–1967 Mel Stein "A Direct Comprehensive Approach to the Calculation of Gross Nonparticipating Premiums," TSA, Vol. XVII (1965)
1962–1964 Paul M. Kahn "An Introduction to Collective Risk Theory and Its Application to Stop–Loss Reinsurance," TSA, Vol. XIV (1962)
1959–1961 James C. H. Anderson "Gross Premium Calculations and Profit Measurement for Nonparticipating Insurance," TSA, Vol. XI (1959)
1956–1958 E. Allen Arnold "Analysis of Approximate Valuation Methods," TSA, Vol. VII (1955)
1953–1955 Paul H. Jackson "Experience Rating," TSA, Vol. V (1953)
1949–1952 A. M. Niessen "Projections–How To Make Them and How To Use Them," TSA, Vol. II (1950)

The Halmstad Prize  

The David Garrick Halmstad prize is given annually for actuarial research in memory of David Halmstad, an Associate of the Society, for his significant contributions to actuarial science and research. Funds for the prize were contributed in Mr. Halmstad's memory by his friends and colleagues. The fund is administered by The Actuarial Foundation (TAF).

To select the best paper on actuarial research published each year, a committee including the Society's Education and Research Section examines major English language actuarial journals, nominates outstanding papers, reviews the selected articles, and votes for the best paper. The results of these proceedings are submitted to the AERF Committee of TAF for the final selection.

  Year of Publication Author(s) Title of Paper and Reference  
2006 David Blake, PhD, BSC, MSc
Andrew J.G. Cairns, MSc
Kevin Dowd, PhD
"Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk" Published in Astin Bulletin, Vol. 36, no1, 2006, pp. 79–120
2005 Geoffrey H. Hancock & John Manistre "Variance of the CTE Estimator"
2004 Leslaw Gajek & Dariusz Zagrodny "Reinsurance Arrangements Maximizing Insurer's Survival Probability," Journal of Risk and Insurance, Vol. 71, 421–435.
2003 A. S. Macdonald, BSc, PhD, FFA; H. R. Waters, DPhil, FIA, FFA and C. T.Wekwete, BSc, MSc, PhD; "The Genetics of Breast and Ovarian Cancer I: A Model of Family History" and "The Genetics of Breast and Ovarian Cancer II: A Model of Critical Illness Insurance" Scandinavian Actuarial Journal 1–50
2002 Thomas Moller, Ph.D. “On Valuation and Risk Management at the Interface of Insurance and Finance,” British Actuarial Journal, 8, IV, pp. 787–827
2001 Martin Schweizer, Ph.D. "From Actuarial to Financial Valuation Principles," Insurance: Mathematics and Economics, 2001, Volume 28, Issue 1, pp. 31–47
2000 Hans U. Gerber, Ph.D., A.S.A. Elias S.W. Shiu, Ph.D., A.S.A. "Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation," NAAJ, April 2000, Vol. 4, No. 1, pp. 42–62.
1999 Uwe Schmock "Estimating the Value of the Wincat Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk," ASTIN Bulletin, Vol. 29, No. 1, 1999, pp. 101–163
1998 Hans U. Gerber, Ph.D., A.S.A.Elias S. W. Shiu, Ph.D., A.S.A. "On the Time Value of Ruin," NAAJ, January 1998, Vol. 2, No.1, pp. 48–78 and "Pricing Perpetual Options for Jump Processes," NAAJ, July 1998, Vol. 2, No. 3, pp. 101–112
1997 Edward W. Frees, Ph.D., F.S.A.Yueh–Chuan King, Ph.D.Marjorie Rosenberg, Ph.D., F.S.A.Virginia Young, Ph.D., F.S.A.Siu–Wai Lai, Ph.D., A.S.A. "Forecasting Social Security Actuarial Assumptions," NAAJ, October 1997, Vol. 1, No. 4, pp. 49–82
1996 Edward W. Frees, Ph.D., F.S.A.Jacques Carriere, Ph.D., F.S.A.Emiliano Valdez, Ph.D., F.S.A. "Annuity Valuation with Dependent and Mortality," Journal of Risk and Insurance, June 1996, Vol. 63, No. 2, pp. 229–261
1995 Gregory C. Taylor, Ph.D., FIA., F.I.A.A. "An Equilibrium Model of Insurance Pricing and Capitalization," Journal of Risk and Insurance, Sept 1995, Vol. 62, No. 3, pp.409–446
1994 Hans U. Gerber, Ph.D., A.S.A.
and Elias S. W. Shiu, Ph.D., A.S.A
"Martingale Approach to Pricing Perpetual American Opions," ASTIN Bulletin, Vol. 24, 1994, pp. 195–220. and "Option Pricing by Esscher Transforms," TSA, Vol. XLVI, 1994, pp. 99–140.
1993 Knut K. Aase "Equililbrium in a Reinsurance Syndicate: Existence, Uniqueness and Characterization," ASTIN Bulletin, Vol. 23, no. 2, 1993, pp. 185–211 and "Premiums in a Dynamic Model of a Reinsurance Market," Scandinavian Actuarial Journal 1993, pp. 134–160
1992 James A. Tilley, Ph.D., F.S.A. "An Actuarial Laymen's Guide to Building Stochastic Interest Rate Generators," TSA, Vol. XLIV, 1992, pp. 509–538.
1991 Patrick L. Brockett, Ph.D. "Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Application," TSA, Vol. XLIII, 1991, pp. 73–114
1990 Edward W. Frees, Ph.D., F.S.A. "Stochastic Life Contingencies with Solvency Considerations," TSA, Vol. XLII, 1990, pp. 91–129.
1989 Hal W. Pederson,Elias S.W. Shiu, Ph.D., A.S.A.,and A. Eric Thorlacius, F.S.A. "Arbitage–Free Pricing of Interest–Rate Contingent Claims," TSA, Vol. XLI, 1989, pp. 231–265.
1988 Henrik Ramlau–Hansen "The Emergence of Profit in Life Insurance," Insurance: Mathematics and Economics, Vol. 7, 1988, pp. 225–236
1987 F. Delbaen and J. Haezendonck "Classical Risk Theory in an Economic Environment," Insurance: Mathematics and Economics, Vol. 6, 1987, pp. 85–16.
  and  
  C.D. Daykin, G.D. Bernstein,S.M. Coutts, E.R.F. Devitt,G.B. Hey, D.I.W. Reynolds,and P.D. Smith "Assessing the Solvency and Financial Strength of a General Insurance Company," Journal of the Institute of Actuaries, Vol. 114, Pt. 2, 1987, pp. 227–309
1986 Ragnar Norberg "A Contribution to Modeling of INBR Claims," Scandinavian Actuarial Journal, No. 3–4, 1986, pp. 155–203.
1985 Robert P. Clancy, F.S.A. "Options on Bonds and Applications to Product Pricing," TSA, Vol. XXXVII, 1985, pp. 97–151
1984 James D. Broffitt, Ph.D., A.S.A "Maximum Likelihood Alternatives to Actuarial Estimators of Mortality Rates," TSA, Vol. XXXVI, 1984, pp. 77–142.
1983 Anders Martin–of "Premium Control in an Insurance System, An Approach Sharing Feedback and Persisting Scandinavian Actuarial Journal, No. 1, 1983, pp. 1–27.
1982 L.A. Balzer, Ph.D. "Control of Insurance Systems with Delayed Profit/Loss Sharing Feedback and Persisting Unpredicted Claims," Journal of the Institute of Actuaries, Vol. 109, 1982, pp. 285–313
1981 Newton L. Bowers, Jr., F.S.A.,James C. Hickman, Ph.D., F.S.A.,Cecil J. Nesbitt, Ph.D., F.S.A. "Dynamics of Pension Funding: Contribution Theory," TSA, Vol. XXXI, 1979, pp. 93–119.
1980 William S. Jewell, Ph.D. "Models in Insurance: Paradigms, Puzzles, Communications, and Revolutions," Transactions, 21st International Congress of Actuaries, Zurich, June 19, 1980, Vol. S, pp. 87–130.
1979 James C. Hickman, Ph.D., F.S.A.,Robert B. Miller, Ph.D. "Bayesian Bivariate Graduation and Forecasting," ARCH, 1979.3, pp. 99–136.
1978 Phelim P. Boyle, Ph.D., F.C.I.A. "Immunization Under Stochastic Models of the Term Structure," Journal of the Institute of Actuaries, Vol. 105, Pt. II, 1978, pp. 177–187. Also ARCH, 1980.1, pp. 19–29.

The L. Ronald Hill Memorial Prize–This prize has been discontinued  

Beginning in the year 2000, William M. Mercer donated $10,000 to The Actuarial Foundation in memory of L. Ronald Hill.

Prior to the year 2000, the L. Ronald Hill Memorial Prize was given annually in memory of L. Ronald Hill, a Fellow of the Society of Actuaries. The $500 prize and plaque were donated by William M. Mercer Inc., to encourage the publication of papers in the North American Actuarial Journal and the Pension and Health Sections on the subject of employee benefit plans. Awards of other prizes for an employee benefit paper did not preclude that paper from eligibility for the L. Ronald Hill prize.

Three Fellows, representing the Group, U.S. Pension and Canadian Pension areas, selected the recipient of the award. Papers are judged based on appropriateness of subject material, timeliness of topic, universality, originality, and practical and theoretical application to employee benefits

  Year of Publication Author(s) Title of Paper and Reference  
2000   Change in award to donation to The Actuarial Foundation by William M. Mercer, Inc.
1999 (No Award)  
1998 (No Award)  
1997 (No Award)  
1996 Klaus O. Shigley, F.S.A. "The Pension Max' Election: An Investigation of the Structural and Economic Differences Between the 100% Contingent Annuity Pension Benefit Option and the Straight Life Benefit Option Used in Connection with Pension Max" TSA, Vol. XLVII (1995)
1995 (No Award)  
1994 Virginia R. Young, F.S.A. "The Application of Fuzzy Sets to Group Underwriting," TSA, Vol. XLV (1993)
1993 Richard Daskais, F.S.A.David LeSueur, F.S.A. "An Introduction to Duration for Pension Actuaries," The Pension Forum, Vol. 8, no. 1 (June 1993)
1992 (No Award)  
1991 (No Award)  
1990 Roy Goldman, F.S.A. "Pricing and Underwriting Group Disability Income Coverages," TSA, Vol. XLII (1990)
1989 Adam J. Reese, A.S.A. "The Valuation of Retiree Medical Benefits," The Pension Forum, Vol. 5, no. 1 (March 1989)
1988 (No Award)  
1987 Victor J. Modugno, F.S.A. "Terminal Funding," TSA, Vol. XXXVIII (1986)
1986 (No Award)  
1985 John D. Stiefel, III, F.S.A. "The Guaranteed Investment Contract (GIC)," TSA, Vol. XXXVI (1984)
1984 Lawrence N. Bader, F.S.A. "Actuarial Implications of Dedicated Pension Funds," TSA, Vol. XXXV (1983)
1983 Barnet N. Berin, F.S.A., andAnthony B. Richter, F.S.A. "Constant Replacement Ratios in Retirement: A Theoretical Approach," TSA, Vol. XXXIV (1982)

The Edward A. Lew Award  

The Edward A. Lew Award is given periodically for the best paper in modeling research. The SOA Committee on Knowledge Extension Research sponsors the Award on behalf of the Society.

The Award honors Mr. Lew's many contributions to the Society of Actuaries and the actuarial profession as SOA President in 1973–74 and as a long–time contributor to actuarial research efforts. The Award is consistent with Mr. Lew's view of the importance of modeling research to actuaries.

  Year of Award Author(s) Title of Paper  
2002 Russell Gerrard, Ph.D., Steven Haberman, FIA, Ph.D., and Elena Vigna, Ph.D. The Management of De–Accumulation Risks in a Defined Contribution Environment
  Mike Wadsworth, FIA, Michalis Ioannides, Ph.D, and Kathleen Beswick, FIA Managing of De–Accumulation Risks in Defined Contribution Environment
2000 Bruce Jones, Ph.D., F.S.A. Development of Educational Material Related to Actuarial Modeling
1999 Hans U. Gerber, Ph.D., A.S.A.Elias S. Shiu, Ph.D., A.S.A. "Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation," NAAJ, April 2000, Vol. 4, No. 2, pp. 42–62.
1998 Edward A. Frees, F.S.A., Ph.D.Yu Luo, A.S.A.Virginia R. Young, F.S.A., Ph.D. "A Longitudinal Data Analysis Interpretation of Credibility Models Forecasting," Insurance Mathematics and Economics, May 28, 1999, Vol. 24, No. 3.
  Edward W. Frees, F.S.A., Ph.D.Yueh–Chuan Kung, Ph.D.Siu–Wai Lai, A.S.A., Ph.D.Marjorie A. Rosenberg, F.S.A., Ph.D.Virginia R. Young, F.S.A., Ph.D. "Forecasting Social Security Actuarial Assumptions," NAAJ, October 1997, Vol. 1, No. 4, pp. 49–82
  Edward W. Frees, F.S.A., Ph.D.Emiliano Andres P. Valdez, F.S.A. "Understanding Relationships Using Copulas," NAAJ, January 1998, Vol. 2, No. 1, pp 1–25.

Redington Prize  

The Investment Section sponsors a biennial prize of $2,000 to promote investment research. The prize is named after F.M. Redington, the eminent British actuary who coined the term "immunization" in a 1952 paper in the Journal of the Institute of Actuaries.

The prize will be awarded in October 2003 for papers published in 2000–2001.

  Period Covered Author(s) Title of Paper  
2000–2001 Luke N. Girard, F.S.A. "Market Value Of Insurance Liabilities: Reconciling The Actuarial Appraisal And Option Pricing Methods," NAAJ, January 2000, Vol. 4, No. 1
1998–1999 Yong Yao, A.S.A. "Term Structure Models: A Perspective form the Long Rate," NAAJ, July 1999, Vol. 3, No. 3
1995 – 1997 Andrew Ang andMichael Sherris, A.S.A., F.I.A., F.I.A.A "Interest–Rate Risk Management: Developments in Interest Rate Term Structure Modeling for Risk Management and Valuation of Interest–Rate Dependent Cash Flows," NAAJ, April 1997, Vol. 1, No. 2
  and  
  Corwin Joy, Phelim Boyle,and Ken Seng Tan "Quasi–Monte Carlo Methods in Numerical Finance," Management Science, 1996 and reprinted in Monte Carlo: Methodologies and Applications for Pricing and Risk Management, Chapter 24, 1998.
1993–1995 Robert R. Reitano, F.S.A "Multivariate Stochastic Immunization," TSA XLV (1993), pp. 425–461.
1991–1993 Robert R. Reitano, F.S.A. "Multivariate Duration Analysis," TSA XLIII (1991), pp. 335–376.
1989–1991 Irwin T. Vanderhoof, F.S.A.,Faye Albert, F.S.A.,Aaron Tenenbein, A.S.A., andRalph Verni "The Risk of Asset Default," TSA XLI (1989), pp. 547–582.

Arthur Pedoe Life Insurance Company Expense Study Award  

The $5,000 Arthur Pedoe Life Insurance Company Expense Study Award is offered once every three years for a paper that is judged by the SOA's Committee on Life Insurance Company Expenses (CLICE) to be the best paper on life insurance company expense analysis published by a suitable actuarial publication. The first award is planned to be presented in late 2005 for the best paper published between July 1, 2001 and June 30, 2005.

The purpose of the award is to increase awareness of the importance of expense analysis among company management by encouraging informative, high–caliber papers on the subject.

To be considered, a paper must be based on sound actuarial and accounting principles and should be of such caliber as to advance the state of the art of expense analysis and related life insurance financial information. Members of the CLICE will judge entries in conjunction with the editors of the North American Actuarial Journal (NAAJ). The CLICE reserves the right not to make an award in any period in which it does not consider any paper worthy of the award.