Description: To discuss the principles to be followed in the determination of dividend distribution scheme, how to ensure the fairness and sustainability of dividend distribution, and the specific issues to be considered in the practice of dividend distribution.

Description: In session 151PD of the Washington Annual Meeting the panel presents an overview of present methodologies and design considerations for asset/liability modeling. From the Record of the Society of Actuaries, Vol. 23, No. 3.

Description: This presentation considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier integrals. This is a significant improvement over Monte Carlo simulation in many cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary [constant volatility] price of a put or call in the Black-Scholes model, where the transform is taken with respect to maturity [T]. The presentation derives these formulas and then applies them to the case where volatility is modelled as a Markov chain in continuous time, the so-called 'Markov regime switching model'. This model has been used previously in stochastic volatility modelling, but mostly with only N=2 states. The presentation shows how to use N=3 states without difficulty, and how larger number of states can be handled. Numerical illustrations are given, including the volatility smile in a three-state model.