Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: In this paper, the author studies the ‘applications of the integer functions, ceiling and floor, to life contingencies. Various actuarial formulas are derived by applying a theorem of the mean value type for integrals and uniform distribution of deaths assumptions.’ Includes discussion and author’s review of discussion. From Transactions of Society of Actuaries 1982 Volume 34.

Description: This paper shows that the Esscher transform is an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This article contains reviews of the following books published in 1987-1990: 1. 'Pension Age in a Changing Society' by Patrick Carroll, 2. 'Life Insurance Mathematics' by Hans U. Gerber, 3. 'A History of Probability and Statistics and Their Applications before 1750' by Anders Hald, 4. 'Medical Risks: Trends in Mortality by Age and Time Elapsed' by Edward A. Lew, 5. 'Canadian Handbook of Flexible Benefits' by Robert J. McKay, 6. 'Canadian Insurance Practices' by Franklin Reynolds, 7. 'On the Shoulders of Giants' edited by Lynn Arthur Steen, 8. 'The Value of Pensions in Divorce: What It Is and How to Use It' by Marvin Snyder, 9. 'Life Insurance Accounting' by Edward P. Brunner and Paul E. Heacock, 10. 'Duration Analysis: Managing Interest Rate Risk' by G.O. Bierwag, and 11. 'Actuarial Evidence: Valuing Past and Future Income' by Donald R. Anderson. Notices of other articles and publications are also included. From Transactions of Society of Actuaries 1990, Vol. 42.

Description: This paper presents a unifying non-Bayesian statistical method for incorporating prior information into the determination of probability distributions and other finite measures and develops the statistical properties of this method together with actuarial applications. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: The purpose of this paper is to provide a survival analysis of persons in the various stages of HIV infection typically leading to AIDS and ultimately death. From Transactions of Society of Actuaries 1988, Vol. 40, Pt. 1.

Description: Traditional discounting is hazardous to corporate health unless, as this paper demonstrates, it is turned on its head and insurance managers adopt the methods of prudent bankers. From Transactions of Society of Actuaries 1987, Vol. 39.

Description: This paper discusses extending the general nonparallel shift approach to duration analysis developed previously and explores the immunization model within the multivariate context. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This session reviews the past half century's advances in finance such as immunization and hedging theory, modern portfolio theory, capital asset pricing model, option-pricing theory, term structure of interest rate models, and so on. Their application to asset and liability management in insurance and pensions is highlighted and discussed.