Description: This paper presents some preliminary results of an analysis of data from a regional municipality in Ontario to assess long term care risks. The data includes information on the optimal level of care at one or more points in time for each individual under study modelled using a Markov process.

Description: This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and living in his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper addresses the evaluation of long-term returns when the short interest rate is modeled by a general diffusion process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return is represented as the solution of a partial differential equation. A finite difference method is derived for the valuation of the long-term return. The method could be used for hedging interest rate risk, pricing and managing interest rate derivatives and interest rate sensitive insurance products. Numerical examples are included.

Description: This report is sponsored by the Society of Actuaries in collaboration with Ernst & Young. It examines the application of stochastic modeling techniques to non-market risks facing the life insurance industry.

Description: One of the most important problems in Finance is the valuation of financial securities written on underlying assets whose prices are subject to uncertainty. This paper presents a technique to estimate the unknown stochastic volatilities by solving the inverse problem associated with the parabolic partial differential equation governing risk neutral derivative security prices. This technique can be applied in a very general multi-factor setting and numerical examples are provided.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. In this Teaching Session the instructor discussed the importance of making sure the correct inferences were drawn from stochastic testing exercises. Topics included: 1. Applying the assumption of a normal distribution. 2. Drawing inferences about, and creating confidence intervals around, a population mean. 3. Drawing inferences about, and creating confidence intervals around, tail percentiles. 4. Certifying anticipated mortality under XXX in a mathematically concise way.

Description: This review summarizes the key features of a stochastic model that works with non-life insurance claim incurral, accrual and reporting. More specifically it provides an overview of the claim model components, classical parameter estimators, test statistics, and forecast point estimates and error variances. From Actuarial Research Clearing House 1991, VOL. 1.

Description: 2003 Valuation Actuary Symposium, San Diego, CA. This panel discussion provided an overview of the current risk-based capital RBC requirements for life insurers as well as insight into topical issues and potential changes to RBC. Discussion topics included: 1. Recap of RBC law and RBC calculation rules. 2. Modeling potential impact of alternative actions. 3. The tax impact of the factors. 4. Stochastic capital requirements for variable products. 5. The role of reinsurance and offshore solutions.

Description: The article and guidebook of the same name use a stochastic simulation model to examine potential impacts of public pension plan risk-sharing policies on government employers and plan members. Policies examined include simple policies such as COLAs and employee contributions that are contingent upon investment returns or funded ratios, and more-complex policies similar to those used in the Wisconsin Retirement System.

Description: This section contains multiple book reviews and notices concerning the actuarial profession. Reviews: 'Medical Risks: Patterns of Mortality and Survival' by Singer and Levinson, 'The Theory and Practice of Pension Funding' by Trowbridge and Farr, 'Two Stochastic Processes' by Beekman, 'Disability Income Insurance - Cost Differentials between Men and Women' by New York Insurance Department, 'Social Security and Private Pension Plans: Competitive or Complementary' by McGill, 'A New Look at Accounting for Pension Costs' by Hall and Landsittel, '1977 Annual Reports of the Board of Trustees of the Federal OASDI Trust Funds...,' 'Investigation of Sickness Statistics - Individual Policies, 1971 and 1973' by the Institute of Actuaries and the Faculty of Actuaries, 'The Graduation of Pensioners and of Annuitants Mortality Experience 1967-70' by the Institute of Actuaries and the Faculty of Actuaries, 'Pensions and Survival - the Coming Crisis of Money and Retirement' by Calvert, 'Group Benefits in a Changing Society' by Spencer, 'Experience of Disabled Work Benefits under OASDI 1965-74' by Bayo and Wilkin. Digests also included.