Description: This is the abstract of a paper about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This is the abstract of the article 'A Proposed Unified Valuation System'. This article will briefly describe some analytical examples of a stochastic modeling of risk use to illustrate the S-curve approach to valuation, but more importantly describe key additional area of research and theory, which need to be developed. The focus of this presentation is an invitation for additional research to support a new approach to statutory valuation of life and health risk that can result in better management and regulatory information.

Description: Abstract to research paper which introduces estimators of stock price volatility.

Description: These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff of the European call in terms of the mean and variance of the underlying asset. In this talk, we extend Lo's result to the multi-asset case. Unlike the one asset case, the correlations between the assets play an important role and have to be taken into consideration.

Description: This is the abstract of the paper Hedging of Insurance Contracts. ls the tinting of liabilities e.g. the IBNR case irrelevant to investment decisions in an insurance company? Even in the extreme case of independence between claim developments and movements in the financial markets, the assumption of constant insurers' absolute measure of risk aversion is necessary for a positive answer to the initial question.

Description: This is the abstract of a paper that considers a general two-country model of exchange rate dynamics in which interest rates are stochastic. Special cases of this model are also illustrated in which the, interest rates are constant in each country and when interest rates are Gaussian in each country. This model provides an important tool for actuaries dealing with global risk which includes valuation of currency derivatives [forwards, futures, options and swaps], frequency/severity claims model with exchange rate risk in the claim size, valuation of individual insurance contracts written in foreign currency, and valuation of general interest sensitive claims in foreign currency.

Description: This abstract describes a paper that proposes a stochastic population structure model based on the Leslie matrix, in which a Lee-Carter model framework is used to describe the future mortality and fertility changes.

Description: A proposal for a minimum continuing capital and surplus requirement for life insurers has recently been circulated by the Department of Insurance Canada for comment by the life insurance industry and the actuarial profession in Canada. This talk describes some of the reasoning and methodology underlying this proposal.

Description: This abstract introduces the paper that demonstrates that marital status has as much influence on rates of human mortality as the better known factors of gender and smoking habits. The validity of various explanations is examined.

Description: This article is about valuing employee pensions and how much of the pension a spouse would be entitled to with a focus on the current differences in Canadian provincial legislation. The strengths and weaknesses of different methods are outlined. From Actuarial Research Clearing House, 2000, Volume 1.