Description: The purpose of this paper is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. The focus is on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance.

Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

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: In his original monograph on portfolio selection, Markowitz [1952] discusses the tradeoff between the mean and variance of a portfolio. Since then, especially recently, much attention has been focused on asymmetric distributions to minimize risks with given return goal for investors who have special skewness preferences. To address this issue, this paper extends Krokhmal et al. [2002]’s approach by adding CVaR-like constraints to the traditional portfolio optimization problem. The CVaR optimization technique has the advantage of reshaping either the left or right tail of a distribution while not significantly affecting the other. Specifically, this approach is used to manage the skewness of asset-liability portfolios of financial institutions. In addition, the CVaR-like constraints approach is compared with traditional Markowitz method and some other alternatives such as, the CVaR approach [directly optimize CVaR], the Boyle-Ding approach as well as the mean-absolute deviation [MAD] approach. Numerical analysis provides empirical support for the superiority of CVaR-like constraints approach in terms of skewness improvement of mean-variance portfolios.

Description: This paper is a review of actuarial mathematics and its role in actuarial education. Additionally, this article suggests some alternatives to the textbook presentation of several topics. From the Actuarial Research Clearing House 1991, Vol.1.

Description: We devise an approach, using tobit models for modeling annuity lapse rates. The approach is based on data provided by the Society of Actuaries’ Risk Management Task Force. Kim [2005a] models annuity lapse rates using a logit model and the same US data (he also used Korean data separately). We find that the tobit model is a more than suitable approach for all levels of the explanatory variables including interest rates, unemployment rates, and GDP growth rates. Specifically, policyholder behavior in the tail of the distribution of lapse rates is explained as well as it is in the normal range of lapse rates.

Description: The manner in which the actuarial profession models and manages mortality risk is undergoing dramatic changes. New modeling techniques have led to better risk management tools. Capital markets solutions are evolving for insurers wishing to protect against unfavorable mortality developments in both life insurance and annuity products. In this session recent key developments in mortality modeling and in the transfer of mortality risk are examined. From Record of Society of Actuaries, Vol. 30, No. 3: Annual Meeting and Exhibit, New York, NY, October 24-27, 2004, Session 133 TS.

Description: Outline of modifications to formulas in previously released FORTRAN program to compute two-life annuities, including those designated 'qualified joint and survivor annuities' in the ERISA Act of 1974.

Description: Shows how to use personal information such as medical history, family characteristics, etc. in a logical statistical fashion for the purpose of modifying an existing mortality table to reflect the collected underwriting information.

Description: This article summarizes presentations given at the 1998 Bowles Symposium concerning the use of genetic testing in underwriting life insurance and the medical, legal and ethical issues that arise.