Description: This paper reviews Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 Vol. 1 .

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This research paper presents two series formulas for the probability of eventual ruin derived by the operational calculus method. From the Actuarial Research Clearing House ARCH 1989 Vol. 1.

Description: This paper on the duality between uniform deaths and Balducci assumptions was motivated by earlier referenced works in which exposure formulas based upon the assumption of the uniform distribution of deaths were analysed. From ACTUARIAL RESEARCH CLEARING HOUSE, 1980 VOL. 2.

Description: This paper provides commentary on the paper entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J. Macleod, and J. D. Thomison. From Actuarial Research Clearing House 1990, VOL. 2.

Description: In this paper, a general multivariate duration analysis is introduced that does not depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: In writing this note on the relationship between total return, duration and convexity, it was author's intent to produce a better understanding of Redington's theory of immunization. From Actuarial Research Clearing House 1991, VOL. 2.

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: The following problem is from the 1968 Society of Actuaries Part 4 Examination on Life Contingencies. It is an instructive problem because it interweaves joint-life functions with single-life reserves.

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.