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.

Description: Discussion of how to obtain tight upper and lower bounds on E[hX] for a given function h, and a random variable X with three known moments.

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: Discusses the new operating procedures approved by the Board of Governors for the Committee on Papers. The goal of the new procedures is to improve the quality of the papers published in the Transactions.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.

Description: Studies full and partial single-premium deferred fixed annuity withdrawals and the relationship of this activity to selected characteristics of the contract. This report shows results for the calendar years 1984 - 1989 on business issued between 1978 - 1989.

Description: 1992 SOA Annual Meeting, Washington, D.C. In this session on Single Premium Deferred Annuities, the panelists discussed the results of the 1992 Single Premium Deferred Annuity Persistency Study and they identified some additional research in the area of interest-sensitive cash-flow analysis.

Description: This paper incorporates a jump-diffusion process into the original Lee-Carter model, and uses it to forecast mortality rates and analyze mortality securitization.

Description: This report describes a simple way to construct a bivariate copula with specified marginals and partially specified dependence. For example, the method allows one to model tail behavior scenarios while holding the core of the joint distribution fixed. An Excel workbook named CopulaExample.xls is provided to illustrate the method, including its use in Monte Carlo simulation.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1