Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.

Description: In recent years, insurance companies have been introducing saving products whose returns are linked to equity market performance. Equity-indexed annuities [EIA's] are one of the products of this kind. This paper is a study on the recent introduction and popularity growth of equity-indexed annuities. An index is considered which provides a minimum interest guarantee and a participation in the increase in an index.

Description: In 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance claims emerging from catastrophes in a portfolio of policies. This article presents a valuation formula for the contract, under the assumption that catastrophes emerge as a Poisson process over time and that the claims from each catastrophe emerge as a Compound Poisson process. The formula is developed by taking conditional expectations with respect to a history of information that includes knowledge about the time of the catastrophes.

Description: A contingency table is a set of counts or frequencies obtained by classifying observations in two or more different ways. Log-linear analysis is applied to disability terminations, linking them to variables such as sex, age, region and maximum benefit period. Application to risk classification and underwriting are outlines.

Description: In Volume LXXV of the Proceedings there appeared a paper entitled Risk Loads for Insurers by Feldblum. Confidence intervals for the betas in TABLE 4 [Profit Margins and Their Standard Deviations by Line of Business] of this paper can be generated using the assumption of underlying normal distributions. However, bootstrapping operational or not for interval estimates does not require the normality assumption. The method of operational bootstrapping does not use random numbers. The method for the 4-dimensional case, used to generate the interval estimates in the current paper, is a natural generalization of the bivariate case. I use operational bootstrapping to generate interval estimates for Betas shown in the TABLE 5.

Description: This paper shows how discrete multivariate analysis or multidimensional contingency table methods may be applied to data arising in actuarial work. A brief introduction to the theory is followed by two detailed examples of its application. Finally, the concluding remarks indicate how the procedure could be incorporated into a complete rate-making procedure. This work was performed for the U.S. Department of Housing and Urban Development.

Description: All claim reserve systems endeavor to derive estimates of the unpaid portion of claims which have been incurred over a given period of time, making use of information on numbers of claims and amounts paid on claims as of the valuation date. In this paper, a claim reserve system is described. While the system does produce the traditional type of single-point estimates of claim reserves, it also provides the user with frequency distributions of claim reserves

Description: In this paper we shall present our results in terms of the estimation of human mortality rates, but the results carry over to other applications. We shall discuss a Bayesian model that encompasses both graduation [smoothing] and prediction.

Description: This is authors' Fellowship Credit Research Paper. This paper will develop a model for cash flow testing traditional participating insurance that utilizes pricing tools and assumptions to project reserve liabilities. The model makes use of finance and accounting tools to monitor the reasonableness of ending and intermediate surplus results that emerge under the various interest rate scenarios imposed.

Description: The theory underlying the Moving Weighted Average graduation method is restated in the language of linear algebra which provides for an enrichment of the family of formulas. A comparison of the results of applying six members of the family to 100 simulated data sets is provided.