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. Consequently, complete price sensitivity information is derived which is equally applicable in all yield curve environments. In addition, this model is practical and relatively easy to apply. From the Actuarial Research Clearing House ARCH 1989 Vol. 2.

Description: In this article, the current state of the liabilities market is discussed. Two paradigms are then explored for defining and subsequently calculating an insurance liability market value. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: This session at the SOA 1990 Annual Meeting looks at default risks and yield curve risk including discussion of historical experience, NAIC proposals for MSVR, duration leverage, and asset/liability management in a total return environment.

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. To motivate the multivariate approach, simple examples are presented that demonstrate the limitations of the traditional model when yield curve shifts are not parallel.

Description: The author previously wrote about extending the general nonparallel shlft approach to duration analysis. This paper explores the immunization properties of that model. In addition, applications to asset-liability management are explored. From Actuarial Research Clearing House 1990 VOL. 2.

Description: The purpose of this paper is to provide a unified theory for the evaluation of underwriting requirements where this evaluation is based on the measurement of the levels of mortality costs associated with such requirements. A discussion of this paper is included.

Description: This paper presents a new insight into the mathematical structure of asset share-type calculations. Asset shares are interpreted as accumulations of insurance cash flows, which along with their related investment income, are treated as Stieltjes integrals. From Transactions of Society of Actuaries 1978, Vol. 30.

Description: The goal of this paper is to develop best possible estimates for the higher moments of a distribution of a positive bounded random variable, such as claim amounts, where these estimates are given in terms of the mean.

Description: In this paper, the relationship of convexity to the assumption of parallel shifts is explored, and new convexity measures are developed to reflect nonparallel shifts. These new measures can differ dramatically from the traditional values, providing insight into when convexity does not have to be good and when it does.

Description: This session 5PD of the 1998 SOA Annual Meeting panel examines the recent developments and emerging thinking on efforts to explore and develop a fair value or market value based accounting approach. From the Record of the Society of Actuaries, Vol. 24, No. 3.