Description: This paper develops a theory for the valuation of some kinds of interest sensitive cash flows. A process is derived which takes as input, assumptions about the capital markets and policy holder behaviour, and produces as output interest and decrement assumptions which can be used for conventional actuarial discounting. The methodology is illustrated using some idealized, but tractable, models of conventional non-par whole life insurance. The method is also applied to a simple Universal Life plan. The paper concludes by considering some of the problems encountered when applying the ideas to more practical problems.

Description: This paper introduces the Bond Manager's Method for ALM which allows the impact of a change in interest rate levels on the present value of a stream of cash flows to be directly determined from the coupon rates and prices on benchmark bonds without the intermediate step of determining spot rates. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This model arose from a project to evaluate the cost of a health care access' program to provide comprehensive medical care to uninsureds in Minnesota, for the Minnesota Health Care Access Commission. The project was to provide estimates of the impact on per-person and aggregate costs for various participation percentages in the access program. In order to evaluate those costs, the antiselection model described in this was developed. Of note, this was the ACTUARIAL EDUCATION AND RESEARCH FUND 1991 PRACTITIONERS AWARD WINNER. From Actuarial Research Clearing House 1991, VOL. 2.

Description: A presentation on the principle of equivalent utility from the 2001 ARCH. Contains both the static and dynamic model as well as examples with exponential utility.

Description: Actuarial Research Clearing House 1980 VOL. 1. About the August 28-30, 1980. 15th Acturial Research Conference on Financial Modeling of Pensions and Other Life Income Benefits at The Pennsylvania State University

Description: This brief article describes an actuarial model of continuing care retirement communities [CCRC] that was developed. The model uses a set of multiple-decrement, multi-life, multi-status functions to describe the population of a CCRC.

Description: ARCH Research Clearing House 1998.1 Table of Contents

Description: This paper uses contingent claims analysis to evaluate portfolios of vulnerable private loan guarantees and investigate their risk diversification properties.

Description: There are many investigations probing the relationship between health outcomes [such as mortality rate, fertility rate] and economic variables [such as rise in income] and other variables [such as level of education, availability of clean water]. Usually, these results are demonstrated using data from countries where economic conditions are improving over time along with health outcomes. This paper studies the links between health risks and the current economic conditions in Mexico where general mortality conditions improved during the period 1980-2000 but income fell.

Description: Actuarial Research Clearing House ARCH Paper 1984 ARCH 1 1/1/1984 arch/1978-89/ARCH84V13.pdf Research/Actuarial Research Clearing House/1978-89/1984/ARCH 1 ARCHActuarial Research Clearing HousePaperarch/1978-89/ARCH84V13.pdf