Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: Actuaries measure, model, and manage risks. Risk associated with the investment function is a major uncertainty faced by many insurance companies. Actuaries should have knowledge of the asset side of the balance sheet of an insurance company and how it relates to the liability side. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This session reviews the past half century's advances in finance such as immunization and hedging theory, modern portfolio theory, capital asset pricing model, option-pricing theory, term structure of interest rate models, and so on. Their application to asset and liability management in insurance and pensions is highlighted and discussed.

Description: Presents some elementary and down-to-earth calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends until the possible ruin of a company.

Description: The purpose of this paper is to examine a special case of option pricing theory in which the insurance company promises the customer to exercise the option for him. This paper presents a simple formula for valuing the option. From the Actuarial Research Clearing House 1991, Vol.1.

Description: Traditional discounting is hazardous to corporate health unless, as this paper demonstrates, it is turned on its head and insurance managers adopt the methods of prudent bankers. From Transactions of Society of Actuaries 1987, Vol. 39.

Description: In this paper, the calculation of life insurance functions taking an HIV+ life into consideration is examined. From Transactions of Society of Actuaries 1989, Vol. 41.

Description: This paper restates formulae from three textbooks for the Society of Actuaries Course 161 examination which do not use the same set of notation into a common notation. From the Actuarial Research Clearing House 1989, Vol. 2. From the Actuarial Research Clearing House ARCH 1989 Vol. 2.

Description: This paper discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including Lundberg's fundamental equation.