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: This is the abstract from a 1998 presentation at the 33rd Actuarial Research Conference regarding the revised syllabus for the Society of Actuaries education and examination program for 2000.

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: 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: This is a August 1, 1990 memorandum sent to selected members of the Society of Actuaries announcing the creation of an Education and Research Section. From Actuarial Research Clearing House, 1991 Vol. 1.

Description: In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient tools for pricing many options and derivative securities if the logarithms of the prices of the primitive securities are certain stochastic processes with stationary and independent increments. We also study the pricing of American options on two stocks without expiration date and with payoff functions which are homogeneous with respect to the two stock prices.

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 presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This paper reviews Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 Vol. 1 .

Description: This research paper presents two series formulas for the probability of eventual ruin derived by the operational calculus method. From the Actuarial Research Clearing House ARCH 1989 Vol. 1.