Description: This is the abstract of a paper that presents a model for examining the effect of various relationships between mortality rates and lapse rates on the mortality experience of a cohort of insured lives. It takes an individual approach rather than the aggregate approach used in traditional methods of analyzing selective lapsation. The model assumes that insured lives are healthy at policy issue, but may later move to an impaired state from which the lapse rate is zero. Associated with each insured is an unobservable 'risk level' random variable, which reflects the heterogeneity of the insured group. Individual mortality and lapse rates are functions of the risk level. A numerical illustration provides some interesting results obtained using this model.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.

Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the parameters by traditional maximum likelihood. This is the abstract of a paper that proposes an alternative method for estimating the parameters based on an iteratively reweighted least-squares algorithm.

Description: This abstract describes a paper that considers a general risk model in which both the claim and income gain arrivals follow Poisson processes.

Description: A recent study sheds light on the measurement and implications of the relationship between increased morbidity and declining disability. The results were not consistent across all populations. This study of the compression of morbidity is part of a wider project called the M-project, led by the four authors, which aims to explore the demographic factors leading to an increase in the adult longevity, investigate the phenomenon called the compression of mortality and develop a new methodological approach to longevity analysis with focus on the modal age at death M.

Description: This is the abstract of a paper about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This is the abstract of a paper that presents an iterative procedure for computing the lower approximation of the Snell envelope - a value process of the American option. The method produces an increasing sequence of approximations of the Snell envelope from below, which coincide with the Snell envelope in discrete time after finite steps. Advantages of this method compared with other well-known traditional approaches are discussed first. Then, elaborate algorithm details associated with theoretical proofs are discussed. An example of constructing the lower approximation is available with numerical results, which are demonstrated in figures. Some characteristics of the implementation in the computational environment and an improvement are mentioned at the end.

Description: This abstract describes a paper that investigates model uncertainty arising from different ways of treating the operational loss data collection threshold.