Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss the benefits of hedging variable annuity guarantees, the challenges they face and how they keep score.

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 This session discusses emerging capital and reserve requirements on Variable annuities with guaranteed benefits and the effect that hedging/capital management strategies can have.

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes towns with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution like univariate t-distributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

Description: Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random component. Several special models of interest rate fluctuation are examined in detail. It is hoped that such theory will be useful in developing fluctuation reserves and premium margins. Presented at the 13th Annual Actuarial Research Conference, Ball State University, August 31st. September lst, 2nd. 1978.

Description: The concept of transformed distributions is generalized in this paper. First the concepts of net premium intensity, loaded premium intensity and load generators arc introduced. Then transformed distributions are identified with premium intensity and hence the loaded premium is calculated from transformed distributions. Finally it is shown that this method of premimn calculation is arbitrage free and it incorporates the strengths of the utility approach.