Description: This is a recommendation for SOA scientific publications including the types of papers, schedules and governance of each.

Description: This is the abstract of a paper that summarizes of the curriculum and other features of the university actuarial science programs in North America. The report, includes most schools listed by the SOA as offering actuarial science courses including substantially all of the Course 150 material. This summary was prepared by the author for the SOA Career Encouragement Committee and is being presented at this Actuarial Research Conference to share the information with faculty involved with actuarial education in North America. From Actuarial Research Clearing House 1996, Vol. 1.

Description: In this expository paper several comments are made with respect to the statistical independence of the curtate future lifetime and the fractional part of the future lifetime, both of a general status. In particular, the conditions for independence need to be stated carefully. The last-survivor status is cited as an example. More general assumptions than the uniform distribution of deaths assumption are then considered, together with applications to insurances, annuities, and reserves. Similar results to those under the uniform distribution of deaths assumption are obtained. Brief comments are made with respect to contingent probabilities in multiple lives and multiple decrement theory.

Description: This article comments on the editorial policies of the Actuarial Research Clearing House publication. ARCH 1996 Vol 2

Description: It is obvious that the introduction of a deductible has two major effects. The amount paid for every claim will drop, resulting in a lower claim burden for the insurance company. There will also be a drop in claim frequency, leading to a decrease in claim handling expenses. However, it is by no means obvious how the average claim size changes with the introduction of a deductible. In this paper, we will study this question. First, we derive some theoretical results then apply them to concrete distributions.

Description: This is the abstract of a paper that deals with a recent modification of the Monte Carlo method known as quasi random Monte Carlo. Under this approach, one uses specially selected deterministic sequences rather than random sequences as in Monte Carlo. These special sequences are known as low discrepancy sequences and have the property that they tend to be evenly dispersed throughout the unit cube. For many applications in finance, the use of low discrepancy sequences seems to provide more accurate answer than random sequences.

Description: For several years there has been discussion in the insurance industry of the need for additional capital sources to participate in insuring the financial risk posed by natural catastrophes. A number of methods for accessing the capital markets have been introduced and some insurers are using these to hedge exposure to catastrophe loss. This paper summarizes some of the discussion and describes some of the methods proposed. It then focuses on one of these methods, the use of catastrophe insurance options. Results of simulations are given which may serve as a guide to insurers interested in using these options as part of their risk management strategy and also as an indication to investors of the value of these instruments as a new component of an investment portfolio.

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 paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds requires an incomplete markets setting and this creates special difficulties in the pricing methodology. The paper briefly discusses the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used to develop a pricing method based on a model of the term structure of interest rates and a probability structure for the catastrophe risk. This pricing methodology can be used to assess the default spread on catastrophe risk bonds relative to traditional defaultable securities.

Description: This paper introduces actuaries to the concept of 'copulas,' a tool for understanding relationships among multivariate outcomes. A copula is a function that links univariate marginals to their full multivariate distribution. Recently, there has been a rapidly developing literature on the statistical properties and applications of copulas. This paper explores some of these practical applications, including estimation of joint life mortality and multidecrement models. In addition, the paper describes basic properties of copulas, their relationships to measures of dependence and several families of copulas that have appeared in the literature. This paper will also be useful to those who wish to use copulas for statistical inference. Statistical inference procedures are illustrated using insurance company data on losses and expenses. For this data, the paper shows how to fit copulas and describes their usefulness by pricing a reinsurance contract and estimating expenses for pre-specified losses.