Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.

Description: Many of the innovations and methods required to improve retirement security exist, but have not been pulled together into an integrated solution at scale.

Description: Mergers and Acquisitions (M&A) are reshaping the insurance industry landscape. Some M&A transactions even garner wide media coverage. The presenters discuss current trends in recent M&A transactions and explore considerations for buyers and sellers leading up to the transactions.

Description: In the context of insurance economics, the PH-transform is justified through some basic postulates on market premiums. In this paper the PH-transform is applied to the present value random variable in life insurance and annuities. It provides an alternative to the commonly used equivalence principle in life insurance and annuities premium calculation. This research project is sponsored by a joint AERF/CKER Grant of the Society of Actuaries.

Description: This article draws attention to the competition for the Boleslaw Monic Prize. Prizes totalling Dutch florins 12,500, roughly US$4,500 are being offered for the three best papers submitted on: “The significance of inflation for the non-life insurance industry, with particular reference to the relationship between direct insurance and reinsurance the problems facing management and a suggested methodology for their solution.”

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: A research report that examines modeling of cash flow associated within a pool of mortgages and specifically focusing on the effectiveness of infusing a limited amount of capital into the pool.

Description: Presented at November 1952 Annual Meeting. Discusses some societal issues affecting the insurance business: war hazard, inflation, and taxation. Also discusses efforts to explain the profession and the prior year's activities within the profession.

Description: Long-term guarantees place unanticipated burdens on companies because of the degree to which the environment can change. These risks are compounded when combined with estimation of policyholder behavior, especially when solid experience data is not available. When risks are properly reflected, long-term guarantees do not always provide value to the customer in excess of the manufacturing cost. The product development actuary is challenged to compare customer value to company cost and use that measurement to identify novel ways to design products to better serve customers.

Description: A look at recent inflation, its impact on society, how it differs from other instances of inflation throughout history, and the effectiveness of various measures to curb inflation. From Record of Society of Actuaries, Vol. 1, No. 2.