Description: This paper discusses the purpose and nature of the benefit ratio [otherwise known as active life] reserve in relation to the class of health insurance contracts to which it is intended to apply. From Transactions of Society of Actuaries 1988, Vol. 40, Pt. 1.

Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: This paper describes some of the minimum guaranteed death and maturity benefits that have been offered or proposed in conjunction with variable annuity contracts, proposes prospective reserves for these guarantees based on change factors that are somewhat analogous to interest factors used in typical life reserves, and proposes a set of change factors.

Description: Report presenting a detailed description of how the actuary can analyze C-3 risk, using asset-liability analysis.

Description: The main aim of this paper is to apply some of the techniques of modern time series and econometric analysis to analyse investment data in order to better understand the nature of long run relationships in investment series typically used in stochastic investment models. The paper attempts to identify and address fundamental issues that need to be considered before developing a particular stochastic investment model.

Description: This paper presents a method involving re-sampling 'with replacement but without random numbers', numerical convolutions for sums and quotients, and estimation of confidence intervals for trend in average size claim. In this paper, this method is applied to major medical claims.

Description: This article describes the development of the uninsured pensioner, UP-94 Mortality Table, including a comparison with other tables and description of projection methodologies using Projection Scale AA.

Description: An updated and expanded translation of the 1863 Theory of Life Insurance Premium Reserves by Dr. August Zillmer, Stettin, Prussia. This is a seminal paper for the life insurance reserve method used extensively in Europe.

Description: This paper by the SOA Committee on HIV research builds on past work to show three projections of the future of the AIDS epidemic. These scenarios can provide information to actuaries in considering the financial impact of AIDS for life and health insurance. The paper develops general population AIDS mortality rates related to the three scenarios. From Transactions of Society of Actuaries 1990, Vol. 42.

Description: In this paper, methods are presented that allow the systematic graduation of multidimensional data subject to linear constraints. With these constraints the practitioner can impose limitations on the graduation that agree with prior knowledge. Discussions of this paper are included.