Description: This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets. Optimality is defined here as maximizing expected utility of terminal payout.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: Discusses the interactions between dynamic lapses and interest rates in stochastic modeling for variable annuities.

Description: In this paper, a mathematical model is constructed to study the deviations of claims, investment performance, operating expenses, and lapse expenses as random stochastic processes. Discussions of the paper submitted by 2 readers follows

Description: This presentation is a Teaching Session, number 30TS, from the 2002 Valuation Actuary Symposium, held September 19-20 in Lake Buena Vista, FL. The panelists discuss modeling issues for products with embedded options, such as minimum living or death benefit guarantees on variable life and annuities, and annuity death benefit enhancements. They discuss the risks posed by these features and products, selecting realistic dynamic assumptions, techniques used in modeling these features and products, stochastic analysis, and presenting results to best communicate risks clearly. Discussion from participants is included.

Description: The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic i.e. non- stochastic framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

Description: This paper introduces the symbolic valuation, a stochastic valuation which allows flexible interest rate and cash flow assumptions, and provides an illustration which values a simple SPDA product. From Actuarial Research Clearing House 1992, Vol. 1.

Description: This paper considers the Bayesian analysis of the generalized Poisson distribution GPD and the generalized Poisson regression GPR model. Markov chain Monte Carlo MCMC methods and random variety generation strategies such as adaptive rejection sampling ARS for log-concave densities and adaptive rejection Metropolis sampling ARMS are discussed and then utilized in order to advance the Bayesian analysis of these generalized Poisson models.

Description: Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a relatively new concept. The major difficulty is that the generating functions of these distributions cannot be expressed in terms of elementary functions. Also deriving moments and/or cumulants is somewhat tedious. This article illustrates how to use Maple effectively to overcome these difficulties.

Description: This is the abstract of the paper Minimum Quadratic Distance Estimators for the Zeta Parametric Family. In this paper, we propose a new estimator, based on quadratic distance, asymptotically fully efficient for parameter values greater than 2 and highly efficient for smaller values, but computationally more appealing than the maximum likelihood estimator we compare its asymptotic variance with that of the moment estimator and an estimator proposed by Seal, based on the ratio of the observed frequencies of the first two classes. We also discuss a goodness-of-fit test and a test to discriminate between the zeta distribution and the Poisson distribution truncated at 0.