Description: This is an abstract for a research paper that compares the generalized linear array model [GLAM] and Lee-Carter models by fitting them to Swedish mortality data. GLAM is presented as an alternative to Lee-Carter for modeling mortality by age and calendar year.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1

Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: Abstract for the paper which gives a unified approach to modern credibility models by using the theory of estimating functions.

Description: This abstract describes a paper that considers a general risk model in which both the claim and income gain arrivals follow Poisson processes.

Description: This is the abstract of a paper that considers a general two-country model of exchange rate dynamics in which interest rates are stochastic. Special cases of this model are also illustrated in which the, interest rates are constant in each country and when interest rates are Gaussian in each country. This model provides an important tool for actuaries dealing with global risk which includes valuation of currency derivatives [forwards, futures, options and swaps], frequency/severity claims model with exchange rate risk in the claim size, valuation of individual insurance contracts written in foreign currency, and valuation of general interest sensitive claims in foreign currency.

Description: Mortality rates for a local community are desired in conjunction with the calculation of health-adjusted life expectancy HALE, an indicator of population health.

Description: This abstract introduces the paper which uses credibility theory to analyze policyholder persistency. It is assumed that persistency depends on the difference between the premium charge and anticipated claims.

Description: This abstract describes a paper that investigates model uncertainty arising from different ways of treating the operational loss data collection threshold.