Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: The investment risk generated by a stochastic interest rate is recognized as often the greatest risk associated with a whole life or retirement policy. Recent research has investigated the mathematics of this risk when the interest rate follows a stochastic process and the time to death is considered to be random. In this paper we focus on the use of the zero coupon bond as an investment instrument to fund a whole life policy. It is unlikely that a company will entirely fund a particular single policy with a zero coupon bond.

Description: Demography is a very exciting subject. With a simple mathematical model, students can project a country's population forward 25, 59, 75 even 100 years. This paper will focus on six ideas from demography. They all can be useful to an actuary, yet none of them would be considered at any length if the actuary didn’t study demography.

Description: Managing corporate defense is therefore an extremely responsible station, as it involves the responsibility for adequately defending the interests of all of the stakeholders of an organization, both in terms of monetary and human implications.

Description: Following Jorgensen and Paes De Souza 1994, Tweedie's compound Poisson distribution is fitted to private passenger automobile accident benefit data. The Tweedie process is a three parameter distribution which corresponds to a Poisson process for claim frequency with gamma distributed claim sizes. From Actuarial Research Conference 1995.

Description: The theory underlying the Moving Weighted Average graduation method is restated in the language of linear algebra which provides for an enrichment of the family of formulas. A comparison of the results of applying six members of the family to 100 simulated data sets is provided.

Description: This paper introduces a new direction for evaluating numerically survival probabilities pointed out by H. Seal in his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as a weighted Poisson process with an infinitely divisible mixing distribution. This property is well known for the negative binomial case [gamma mixing distribution].

Description: The author constructed the efficient frontier of new business sales by modeling the embedded value and economic capital against a universe of possible growth rates of the three lines of business in a typical three-year planning horizon. The ERM function can use the efficient frontier of new business to provide a more rigorous analysis of the impact of growth rates on the firm’s overall capital efficiency and value creation, hence forming a feedback loop with the businesses in the planning process to optimize the growth strategy.

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 focuses on the role of holism in enterprise risk management ERM. The performance measure known as market consistent embedded value is discounted for being overly reductionistic. The concept of an economic capital charge or credit is seen here as a potential bridge from the reductionistic to the holistic approach. It shows some promise for achieving holism, but falls short.