Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: An insurance company starts with an initial surplus, collects premium, pays claims to policyholders and pays dividends to stockholders. What remains is the following year’s surplus. The process continues. This paper describes how to calculate the distribution of surplus for any given year. With these distributions, one can make the calculations of premiums and dividends.

Description: This paper presents a methodology of pricing the guaranteed minimum death benefit of a variable annuity in a market model with jumps. Recent developments in the stock market make variable annuities very attractive products from the insured point of view, but less attractive for insurers. The insured still has the possibility of investment benefits, while avoiding the risk of a stock market collapse. The insurer wants to minimize its risk and yet sell a competitive product. The financial market model consists of one riskless asset and one risky asset whose price jumps in proportions J at some random times T which correspond to the jump times of a Poisson process. The model describes incomplete markets and there is no perfect hedging. In the second part of the paper, we describe a possible method of risk analysis for binomial tree models.

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 This session discusses emerging capital and reserve requirements on Variable annuities with guaranteed benefits and the effect that hedging/capital management strategies can have.

Description: This is the abstract of the article 'A Proposed Unified Valuation System'. This article will briefly describe some analytical examples of a stochastic modeling of risk use to illustrate the S-curve approach to valuation, but more importantly describe key additional area of research and theory, which need to be developed. The focus of this presentation is an invitation for additional research to support a new approach to statutory valuation of life and health risk that can result in better management and regulatory information.

Description: In a series papers by Willmot and Lin, both exponential and non-exponential bounds for the tail probability of various compound distributions have been derived. In Wilmot, it was suggested that non-exponential bounds for the ruin probability were difficult to obtain using martingale arguments. In this note, we show how to use martingale inequalities to obtain some upper bounds for the ruin probability.

Description: We propose asymptotically correct two-sided bounds for random sums where the number of summands has an arbitrary distribution which can be viewed as ruin probabilities or accumulated claim sizes in various risk processes. The bounds are fairly new and they reveal the real accuracy of some well-known and widely used asymptotic formulas. It turns out that this accuracy can be poor and the range where these formulas give appropriate approximations depends on the shape of the tail distribution of the summands. This dependence is examined in the research.

Description: In this paper we discuss some properties of the nth stop-loss order and their application in risk premium principles. We give a necessary condition and a sufficient condition for nth stop-loss orders. They are convenient tools to construct risk pairs with nth stop-loss orders. We show that exponential premium principles can diferentiate between losses more finely than the net premium principles under some conditions.

Description: This paper discusses the binominal financial and insurance models. In addition, the paper expands the discussion to the martingale probabilities measures for insurances, annuities, endowment insurances, and equity-linked products.

Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management