Description: This is a stochastic model used to find the distribution of the discounted value of all future cash-flows.

Description: Discussion of the appropriate use of geometric versus arithmetic average returns to use in a stochastic interest rate generator to be equivalent to a deterministic single interest rate scenario.

Description: In this paper, we introduce a family of leptokurtic symmetric distributions represented by the difference of two gamma variates. Properties of this family are discussed. The Laplace, sums of Laplace and normal distributions all arise as special cases of this family. We propose a two-step method for fitting data to this family. We develop a statistical test for goodness-of-fit and introduce a test of normality of the data. A simulation study is provided to illustrate the theory.

Description: This article is a book review of “Two Stochastic Processes,” by John A. Beekman. The author of this article notes that the two stochastic processes referred to in the book are the Gaussian Markov and the collective risk stochastic processes, and that both the theory and applications are examined. Note: a more detailed review of this book will appear in the Transactions.

Description: Explores the open vs. closed systems debate with regards to actuarial modeling and exposes the over-simplification. Valuable for anyone who uses models.

Description: More Efficient Monte Carlo Simulations for Mortality Assumption Testing

Description: From a session at the Spring regional meeting of the Society of Actuaries held in Atlanta, Georgia, May 24-25, 1999 Equity-indexed products require an asset strategy that matches the equity options embedded in the liability. The panel discusses the following: A. Two asset strategies 1. Purchasing equity options that match the liability options: Is this a perfect match or are there still unhedged risks? 2. Dynamic hedging using the mathematics of “the Greeks”: Is it self-insuring? B. Accounting issues with these strategies

Description: Transcript of the Q&A period from Session 6A: Projection and Statistical Modeling of Mortality at Late Age

Description: This session from the 1995 Vancouver Meeting reexamines Monte Carlo solutions for actuarial problems. From the Record of the Society of Actuaries, Vol. 21, No. 3a.

Description: A contingency table is a set of counts or frequencies obtained by classifying observations in two or more different ways. Log-linear analysis is applied to disability terminations, linking them to variables such as sex, age, region and maximum benefit period. Application to risk classification and underwriting are outlines.