Description: This article provides an analysis of Value at Risk VAR and its advantages and limitations as a tool for assessing and quantifying market risk. The article originally appeared in the August 1997 issue of Financial Engineering News and is reprinted with permission.

Description: Read the November 2019 issue of Risk Management, published by the Joint Risk Management Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This paper studies the theoretical and numerical convergence of Gram-Charlier series applied to the pricing of Asian options.

Description: These are the meeting minutes from the Annual Meeting held at Bal Harbour, FL on October 23-25, 1972. From Transactions of Society of Actuaries 1972, Vol. 24, Pt. 1, No. 70.

Description: September’s Actuary contained an excellent summary by Drew Davidoff of renewal rating for small group medical business. Among the techniques he describes are age, sex, and area rating, experience rating using credibility, experience rating using tiers, examination of the diagnoses in the claim file, and initial and reentry medical underwriting.

Description: The article provides an introduction to tax accounting for U.S. life insurance companies, with a focus on NAIC statutory accounting concepts. The author discusses permanent and temporary differences, the current tax provision, and deferred tax accounting requirements, including admissibility testing under SSAP No. 101.

Description: In this paper the author develops techniques for measuring GAAP return on total capital by line of business, where total capital includes “benchmark surplus,” the amount of statutory surplus set aside, in addition to reserves, to support in-force business. The author also shows how GAAP returns relate to the internal rate of return the actuary may have calculated to describe expected profitability on a statutory basis. Includes discussion and author’s review of discussion. From Transactions of Society of Actuaries 1982 Volume 34.

Description: This article discusses risk transfer and how difficult it is to define and describe. For actuaries, the challenge is to develop an analytical framework under which the presence of insurance risk can be identified and assessed.

Description: In this article, the author examines Nassim Taleb’s work and writings and discusses its relevance to the future of the actuarial profession.

Description: A resource list of publications related to futurism, forecasting, and modeling.