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

Description: This is the abstract of a paper that presents a Bayesian model for analyzing time-dependent data. The model allows for the possibility of a shift in the level and/or a shift in the variance of the process at all time points. An example of simulated data will be shown as well as the results of four macroeconomic time series data: inflation, interest, unemployment, and wage. The fitted data of the model is compared against the actual through the use of prediction intervals and the creation of a new measure, called the 'modified Akaike Information Criterion'.

Description: These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff of the European call in terms of the mean and variance of the underlying asset. In this talk, we extend Lo's result to the multi-asset case. Unlike the one asset case, the correlations between the assets play an important role and have to be taken into consideration.

Description: This is the abstract of a paper that summarizes of the curriculum and other features of the university actuarial science programs in North America. The report, includes most schools listed by the SOA as offering actuarial science courses including substantially all of the Course 150 material. This summary was prepared by the author for the SOA Career Encouragement Committee and is being presented at this Actuarial Research Conference to share the information with faculty involved with actuarial education in North America. From Actuarial Research Clearing House 1996, Vol. 1.

Description: This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical Finance. This paper introduces and illustrates a new version of the Monte Carl method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations.

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: This is the abstract of the paper Risk Classification by Fuzzy Cluster. In this paper an algorithm for risk classification is proposed. This algorithm is based on the concepts of fuzzy cluster. We test our algorithm with two examples, the results are very promising.

Description: Actuaries, like other business professionals, communicate quantitative ideas graphically. Because the process of reading, or decoding, graphs is more complex than reading text, graphs are vulnerable to many sources of abuse. This is the abstract of a paper that will help creators design more effective graphs and will help viewers recognize misleading graphs. The paper summarizes guidelines for designing graphs that show important numerical information and gives examples of commonly encountered graphs that mislead and hide information. The complete paper appears in the April 1998 issue of the North American Actuarial Journal. From Actuarial Research Clearing House 1998 Vol. 1.

Description: Public policy makers acknowledge that there exist significant tax incentives for the use of Registered/Qualified Pension Plans and RRSP's/lRA's. This is the abstract of a paper that first analyzes these tax advantages as to the component source, i.e., how much of the advantage can be attributed to the tax deductibility of contributions and how much is because of the non-taxation of the investment income until taken. The paper then attempts to determine and illustrate whether or not these elements of tax assistance should be viewed as tax deferral or tax waiver. The analysis shows that any tax advantages associated with the deductibility of contributions is only tax deferral. However, the paper proves that there is a permanent loss to the taxpayers associated with the non-taxation of earned investment income until taken which should be viewed as a tax subsidy or tax waiver. The paper ends with a short discussion of the public policy issues raised by these findings. From Actuarial Research Clearing House 1994, Vol. 1.

Description: This abstract introduces the paper that demonstrates that marital status has as much influence on rates of human mortality as the better known factors of gender and smoking habits. The validity of various explanations is examined.