Description: This section presents book reviews and summarizes recent publications: 'Measurement of Mortality' by Gershenson, 'Decision and Influence Processes in Private Pension Plans' by McNulty, Jr., 'Economic Assumptions Underlying the Medium-Range Projections of the Federal OASDI Trust Funds' by Lukaczer, 'Eighth Actuarial Valuation of the Assets and Liabilities under the Railroad Retirement Act as of 12/31/1959' by Railroad Retirement Board, 'Life Insurance' 9th edition by Maclean, 'Evaluation of a Single Visit Cardiovascular Examination' by US National Health Survey, 'Guide to Health Insurance Underwriting' by Tilton and Yochem, 'Duration of Limitation of Activity Due to Chronic Conditions, US, July 1959 - June 1969' by US National Health Survey.

Description: The Committee on Finance Research makes available a research report exploring the mechanics and implementation of economic capital programs for life insurance companies. Discussion items include common methods for calculating economic capital advantages and disadvantages of each method.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: This paper provides an outline of the pricing methodology used by Blue Cross and Blue Shield of Virginia which incorporates trend analysis by trend component. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper introduces actuaries and others to dynamic stochastic general equilibrium (DSGE) models, a type of macroeconomic model. Authored by Kailan Shang, the paper illustrates how DSGE models can be used in economic scenario generation to reflect the cause and effect relationships that occur in the economic system.

Description: This discussion is about the problems created or anticipated from an administratice and organization point of view as a result of the responsibility for computer operations. From Transactions of Society of Actuaries 1961, Vol. 13 Pt. 2

Description: Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that business. Most portfolio optimization methods utilize linear or quadratic programming and require the user to specify the asset and liability attributes and cash flows into the program. The programmer must also supply an objective function to allow the program to find the optimal asset mix for the associated liabilities. Two problems with this approach are that the liability cash flows are fairly static and that one must frequently rebalance the portfolio. An alternative approach would be to develop a corporate model of both the assets and liabilities and incorporate various economic scenarios as input into the model. Asset strategies would be measured against a specific objective function that is calculated by the corporate model. Unfortunately, the majority of maximization algorithms available are very time consuming, and obtaining a reasonable portfolio mix becomes impractical. This paper overcomes this difficulty by using a very rapid optimization method from the chemical engineering profession called the Floppy Triangle. The paper includes an example of the use of this process to determine an optimal portfolio. It also discusses modifications of the algorithm that is required when the shorting of assets is not permitted.

Description: The 6th annual 1968 report on the study of morbidity experience of Group Comprehensive Medical Expense insurance. From Transactions of Society of Actuaries 1968 Reports

Description: Pilot study made determining a satisfactory form for future experience studies under major medical expense insurance.

Description: This paper gives a brief review of advanced time series models, the state space model, using Monte Carlo techniques and subsequently illustrates their usefulness to practicing actuaries. The models employed allow for the possibilities of nonnormal errors and nonlinear functionals in the state equation, the observational equation or both. The approach is illustrated with several examples and data compiled by the National Center for Health Statistics.