Description: The paper o ers a simple framework for ranking the common reinsurance struc- tures in practice with the theory of stochastic orders. The basic idea is to slice the space of reinsurance structures into groups by expected loss cost to facilitate the comparisons within the group and between groups. Given the standard risk aversion assumption in economics, a spectrum of reinsurance structures with the same expected loss cost can be compared analytically with one another and sequenced based on their risk coverages under the convex order. The paper then expands the dimension of the comparison to groups of reinsurance structures with di erent expected loss costs, which can be ranked under the increasing convex order and the usual stochastic order. As such, the paper maps out the ordering for the entire space of reinsurance structures and presents it in a ma- trix format for quick reference. The implication

Description: Generally, the assets acquired by financial institutions have their values determined by established capital markets. However, the firm's liabilities become customer's' private placement assets and their value must be calculated by the firm. This monograph discusses the theoretical bases for modeling the liabilities consistently with the assets. From Asset-Liability Integration, M-FI02-1.

Description: In this article, the current state of the liabilities market is discussed. Two paradigms are then explored for defining and subsequently calculating an insurance liability market value. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: This paper examines the impact at Harvard Pilgrim Health Care of the introduction of specialty networks, shift to mail-order prescriptions, shifts to generic prescriptions, and product mix shifts to overall pharmacy trend. From Prescription Drugs Monograph, M-HB04-1.

Description: This paper establishes a framework to analyze the volatility of corporate profits as a result of variability in accounting for pension plans. It models a Canadian corporation that maintains a defined-benefit pension plan and that has adequate cash flow to fully fund the pension plan, should it wish. Volatility of corporate profits is important because many senior executives have some component of their compensation directly related to corporate profitability and consequently do not want any surprises with respect to actual profits compared to expected profits. The volatility management techniques considered are investment policies for the pension plan, funding the pension plan, and an alternative plan design. The analysis is timely since changes are proposed to the accounting standards to eliminate most smoothing techniques. The results suggest that, depending on the investment environment, reduced volatility may be accompanied by by enhanced return, which is a result that few would expect.

Description: The amount of 1 [i.e., the amount that $ 1 is worth after 1 year] for an account earning a nominal interest r compounded n times annually is Pn[r,t], where t = [t1, . . . ,tn]. Note that Pn[r,t] is a polynomial in r of degree n. Now suppose that the n compounding periods have lengths T1, . . . ,Tn chosen at random. What can we say about Pn[r , T] , where T=[T1, . . . , Tn]? This depends of course on what is meant by choosing random lengths and we will consider two different natural possibilities that give rise to different answers to this question.

Description: With so many different models and ways of building them, the task of organizing our thinking about models can seem overwhelming. The paper proposes a framework of four categories of models and seven attributes. By comparing each model category across these attributes, it provides insight into practical questions like, "are some modeling approaches inherently better than others?" and "how should the level and type of model risk management effort depend on model category?"

Description: The adoption of FAS 158 forces sponsors of post-employment health benefit plans to consider how to manage the volatility that changes in medical care inflation create in the other postemployment benefits (OPEB) liability. By choosing carefully how the nominal discount rate used for the liability is decomposed into real rates and inflation, I illustrate that the true exposure to an OPEB plan is to the spread of medical care inflation above (or below) the overall inflation rate. The implication is that an effective immunization strategy exists that can eliminate most of the volatility in the OPEB account.

Description: This paper talks about shifting from defined benefit to defined contribution plans and the risk involved.

Description: This is the abstract for the paper, The Boomers Are Coming: A Total Cost of Care Model of the Impact of Population Aging on the Cost of Chronic and Acute Conditions in the United States. The complete paper is not available online.