Description: Two-dimensional data can be smoothed by minimizing a combination of the sum of weighted absolute deviations from initial estimates and the sums of absolute values of differences in the two directions. This paper discusses the techniques of parametric programming which make it feasible to explore the different results obtained by varying the emphasis given to fit versus smoothness. From Actuarial Research Clearing House 1994, VOL. 1.

Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: The objective of this paper is to present and to apply a numerical method in the calculation of the minimal and maximal ultimate ruin probabilities in two risk models given some moment constraints on the individual claimsize distribution. An application of this optimization problem is to find the extremal lower and upper bounds of the ultimate ruin probabilities given those constraints. The paper considers the classical risk models with constant and variable premiums.

Description: This paper compares percentile estimates of a large number of cash flow testing scenarios, where only a very small number fall in the ruin tail, by parametric and non-parametric methods.

Description: In this paper the author presents an application of Bayesian forecasting methods to the estimation of reserves for outstanding claims. He assumes that the time number of periods it takes for the claims to be completely paid is fixed and known, that payments are made annually and that the development of partial payments follows a stable pay-off pattern. From Actuarial Research Clearing House, 2003, Vol 1.

Description: Addresses Scheel's proposal for splitting life insurance between its savings and death benefit elements in order to reduce total variance of the risk. This paper refutes Scheel's proposition.

Description: Discusses the Canadian Institute of Actuaries' disability morbidity study to update the 1964 CDT and explains the techniques used to interpolate incidence rates from the 1964 CDT.

Description: This paper examines four and-a-half years of prescription records for an elderly population who have relatively comprehensive out-of-hospital drug coverage under the Pharmaceutical Assistance Contract for the Elderly program in Pennsylvania. The result is a discussion of the determination of non-parametric estimations of the distributions. From Actuarial Research Clearing House 1991, Vol 1.

Description: This paper attempts to quantify the benefits to the purchaser of a non-qualified variable annuity as compared to an investment in a mutual fund. From Actuarial Research Clearing House 1991, VOL. 3.

Description: This paper presents an additional view of estimating parameters of the force of mortality using Bayesian methods. Some examples are provided. From Actuarial Research Clearing House 1993 VOL. 1.