Description: This report looks at closed form models or 'exact solutions' in which calculus produces 'simple' formulae. The conclusion is that for Gaussian interest rate models we can solve the problem of an American option provided the option holder behaviour can be described by a force of option exercise which is linear or quadratic in the state variables.

Description: This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and living in his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.