Description: Pricing Small Group Medical Coverage Renewal Pricing regression to the mean, blending of experience and manual rates, small group reform laws. Issue No. 40.

Description: Presented at Living to 100 symposium, January 2011. This paper adapts New Zealand Maori and non-Maori population mortality data to reflect differences in socio-economic status. This adapted data is used as a basis to explore the implications of differential mortality in assessing the equity of increase in the pension age of eligibility.

Description: This presentation examines the measurement and hedging of synthetic CDO tranche spread risks based on market spread data following the sub-prime crisis. A range of methods proposed for pricing bespoke CDOs are examined to assess their ability to hedge the credit spread risk. The methods assessed are calibrated to the traded CDO index spread and then compared based on the mean absolute pricing errors over a time period including the sub-prime crisis. Standard pricing methods and variations used to price bespoke CDOs generally perform poorly in hedging credit spread risk. Past data can be used to improve the performance of the methods. The results of this analysis also raise concerns with the accuracy of 'mark-to-model' valuations of bespoke CDOs using standard market methods.

Description: This report presents an analysis of morbidity experience under individual medical expense policies in force during the 1968, 1969, and 1970 calendar years. From Transactions of Society of Actuaries 1972 Reports

Description: This paper points out errors in the Graetz Prepayment Analysis used to determine tax liability for mutual companies. Those errors result in an understatement of the tax burden borne by mutual life insurance companies. The Graetz prepayment analysis was advanced as a justification for repealing Section 809 of the Internal Revenue Code. Correcting the errors in the Graetz prepayment analysis strengthens the argument for repeal.

Description: 1996 Valuation Actuary Symposium. In this session the panelists discussed economic surplus, economic value, and value added in the context of how value added is actually used in a company's compensation system.

Description: This paper addresses the allocation of solvency capital in multi- line financial businesses. Although this paper is uniformly applicable to financial enterprises of all types, the terminology in the paper is mainly that of insurance. The TailVaR risk measure is extended in a natural way to allocating capital to each of the business units. This method of allocation allocates capital in a way that is invariant over the method of decomposing the enterprise into business units. Analytic results are derived in the case of multivariate Normal risks. The key result of this paper is that the TailVaR-based proportional allocation of total required capital is identical to that based on mean-variance considerations analogous to the CAPM in the case of the multivariate Normaldistribution.

Description: Presented at April 1986 Spring Meeting. This session discussion is about the impact of wellness programs on medical plan experience/non-medical plan experience, health status as a pricing variable, likely future developments.

Description: 1993 SOA Spring Meeting, San Diego. This session discussed the proposed standards for determining the economic assumptions for the purposes of measuring pension obligations. The actuary's determination of the interest rate assumption was the primary focus of the discussion.

Description: This paper describes a current approach to capital allocation, tail contribution analysis TCA, and then compares it to an alternate method called economic profit analysis, EPA. The advantages of EPA over TCA are then outlined. From 2006 Enterprise risk Management Symposium, M-AS06-1.