Description: This paper considers several features in a model that experiences gradual drifts and jumps for prevalence and survivorship as is the case for AIDS. It is an actuarial model for AIDS when transition intensities follow jump-diffusion processes.

Description: This paper provides commentary on the paper entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J. Macleod, and J. D. Thomison. From Actuarial Research Clearing House 1990, VOL. 2.

Description: This paper is on the ownership considerations in a new legal structure of a life insurance company.

Description: Consider a portfolio of insurance policies where the mean frquency of claims for each policy may vary. A reasonable assumption is that the number of claims for a policy is a Poisson random variable. In this paper the author shows how to test this hypothesis under certain conditions. He then presents some nonparametric tests for this and other hypotheses about the risk distribution function. Actuarial Research Clearing House 1992, VOL. 1.

Description: In this paper, the authors show how probabilities and actuarial values may be calculated using a time-homogeneous Markov model. Piecewise constant transition intensities are suggested as a way to extend the approach to the inhomogeneous case. From Actuarial Research Clearing House 1993, VOL. 1.

Description: In performing Bayesian analysis of insurance losses, one usually chooses a parametric conditional loss distribution for each risk and a parametric prior distribution to describe how the conditional distributions vary across the risks. Young [1997] applies techniques from nonparametric density estimation to estimate the prior and uses the estimated model to calculate the predictive mean of future claims given past claims. A shortcoming of this method is that, in estimating the prior, one assumes the average claim amount equals the conditional mean. This is the abstract of a paper that considers a class of priors obtained by perturbing the one determined nonparametrically, as in Young [1997]. The authors thereby reflect the uncertainty in the prior that arises from the randomness in the claim data. They then calculate intervals for the corresponding predictive means. They illustrate their method with data from Dannenburg et. al. [1996] and compare the intervals of the predictive means with nonparametric confidence intervals.

Description: Genetic algorithms [GAs] and neural networks [NNs] are currently being used in actuarial and financial modeling. Nonetheless, while there is a general awareness of the nature of these techniques, there is often only vague familiarity with the details of how they are implemented. This paper is intended to help alleviate this situation. Its purpose is to present an overview of GAs and NNs, which includes an explanation of what they are, how they work, and an example of how they are implemented.

Description: An analysis of how to compute the variance of the present value of future annuity payments as a component of assessing the mortality component of the provision for adverse deviation in the computation of GAAP reserves.

Description: The purpose of this paper is to explore the capital holdings of Canadian property/casualty insurers, taking regulatory requirements as given. In particular, it addresses the following issues: 1. Are firms in fact over capitalized with respect to mandated capital adequacy thresholds? 2. Do higher capital holdings translate into lower returns on equity [ROEs] for firms? 3. Is there a relationship between Best’s Ratings and a firm’s capital holdings, as shown to be in the United States? 4. Which firm characteristics are important in determining capital holdings?

Description: This article discusses some 'standard' methods of foreign expansions. Strategic decisions for expansion in foreign countries require more than qualitative discussions about foreign expansion. It requires hard numbers on the benefits of such strategic expansion plans and is illustrated here with the example of MetLife's 2002 purchase of Ahisa [Aseguradora Hidalgo]. With that purchase, more than 70% of the Mexican insurance market is in the hand of foreign companies.