Description: This paper explores the flexibility of kernel estimation as a means of nonparametric graduation and relates it to moving-weighted-average graduation. From Transactions of Society of Actuaries 1995, Vol. 47.

Description: The 19th annual 1966 report on the continuing study of the morbidity experience of Group Weekly Indemnity insurance and Group Employee and Dependent Hospital and Surgical Expense insurance. From Transactions of Society of Actuaries 1966 Reports

Description: In this paper the author proposes a proof for new formulas that derive exposure formulas of the valuation-schedule type on the basis of the Balducci assumption. In addition he provides a short cut for the coefficients of the terms involving deaths. Then he derives a general exposure formula of the valuation-schedule type that may be used for all mortality studies with an observation period covering an integral number of consecutive years. From ACTUARIAL RESEARCH CLEARING HOUSE, 1980 VOL. 2.

Description: Because actuaries fit models for a variety of situations, particularly with regard to data modifications, it is useful to have a single approach. Though not optimal or exact for a particular model or data structure, the method should be reasonable for most all settings. Such a method is proposed in this article. Actuarial Research Clearing House 2003, VOL. 1

Description: In this paper an algorithm is derived for computing the distribution of aggregate claims for the individual risk theory model. From Transactions of Society of Actuaries 1983, Vol. 35.

Description: Discusses the titled paper by McCarter regarding a new payout annuity mortality table and with projections.

Description: This is a discussion of the title paper by Robert M. Duncan which outlines the use of a contributory money purchase plan with death benefits, and investments in equities, to fund pensions. The approach is critiqued.

Description: This paper shows how a graduation method may be developed as straight forward statistical estimation within a statistical theory based upon personal probability, that is, so-called Bayesian statistics. The method discussed is applicable to a broad range of graduation situations, but does assume the more specific property of the graduator's prior opinion with respect to mortality rates.

Description: 1959 Report on aviation mortality for years 1940-1959, broken down by aviation classes.

Description: Design and future maintenance of an asset portfolio backing a new line of business is critical for proper asset and liability management for that business. Most portfolio optimization methods utilize linear or quadratic programming and require the user to specify the asset and liability attributes and cash flows into the program. The programmer must also supply an objective function to allow the program to find the optimal asset mix for the associated liabilities. Two problems with this approach are that the liability cash flows are fairly static and that one must frequently rebalance the portfolio. An alternative approach would be to develop a corporate model of both the assets and liabilities and incorporate various economic scenarios as input into the model. Asset strategies would be measured against a specific objective function that is calculated by the corporate model. Unfortunately, the majority of maximization algorithms available are very time consuming, and obtaining a reasonable portfolio mix becomes impractical. This paper overcomes this difficulty by using a very rapid optimization method from the chemical engineering profession called the Floppy Triangle. The paper includes an example of the use of this process to determine an optimal portfolio. It also discusses modifications of the algorithm that is required when the shorting of assets is not permitted.