Description: Full version of International Section News, June 2003, Issue No. 30.

Description: This paper presents the recursive definition of the aggregate claims distribution which does not require the usual computation of the convolutions of the distribution of claim amounts. It is independent of the number of lives in the group. which makes it particularly useful for large groups. From Transactions of Society of Actuaries 1980, Vol. 32.

Description: These two research reports, part of the Society of Actuaries [SOA} ‘Research Projects – Finance/Investment,’ are the result of a Call for Papers sponsored by the SOA Committee on Finance Research [CFR] on the topic of IntraCompany Capital Allocation. Both were awarded honoraria. The two are: ‘Measurement of Risk, Solvency Requirements and Allocation of Capital within Financial Conglomerates,’ which addresses the allocation of solvency capital in multi- line financial businesses and ‘Allocation of Required Capital by Line of Business,’ which demonstrates how the NAIC Risk-Based Capital [RBC] formula and others can be allocated by line of business by the use of partial derivatives of RBC.

Description: This article discusses value at risk, VaR, and VaR modeling of the bank's portfolios that would recognize diversity and hedging. This article also covers the differences between classical VaR and the longer horizons required by the insurance industry and the feasibility of extending VaR to the insurance industry.

Description: Harry Panjer discusses the growth of the Risk Management Section and its importance within the SOA.

Description: The purpose of this paper is to provide a survival analysis of persons in the various stages of HIV infection typically leading to AIDS and ultimately death. From Transactions of Society of Actuaries 1988, Vol. 40, Pt. 1.

Description: Article from The Actuary, October 1989, Volume 23, No 9 describes the Nankai Actuarial Program that was suspended by pro democracy demonstrations in May of 1989 in China Tiananmen Square.

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: Presidential Musings by Harry Panjer from International Section News, June 2003, Issue No. 30.

Description: This session from the 2003 SOA Orlando Meeting covers insolvencies of insurance companies in the U.S., developments within the IAA with respect to solvency assessment and risk measurement. From the Record of the Society of Actuaries, Volume 29, No. 3.