Description: Studies full and partial single-premium deferred fixed annuity withdrawals and the relationship of this activity to selected characteristics of the contract. This report shows results for the calendar years 1984 - 1989 on business issued between 1978 - 1989.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1

Description: Discussion of how to obtain tight upper and lower bounds on E[hX] for a given function h, and a random variable X with three known moments.

Description: This report describes a simple way to construct a bivariate copula with specified marginals and partially specified dependence. For example, the method allows one to model tail behavior scenarios while holding the core of the joint distribution fixed. An Excel workbook named CopulaExample.xls is provided to illustrate the method, including its use in Monte Carlo simulation.

Description: This is the abstract of a paper that considers a general two-country model of exchange rate dynamics in which interest rates are stochastic. Special cases of this model are also illustrated in which the, interest rates are constant in each country and when interest rates are Gaussian in each country. This model provides an important tool for actuaries dealing with global risk which includes valuation of currency derivatives [forwards, futures, options and swaps], frequency/severity claims model with exchange rate risk in the claim size, valuation of individual insurance contracts written in foreign currency, and valuation of general interest sensitive claims in foreign currency.