Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: Actuaries and other managers of risk identify factors in modeling insurance risks because [i] they feel that these factors may cause the outcome of a risk, or [ii] that the factors can be managed, thus allowing analysts a degree of control over the system risk. The purpose of this paper is to propose a framework for quantifying the relative importance of a source of risk. The intent is that, with a quantitative measure of relative importance, risk managers will be able to sharpen their intuition about the relative importance of risks and be better custodians of financial security systems. This paper proposes a measure of relative importance that has its roots in both the statistics and economics literatures. The measure is intuitively appealing when assessing the effectiveness of basic risk management techniques including risk exchange, pooling and financial risk management. The risk measure is also shown to be useful in multivariate situations where several factors affect a risk simultaneously. The paper illustrates this usefulness by considering a pool of policies that is subject to mortality, the risk of a disaster that is common to all policies, and to a common investment environment.

Description: ['he purpose of this paper is to describe a possible Old-Age Social Security Program for Bangladesh, with financial projections through the year 2025.

Description: The objective of this paper is to present and to apply a numerical method in the calculation of the minimal and maximal ultimate ruin probabilities in two risk models given some moment constraints on the individual claimsize distribution. An application of this optimization problem is to find the extremal lower and upper bounds of the ultimate ruin probabilities given those constraints. The paper considers the classical risk models with constant and variable premiums.

Description: This paper compares percentile estimates of a large number of cash flow testing scenarios, where only a very small number fall in the ruin tail, by parametric and non-parametric methods.

Description: In this paper the author presents an application of Bayesian forecasting methods to the estimation of reserves for outstanding claims. He assumes that the time number of periods it takes for the claims to be completely paid is fixed and known, that payments are made annually and that the development of partial payments follows a stable pay-off pattern. From Actuarial Research Clearing House, 2003, Vol 1.

Description: The purpose of the present paper is to discuss some of the methods by which fertility variations can be incorporated into population forecasts. From ARCH 1984, Vol. 1.

Description: Research paper describing past and future in Information Technology. Contents based on address given at the 16th Annual Actuarial Research Conference

Description: Table of Contents

Description: These notes are a follow-up to the paper 'Introduction to the Dynamics of Pension Funding' by the same authors and published in Transactions of Society of Actuaries 1976, Vol. 28. The purpose of that paper was to provide an introduction to mathematical principles applicable to pension funding under dynamic conditions of population growth, inflation, and automatic adjustment of benefits. The first note discusses a general contribution formula and a number of special cases and modifications. The second note concerns aggregate cost funding when the actuary uses assumptions about cost factors which differ consistently from cost experience. The final note concerns the variation of the annuity unit under a variable annuity program patterned after the plan employed by the College Retirement Equities Fund [CREF]. From Actuarial Research Clearing House 1981, Vol. 1.