Description: This paper demonstrates that the variance of the loss function for n-year term is greater than the sum of the variances of the loss functions for n-year pure endowment and n-year regular endowment plans. The result is true for both single premiums and annual premium plans.

Description: In the context of insurance economics, the PH-transform is justified through some basic postulates on market premiums. In this paper the PH-transform is applied to the present value random variable in life insurance and annuities. It provides an alternative to the commonly used equivalence principle in life insurance and annuities premium calculation. This research project is sponsored by a joint AERF/CKER Grant of the Society of Actuaries.

Description: This paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnball model [Markov Chain model] is used to model the credit rating. Recursive equations for finite time ruin probability and distribution of ruin time are derived. Coupled Volterra type integral equation systems for ultimate ruin probability, severity of ruin and joint distribution of surplus before and after ruin are also obtained. Some numerical results are included.

Description: The concept of transformed distributions is generalized in this paper. First the concepts of net premium intensity, loaded premium intensity and load generators arc introduced. Then transformed distributions are identified with premium intensity and hence the loaded premium is calculated from transformed distributions. Finally it is shown that this method of premimn calculation is arbitrage free and it incorporates the strengths of the utility approach.