Description: This paper examines the problem of hedging foreign exchange risk across multiple countries using currency options. The profit target requirement is formulated as a stochastic constraint in the context of a binomial lattice. Models are presented for European options. In a numerical example, five currency options are selected, allowing for long or short positions, depending on the target value.

Description: Sooner or later a casualty actuary is confronted by the question, Given a history of paid loss amounts by calendar year, what should reserves be? Often, it is not possible to accurately gather and analyze additional data within the time constraints for the reserving decision. The algebraic reserving method presented in this paper offers one approach to rapidly addressing this problem. The paper consists of four sections - General Considerations, Formulas, Examples, and Conclusion.

Description: This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing callable bonds in continuous time models. Results are directly applicable to regulatory scenario testing, immunization and market value accounting.

Description: The amount of 1 [i.e., the amount that $ 1 is worth after 1 year] for an account earning a nominal interest r compounded n times annually is Pn[r,t], where t = [t1, . . . ,tn]. Note that Pn[r,t] is a polynomial in r of degree n. Now suppose that the n compounding periods have lengths T1, . . . ,Tn chosen at random. What can we say about Pn[r , T] , where T=[T1, . . . , Tn]? This depends of course on what is meant by choosing random lengths and we will consider two different natural possibilities that give rise to different answers to this question.

Description: This paper deals with how the credibility levels change based on this lack knowledge. Group insuraace models are used, bill some of tile techniques could apply to any insurance risk.

Description: Discusses a method for division of workload in a consulting firm in a way which will minimize cost.

Description: In ARCH 1977.1, the following problem appeared. Problem 11, submitted by John A. Beekman. Use demographic techniques to approximate the effects on India's population cause by recent provincial laws limiting family size. This paper is the solution to the problem by Md. Humayun Kabir.

Description: These are the presentation slides for Risk Management Education by R. Brown found in the January 2006 ARCH.