Description: This paper presents a statistical and mathematical method to calculate Stop-Loss Premiums. It also includes a discussion of the paper. From Transactions of Society of Actuaries 1976, Vol. 28.

Description: The dependent relationship between two lives is readily analyzed within the context of probability theory. This paper presents useful relationships between certain actuarial and probability functions and then explores measures of dependence. From Transactions of Society of Actuaries 1986, Vol. 38.

Description: This paper studies a smoothing spline Poisson regression model for the analysis of mortality data. From Actuarial Research Clearing House 2006, Vol. 1.

Description: Using data from a large insurance company, we construct a parametric model for the joint survival function based on a Hougaard copula function.

Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: The attached report presents the results of a survey conducted by the Society of Actuaries Mortality and Underwriting Survey Committee in July of 2008 under the following categories: 1. Modeling Mortality Risk. 2. Use of Reinsurance to Manage Mortality. 3. Retention / Large Case Management. 4. Catastrophe Reinsurance. 5. Mortality Concentration of Risk. 6. Catastrophic Bonds.

Description: The Product Development Section, the Financial Reporting Section, the Modeling Section and the Committee on Life Insurance Research are pleased to present new research on modeling and forecasting cause-of-death mortality. Authored by a Milliman team led by Alexandre Boumezoued, the report develops a framework for forecasting cause specific death rates. Included also is a Cause of Deaths Forecasting Tool and a user guide for the tool.

Description: This paper describes how Markov chain Monte Carlo and related methods recently presented in the statistical literature can be used to quickly and efficiently simulate random draws from distributions with log-concave or nearly log-concave densities. From Transactions of Society of Actuaries 1995, Vol. 47.

Description: In this paper, Bivariate Schuette graduation is applied to mortality rates among black male retired workers [Social Security data] at ages 70 to 83. Graduated values for various choices of the parameters are compared. The Schuette method is also adapted to calculate regression quantiles, providing upper and lower envelopes for the graduated values.

Description: This is a final report for a research project to create reference material that addresses the methods and techniques for quantifying margins for uncertainty in actuarial assumptions under a Principle-based statutory accounting framework.