Description: The subject of this paper is a mathematical model for insurance company risks formed by a linear combination of four stochastic processes recognizing claim patterns, investment performance assumptions, operating expenses and lapse expenses. A discussion of the paper follows. From Transactions of Society of Actuaries 1978, Vol. 30.

Description: This paper addresses the evaluation of long-term returns when the short interest rate is modeled by a general diffusion process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return is represented as the solution of a partial differential equation. A finite difference method is derived for the valuation of the long-term return. The method could be used for hedging interest rate risk, pricing and managing interest rate derivatives and interest rate sensitive insurance products. Numerical examples are included.

Description: This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and living in his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper discusses stochastic treatments for insured Long Term Disability [LTD] benefits under a group insurance policy.