Description: Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random component. Several special models of interest rate fluctuation are examined in detail. It is hoped that such theory will be useful in developing fluctuation reserves and premium margins. Presented at the 13th Annual Actuarial Research Conference, Ball State University, August 31st. September lst, 2nd. 1978.

Description: This is authors' Fellowship Credit Research Paper. This paper will develop a model for cash flow testing traditional participating insurance that utilizes pricing tools and assumptions to project reserve liabilities. The model makes use of finance and accounting tools to monitor the reasonableness of ending and intermediate surplus results that emerge under the various interest rate scenarios imposed.

Description: This paper compares the development of the more flexible reporting for pension commitments by the sponsoring employer in Australia to the standard-driven reporting in the United States and the United Kingdom. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: This paper outlines a risk measurement framework in which risk measures are derived by qualifying cash-flow-based risk measures on the state of the firm's debt capacity. This risk framework overcomes some of the weaknesses of the popular 'at-risk' framework. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This paper discusses both the theoretical and the application aspects of stress testing in managing enterprise risks. Effective stress testing maximizes the risk adjusted enterprise profit by controlling major risks financial, strategic, operational and hazard upon identifying risk metrics and modeling the correlations. A case study is included for demonstration purposes.

Description: Contemporary ERM has moved from an event-based view of risk to a hierarchical, systems-based approach. In order to operationalize such an approach, a methodology is proposed in this paper that draws on phylogenetic approaches that have been successfully developed for biological evolution. The technique and process provide an insight into the lineage, pace and impact of external conditions on the evolution of risks. They also provide a unique and rational classification of risk in an enterprise that can be used to optimize risk management resources. An example of a fictitious insurance company is used to illustrate the approach. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Discussion of Human capital and its implicit asset and liability cash flows how insurance companies could help measure and provide products to help match up the timing of those cash flows. From Asset-Liability Integration, M-FI02-1.

Description: In this expository paper several comments are made with respect to the statistical independence of the curtate future lifetime and the fractional part of the future lifetime, both of a general status. In particular, the conditions for independence need to be stated carefully. The last-survivor status is cited as an example. More general assumptions than the uniform distribution of deaths assumption are then considered, together with applications to insurances, annuities, and reserves. Similar results to those under the uniform distribution of deaths assumption are obtained. Brief comments are made with respect to contingent probabilities in multiple lives and multiple decrement theory.

Description: The author will show that risk management is more than combining several processes and methods it is much more a company wide approach that enables an open dealing with chances and risks, requiring a change in culture, governance and decision rules across the whole organizations.

Description: This paper considers the pension plan as part of the capital structure of the sponsoring employer, enabling lessons from financial theory concerning capital structure to be used to answer the questions about what assets a pension fund should hold. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.