Description: This 1997 presentation from the 32nd Actuarial Research Conference develops a stochastic generator for the generation of scenarios of the S&P 500 index, dividend yield, consumer price index, and U.S. Treasury yields. The authors first create a set of 'stylized facts' for these series. They estimate statistical models for these series. These in-sample statistical models are themselves not suitable for generation of scenarios for decision making, but instead are additional 'stylized facts' that assist in model development. The 'best' statistical model according to standard statistical model selection criteria can easily lead to a model that is highly unsuitable for generation of scenarios for decision making. The authors develop a stochastic generator that is suitable for decision making under uncertainty.

Description: This paper introduces the symbolic valuation, a stochastic valuation which allows flexible interest rate and cash flow assumptions, and provides an illustration which values a simple SPDA product. From Actuarial Research Clearing House 1992, Vol. 1.

Description: This paper discusses Cecil Nesbitt's paper on elementary models of the reserve fund for OASDI in the United States. From the Actuarial Research Clearing House 1991, Vol.1.

Description: This is the abstract of an article about the classical Lundberg inequality of insurance risk theory. From ACTUARIAL RESEARCH CLEARING HOUSE 1994 VOL. 1.

Description: This article considers the challenges that need to be addressed in the cost analysis of long range social insurance programs, which in the US is now over a period of 75 years. The main thrust of this paper is the consideration of population changes however, the effects of economic elements cannot be ignored. From Actuarial Research Clearing House, 1984 Volume No. 1.

Description: This paper highlights how the estimation procedure works in regards to annuities, including immediate life annuities.

Description: This paper shows that Balucci hypothesis imposed on a survivorship function over a closed interval is dual to the uniform distribution of deaths hypothesis imposed on the survivorship function over the same interval.

Description: This paper addresses the autoregressive model and shows that the boundedness restriction can be removed from the basic result on the probability of ruin. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.

Description: An updated and expanded translation of the 1863 Theory of Life Insurance Premium Reserves by Dr. August Zillmer, Stettin, Prussia. This is a seminal paper for the life insurance reserve method used extensively in Europe.