Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

Description: Much of the push for ERM has come from regulators and rating agencies, but it is being applied in internal company decision-making as well. This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal capital level for an insurer and risk-adjusted profitability of business units. The basic conclusion is that progress has been made in these areas, but more is needed. Building models is not emphasized—it will be assumed that a state-of-the art model is available. The emphasis is on using such models in decision-making.

Description: This paper examines claim transaction data as experienced in the Canadian pet insurance industry. The current practice is to use an exposure unit approach to estimate the pure premium cost. This approach is applied in this paper in order to reveal certain cost patterns in accident, illness and death benefit costs.

Description: This paper discusses the actuarial risk measures and uses a variety of estimation techniques such as nonparametric approach, parametric methods and robust procedures. From 39th Actuarial Research Conference, Iowa City, Iowa, August 5-7, 2004.

Description: A summary of Medicare reform and its effect on prescription drug coverage.

Description: In this study the author will review some correlations between the operating income per employee and some elements of company structure for the S&P 500 that are proxies for management control and supervision. An analysis yielded the following general observations: 1 companies in which the chairman and CEO roles are combined generate more income per employee than those in which the roles are separate 2 companies with a lead director and the chairman and CEO combined typically do better still 3 the more executive officers a company has, the higher operating income is generated per employee although this decreases marginally and 4 companies tend to gravitate toward a structure with 10 executive officers and 10 directors this is a fixed point of an iterative decision function. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: The Lee and Carter LC method is getting widely adopted for long-run forecasts of age specific mortality rates. That popularity is first due to the model simplicity. Moreover, the LC model has given successful results for various countries e.g. U.S., Chile, G7 countries. However, some difficulties arose when using population data from certain countries such as UK and Australia. In the present paper, the LC model is applied to data from four Nordic countries: Denmark, Finland, Norway and Sweden. The Singular Value Decomposition SVD, the Weighted Least Square WLS and the Maximum Likelihood estimate MLE are used. These approaches give satisfactory results. The appropriate fitting period needs, however, to be well chosen. The properties of the model's parameters are studied using a bootstrap simulation.

Description: Guaranteed Annuity Options GAOs are options available to holders of certain pension policies. This paper studies GAOs using two models for the interest rate the Vasicek and the Cox-Ingersoll-Ross models. An actuarial approach is used to value the GAOs and compared with the value of a replicating portfolio.

Description: Empirical evidence of reported losses suggests that insurance firms are interconnected in a nontrivial way, making them prone to systemic risk. Systemic risk can be viewed as the result of a cascading process, as it unravels throughout a network structure. In response, this work presents a simple analytical model that can simulate this process. The model is subsequently tested upon an empirical dataset via the means of numerical simulations. This work makes three main contributions. First, it provides a novel methodology for quantitatively and objectively assessing the systemic role of individual firms within the insurance domain. Second, it exemplifies the inability of traditional, firm-based information in serving as proxies for mapping these systemic effects. Third, it provides a practical example where network-based information (e.g., Criticality IDX, Sensitivity IDX) can outperform firm-based information (e.g., admissible assets, excess c apital) resulting in increased efficiency in the decision-making process. These findings strengthen the need to account for the interconnected nature of the domain while showcasing some of the potential benefits that can be harvested by doing so.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.