Description: This paper introduces the alternative notion of 'corresponding conditional single-decrement models.' These models: 1. do have both an intuitive and a precise probabilistic meaning, 2. do behave as do standard single-decrement models, 3. can easily be used to construct the full multiple-decrement model without any special assumption. From Actuarial Research Clearing House 1993 VOL. 1.

Description: The problem of estimation of a tabular survival model from complete samples is considered from a Bayesian approach. If a life test involves a large cohort group, then data is typically given as a grouped data set. The survival function St is usually estimated by the moment estimator. We approximate the joint prior distribution of the unknown unconditional failure probabilities by a Dirichlet distribution, and then use a linear relationship between St and the conditional survival probabilities to obtain a Bayes estimator of St.

Description: This paper develops a parametric model for health care insurance claims using currently available software to fit parametric models to the data. Model selection is based on the Chi-squared goodness-of-fit test and a comparison of the empirical limited expected value function to parametric limited expected value functions. From Actuarial Research Clearing House 1993, VOL. 3.

Description: This paper presents a proof using the general mean value theorem that under specified conditions, the insurance premium for complete protection against a specified loss will decrease with increasing wealth. From Actuarial Research Clearing House 1994, Vol. 1.

Description: This is an abstract of the paper entitled 'Estimation of Prior Density by Numerical Solution of Integral Equations' by R. Dalapatadu, H. Bowman and A. K. Singh. From ACTUARIAL RESEARCH CLEARING HOUSE, 1994 VOL. 1.

Description: This paper is written totally under present Indian conditions, but keeping an eye on the future, when there will be number of insurers, and this model can be applied to any condition where a number of insurers already exist. The purpose of this paper is to attempt to measure, from the point of view of a potential life insurance policyholder, the quality of the insurers and the variability between them so that it will be helpful for potential policyholders to choose their insurers according to their requirements.

Description: Equity-indexed annuities [EIA's] are the fastest growing annuity products. An appealing feature of an EIA to its holder is that it contains path-dependent options which allow the policyholder to participate in favorable investment performance while maintaining a minimum guarantee on the benefit level. Studying the valuation problem of path-dependent options enables us to provide needed information to insurance companies on the costs of these options as well as investment strategy for their portfolios. The martingale approach by Gerber and Shiu [1994, 1996] enables us to solve some valuation problems in option pricing without knowing deep results in stochastic calculus such as the Reflection Principle and Girsanov Theorem. What is needed is the Laplace transform of certain distributions known by actuaries. This paper shows how to use Gerber and Shiu's approach to compute two defective density functions related to double barrier hitting probabilities of a geometric Brownian motion. The approach used here is simple and straightforward, and purely analytical. The authors then apply the formulas to value some exotic options whose payoffs are contingent on barrier hitting time.

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: This is a summary of the presentation given during the ARC Conference. Its purpose was to give a brief introduction to subexponential behavior and to show that the family of subexponential distributions provides ideal characteristics to model insurance risks. Although the literature related to this topic accumulated quickly during the last years, a textbook explaining the applications of extreme value theory with intuition as well as insight was still to be written. Embrechts et al, {I 997} satisfies this need and most of the results presented here can be found in this new classic in the actuarial literature.

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.