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: The concept of transformed distributions is generalized in this paper. First the concepts of net premium intensity, loaded premium intensity and load generators arc introduced. Then transformed distributions are identified with premium intensity and hence the loaded premium is calculated from transformed distributions. Finally it is shown that this method of premimn calculation is arbitrage free and it incorporates the strengths of the utility approach.

Description: An interview with Prof. Johnny Li of University of Waterloo, which touches upon the subjects of longevity, mortality projections, international collaboration and the Living to 100 Symposium. Longevity is a topic in which scientific research and collaboration successfully spans many countries, which is desirable because the implications of ever increasing life spans is of global importance.

Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: In the copula literature there are many bivariate distribution families but very few higher dimensional ones. Moreover, most of these are difficult to work with. Some of the bivariate families can be extended to more dimensions but in general the construction of distribution functions with more than two variables is a difficult problem. This paper introduces a construction method that is straightforward to implement and can produce multivariate distribution functions of any dimension.

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.