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: In this paper we shall present our results in terms of the estimation of human mortality rates, but the results carry over to other applications. We shall discuss a Bayesian model that encompasses both graduation [smoothing] and prediction.

Description: In estimating mortality rates from the experience of a life insurance company or employee-benefit plan, it is expedient, because of the movement into and out of the covered group on dates other than birthdays or policy anniversaries, to make some assumption about mortality over a fractional part of a year of age. This paper describes and develops the concept of 'exposure' with regard to the more commonly known methods of estimating the rate of mortality, and proposes a fourth methodology. From the Actuarial Research Clearing House 1978, Vol.2.

Description: In problem 24, Chapter 5, of Kellison's 'Fundamentals of Numerical Analysis' it is indicated how a divided difference can be expressed as a ratio of two determinants. This study note shows that this method works well also in the case where some of the arguments of collocation coincide. The rule is: If an argument occurs k times, the derivatives of the corresponding row up to order k-1 should be used in numerator and denominator.

Description: The author previously wrote about extending the general nonparallel shlft approach to duration analysis. This paper explores the immunization properties of that model. In addition, applications to asset-liability management are explored. From Actuarial Research Clearing House 1990 VOL. 2.

Description: This paper develops a theory for the valuation of some kinds of interest sensitive cash flows. A process is derived which takes as input, assumptions about the capital markets and policy holder behaviour, and produces as output interest and decrement assumptions which can be used for conventional actuarial discounting. The methodology is illustrated using some idealized, but tractable, models of conventional non-par whole life insurance. The method is also applied to a simple Universal Life plan. The paper concludes by considering some of the problems encountered when applying the ideas to more practical problems.