Description: Book review of: Social Science from the Bottom Up, by Joshua M. Epstein and Robert Axtell

Description: This paper presents a methodology of pricing the guaranteed minimum death benefit of a variable annuity in a market model with jumps. Recent developments in the stock market make variable annuities very attractive products from the insured point of view, but less attractive for insurers. The insured still has the possibility of investment benefits, while avoiding the risk of a stock market collapse. The insurer wants to minimize its risk and yet sell a competitive product. The financial market model consists of one riskless asset and one risky asset whose price jumps in proportions J at some random times T which correspond to the jump times of a Poisson process. The model describes incomplete markets and there is no perfect hedging. In the second part of the paper, we describe a possible method of risk analysis for binomial tree models.

Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.

Description: Report on the topics and speakers at the Actuarial Research Conference and Social Security Benefits, held August 31 through September 2, 1978.

Description: “It’s interesting to note that, given the past year’s reversal of fortunes in the stock markets, all the media rap about heated inquiries around back-dating options has stopped.”

Description: The article discusses that drawbacks of the HJM Heath-Jarrow-Morton class of stochastic interest models and suggests the use of the Longstaff-Schwartz string model. It describes the use and benefits of the Lonstaff-Schwartz string model.

Description: In this article about interest rate models, the author develops an empirical description of the term “interest rate regime,” and looks at the relationship between changes in yield curves and moving to a new interest rate regime.

Description: Examination of how mean reserve factors can best be calculated in light of the new accounting reporting requirements for the earnings of stock life insurance companies. Also examines some methods of expense amortization, including the reserve factor method, and also attempt to show an informative comparison of how reported calendar-year earnings can be expected to emerge with statutory mean reserve factors, natural mean reserve factors, and assorted expense amortization methods. Followed by several submitted discussion papers

Description: Panelists discuss the process and challenges presented by mergers or acquisitions. From the Record of the Society of Actuaries, Vol. 24, No. 2.

Description: We propose asymptotically correct two-sided bounds for random sums where the number of summands has an arbitrary distribution which can be viewed as ruin probabilities or accumulated claim sizes in various risk processes. The bounds are fairly new and they reveal the real accuracy of some well-known and widely used asymptotic formulas. It turns out that this accuracy can be poor and the range where these formulas give appropriate approximations depends on the shape of the tail distribution of the summands. This dependence is examined in the research.