Description: This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic that is becoming increasingly important to actuaries in most fields of practice. “Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free pricing of interest-rate-contingent cash flows.” This paper, by James A. Tilley, won the 1992-93 Annual Prize, and the Halmstad Prize for 1992. The paper includes written discussion and the author’s review of the discussions.

Description: Panel discussion from 1975 SOA Annual Meeting Bal Harbour. The discussion covered pension reporting requirements and fiduciary responsibilities.

Description: This paper shows how discrete multivariate analysis or multidimensional contingency table methods may be applied to data arising in actuarial work. A brief introduction to the theory is followed by two detailed examples of its application. Finally, the concluding remarks indicate how the procedure could be incorporated into a complete rate-making procedure. This work was performed for the U.S. Department of Housing and Urban Development.

Description: This paper proposes principles to serve as the basis for revising the pension funding rules established in 1974, and also suggests a set of revised rules. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: One of the most glaring deficiencies in the current assessment of mortality risk is the lack of information concerning the impact of familial longevity. In this work, we update estimates of sibling relative risk of living to extreme ages using data from more than 1,700 sibships, and we begin to examine the trend for heritability for different birth-year cohorts. We also build a network model that can be used to compute the increased chance for exceptional longevity of a subject, conditional on his family history of longevity. The network includes familial longevity from three generations and can be used to understand the effects of paternal and maternal longevity on an individual’s chance to live to an extreme age.

Description: Odd patterns in mortality curves can be caused by bad data. The author hypothesizes that the negatively sloped mortality rates at the highest ages for U.S. males are caused by overstating age at death, and the low mortality rates for Japanese females by failure to report deaths. The paper upholds the first hypothesis but soundly defeats the second. The paper also demonstrates the impact of mishandling incurred but unreported deaths.

Description: This paper examines past mortality trends in Canada and discusses how these trends may change over the next 75 years, thus influencing the growth of the elderly population. In addition, this paper describes the methods and assumptions used to project future mortality rates in Canada, and the results include assumed annual rates of mortality improvement and projected life expectancies. As well, this paper discusses stochastic time-series methods that are used to help quantify the variability in the mortality rate projections.

Description: This paper assesses the extent to which equity investors were fooled by pension accounting. Simulations show that a failure to differentiate between core and pension earnings induces large valuation errors for many firms, although this pension effect did not materially contribute to aggregate overvaluation before 2000. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: This paper presents a value-at-risk platform for integration of assets and liabilities in a rigorous risk management framework. The model measures all major risks faced by a P&C company. The paper demonstrates how this new technology can be used to assist in maximizing capital efficiency and migrating from a risk management environment governed almost exclusively by ad-hoc rules of thumb to one governed by true risk management principles. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: The full electronic newsletter of the Technology Section of the Society of Actuaries, April 2010 issue 35.