Description: This paper addresses issues and techniques for advanced age mortality study using data mining techniques, a new technology on the horizon with great actuarial potential. Seven factors were considered in this study, the influences of these factors on advanced-age mortality distribution were identified and models were derived for projecting advanced age mortality.

Description: This is a concluding and encompassing part of our research on the project entitled \Weighted Premium Calculation Principles and Risk Capital Allocations, which has been supported by the Actuarial Education and Research Fund AERF and the Society of Actuaries Committee on Knowledge Extension Research CKER. We explore the concept of weighted distributions and their role in various phenomena occurring in insurance and finance. In particular, we relate weighted distributions to actuarial and economic premium calculation principles, and also to the capital asset pricing model CAPM. Imitating the latter, we propose a weighted insurance pricing model WIPM. Although general in formulation, we show that the WIPM can successfully be evaluated in a variety of situations, which we illustrate with a number of examples.

Description: This is the full version of CompAct Electronic Newsletter, August 2003, Issue No. 16.

Description: This paper explores the range of contribution policies allowable under various sets of rules, and then proposes that plan sponsors be allowed to contribute the normal cost as a deductible contribution each year. From The Future of Pension Plan Funding and Disclosure Monograph, M-RS05-1.

Description: Users of statistical packages should be more aware of the influence that outlying data points can have on their statistical analyses. Robust procedures provide formal methods to spot these outliers and reduce their influence. While a few robust procedures are mentioned in this article, one is emphasized and it is motivated by maximum likelihood estimation to make it seem more natural. In this article, the author will try to provide some background, beginning with maximum likelihood estimation of one parameter, that will hopefully make robust estimation seem natural and rather easy.

Description: Introduction to the paper that documents the flaws of the current financial model.

Description: This is a paper from the session on Climate Change Effects at the January 15-18, 2023, 2023 Living to 100 Symposium in Orlando, Florida.

Description: This paper presents an algorithm for valuing American options in a path simulation model. It demonstrates the accuracy by an example involving a put option on a non-dividend-paying stock for which the exact premium could be determined. It shows how the use of simulation models can be useful in valuing a broker-dealer's derivative book and analyzing the asset-liability condition of financial intermediaries.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.

Description: Presented at Living to 100 symposium, January 2011. This paper adapts New Zealand Maori and non-Maori population mortality data to reflect differences in socio-economic status. This adapted data is used as a basis to explore the implications of differential mortality in assessing the equity of increase in the pension age of eligibility.