Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: This session takes a different approach than the similarly named session at the Spring 1988 Meeting. Here, panelists: [1] provide a 'Corporate Planning 101' background, [2] discuss planning surplus, and [3] discuss implementation challenges. From the 1988 Record of Society of Actuaries, Vol. 14, No. 4A.

Description: This report presents the results of the most recent study of individual life insurance lapse experience in the United States. Lapse includes termination for nonpayment of premium, insufficient cash value or full surrender of a policy, transfer to reduced paid-up or extended term status, and in most cases, terminations for unknown reason.

Description: This article argues that wealth managers should advocate dynamic spending in proportion to survival probabilities, adjusted up for exogenous pension income and down for longevity risk aversion. The authors criticize the rule of thumb of spending a fixed 'x' percent of assets for retirement planning purposes.