Description: Private defined benefit pension plans must, by law, pre-fund the retirement benefits. This requires the periodic valuation of liabilities and calculation of contributions. Because valuation assumptions are seldom borne out by reality, a surplus [or deficit] ensues and varies over time. When the surplus becomes sizable, there often arises a desire to distribute part of it so as to bring it down to a more reasonable level. This paper provides a brief overview of cooperative game theory and, in particular, sharing rules. Then, using certain sharing rules, it determines how to split the surplus or deficit among the plan participants and sponsor. In general, the participant's share in the surplus depends on the total of his contributions. Other considerations, such as the actual investment income received on his contributions or the years of service, may influence the distribution of the surplus. It may even appear desirable to take account of the accrued liability. From Actuarial Research Clearing House 1998, Vol. 1.

Description: This presentation proposes a new type of retirement plan aimed at achieving a compromise between stability in cost for the plan sponsor and guaranteed benefits for the participants. The proposed plan is shown to smooth out the fluctuation in benefits that occurs in a money purchase plan. From Actuarial Research Clearing House 1998 Vol. 1.

Description: This is a study note that supplements material contained in the book, 'Actuarial Mathematics,' 2nd edition, by N. L. Bowers, Jr., H.U. Gerber, J.C. Hickman, D.A. Jones and C.J. Nesbitt. The topics covered include integer functions, uniform distribution of deaths throughout each year of age, and annuity coefficients.

Description: In performing Bayesian analysis of insurance losses, one usually chooses a parametric conditional loss distribution for each risk and a parametric prior distribution to describe how the conditional distributions vary across the risks. Young [1997] applies techniques from nonparametric density estimation to estimate the prior and uses the estimated model to calculate the predictive mean of future claims given past claims. A shortcoming of this method is that, in estimating the prior, one assumes the average claim amount equals the conditional mean. This is the abstract of a paper that considers a class of priors obtained by perturbing the one determined nonparametrically, as in Young [1997]. The authors thereby reflect the uncertainty in the prior that arises from the randomness in the claim data. They then calculate intervals for the corresponding predictive means. They illustrate their method with data from Dannenburg et. al. [1996] and compare the intervals of the predictive means with nonparametric confidence intervals.

Description: Genetic algorithms [GAs] and neural networks [NNs] are currently being used in actuarial and financial modeling. Nonetheless, while there is a general awareness of the nature of these techniques, there is often only vague familiarity with the details of how they are implemented. This paper is intended to help alleviate this situation. Its purpose is to present an overview of GAs and NNs, which includes an explanation of what they are, how they work, and an example of how they are implemented.

Description: This is a listing of the participants for the 33rd Annual Actuarial Research Conference.

Description: An analysis of how to compute the variance of the present value of future annuity payments as a component of assessing the mortality component of the provision for adverse deviation in the computation of GAAP reserves.

Description: The purpose of this paper is to explore the capital holdings of Canadian property/casualty insurers, taking regulatory requirements as given. In particular, it addresses the following issues: 1. Are firms in fact over capitalized with respect to mandated capital adequacy thresholds? 2. Do higher capital holdings translate into lower returns on equity [ROEs] for firms? 3. Is there a relationship between Best’s Ratings and a firm’s capital holdings, as shown to be in the United States? 4. Which firm characteristics are important in determining capital holdings?

Description: This article discusses some 'standard' methods of foreign expansions. Strategic decisions for expansion in foreign countries require more than qualitative discussions about foreign expansion. It requires hard numbers on the benefits of such strategic expansion plans and is illustrated here with the example of MetLife's 2002 purchase of Ahisa [Aseguradora Hidalgo]. With that purchase, more than 70% of the Mexican insurance market is in the hand of foreign companies.

Description: This poster describes the optimal investment and benefit payment problem for a target benefit pension with default risk and model uncertainty.