Description: This abstract illustrates a calibration model against 60 years of historical data using a pragmatic mixture of filtering, maximum likelihood and method of moments techniques, and compare the resulting model with interest rates in contemporary economic scenario generators.

Description: This presentation illustrates a calibration model against 60 years of historical data using a pragmatic mixture of filtering, maximum likelihood and method of moments techniques, and compare the resulting model with interest rates in contemporary economic scenario generators.

Description: On October 30, 2006, the UK government's Stern Review on the Economics of Climate Change made startling claims about the present value today of climate change effects predicted to emerge primarily 150 years or more in the future. The ensuing debate included challenges to and defenses of the particular methodology used and parameter values selected to perform the discounting of future values. Noticing an overlooked faux pas in the Stern Review, this presentation uncovers the likely motivation for choosing the most mystifying of the parameters values, and provides a lesson on the underpinnings of the basic tool of actuarial science.

Description: This is the abstract for the presentation on the effect of global warming on discounting methodology.

Description: From an interactive forum session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Discussion of the major financial reporting issues and concerns of senior actuaries in life insurance companies. Discussion focused cash flow testing methods and interpretation of results.

Description: 1994 SOA Spring Meeting, Orlando. This session is about accounting models for actuarial reserves and related items for selected countries in the Far East, Europe, and Latin America.

Description: This is a panel discussion session from the 1981 SOA Spring Meeting on the relationship of product design and investment philosophy. From Record of Society of Actuaries 1981, Vol. 7, No. 1.

Description: The article announces the 2011 Actuarial Research Conference and discusses the themes of the upcoming conference.

Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: The series expansion of a probability density function, known to actuaries by Esscher's name and to statisticians as the saddlepoint approximation, typically gets integrated to approximate probability values under the density, with a location parameter in the expansion chosen to optimize convergence of the integrated series. We review the general form, the accuracy and the derivation of the Esscher approximation. Then we propose using related series expansions for the derivative of a probability density function to approximate the value of the point of maximum likelihood for the density. The key is to make the value of the location parameter an unknown and assume it to be the point of maximum likelihood, which leads to a tractable optimization problem to find its value.