Description: The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the parameters by traditional maximum likelihood. This is the abstract of a paper that proposes an alternative method for estimating the parameters based on an iteratively reweighted least-squares algorithm.

Description: This paper presents a new approach for pricing insurance contracts. The approach is based both on economic and probabilistic arguments. The novel property of this paper is that the pricing argument is based on two factors determining the insurer's expected profit: the first one is the net revenue from selling insurance contracts and the second is the possible loss due to insolvency. From the Actuarial Research Clearing House ARCH 1997 Vol. 1.

Description: This is the abstract of a paper about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This is the abstract of a paper that demonstrates how to apply a variety of property-liability insurance financial pricing techniques to a single hypothetical, but representative, company. Both company and economic parameters are varied in order to examine the sensitivity of indicated underwriting profit margins from these techniques to different company situations and economic environments, and to highlight the differences between the techniques at a practical level.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.

Description: This is the abstract of a paper that presents a model for examining the effect of various relationships between mortality rates and lapse rates on the mortality experience of a cohort of insured lives. It takes an individual approach rather than the aggregate approach used in traditional methods of analyzing selective lapsation. The model assumes that insured lives are healthy at policy issue, but may later move to an impaired state from which the lapse rate is zero. Associated with each insured is an unobservable 'risk level' random variable, which reflects the heterogeneity of the insured group. Individual mortality and lapse rates are functions of the risk level. A numerical illustration provides some interesting results obtained using this model.

Description: This is an abstract of a 1998 presentation from the 33rd Annual Actuarial Research Conference that introduces a family of fractional age assumptions and discusses its usefulness in estimating mortality rates and calculating actuarial present values. Members of the family include the familiar uniform distribution of deaths, constant force, and Balducci assumptions.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1

Description: This is the abstract of a paper that presents a Bayesian model for analyzing time-dependent data. The model allows for the possibility of a shift in the level and/or a shift in the variance of the process at all time points. An example of simulated data will be shown as well as the results of four macroeconomic time series data: inflation, interest, unemployment, and wage. The fitted data of the model is compared against the actual through the use of prediction intervals and the creation of a new measure, called the 'modified Akaike Information Criterion'.

Description: This abstract introduces the paper that demonstrates that marital status has as much influence on rates of human mortality as the better known factors of gender and smoking habits. The validity of various explanations is examined.