Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.

Description: This general session discussion looks at: A. Methods available to decide the percentage of the premium that should be used for life insurance, weekly indemnity benefits, hospitalization and surgical benefits. B. Formulas devised for computing contingency reserves for possible losses on mortgage loans and real estate. C. Extent to which companies are using participating forms for the following coverages: 1. Annuities in the benefit stages and/or supplementary contracts involving life contingencies after expiry of the term certain period 2. Family income and other decreasing term rider benefits 3. Extended term insurance D. Methods developed for pricing annuities and settlement options derived from an annuity table without provision for mortality improvement

Description: Outline of modifications to formulas in previously released FORTRAN program to compute two-life annuities, including those designated 'qualified joint and survivor annuities' in the ERISA Act of 1974.

Description: New Zealand is about to launch its first variable annuity with guaranteed lifetime withdrawal benefits. The product design is mindful of the lessons from the financial crisis in the United States, Europe and Japan.

Description: From a teaching session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Discussion of realistic liability models for use in asset adequacy analysis, asset/liability management, pricing/repricing, financial reporting, or other purposes.

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of indexed guaranteed separate accounts, typically issued to defined-benefit pension plans. Contract terms, risks, marketing, financial reporting, reserves, and investment strategies are discussed. Risk-based capital and the National Association of Insurance Commissioners Model Regulation for Separate Accounts with Guarantees are also discussed. A hypothetical indexed separate account is analyzed for return on capital and economic risk.

Description: From a session at the 2001 Valuation Actuary Symposium, held in Lake Buena Vista, Florida, November 29-30, 2001 Teaching session covering the development of realistic liability models for use in asset adequacy analysis, asset/liability management, pricing/repricing, financial reporting or other corporate purposes. The primary focus is modeling issues for variable product features, such as minimum living or death benefit guarantees on both variable life and annuities, annuity death benefit enhancements, and variable immediate annuities. Topics include: • Analysis of the special risks posed by these products • Selecting realistic dynamic assumptions • Techniques used in modeling these products • Scenario testing and result presentation to best communicate risks

Description: The article provides a complete and rigorous analysis based on calculus for the topics in the theory of compound interest: the monotone convergence properties of the rates of interest and discount payable m times per interest conversion period in relation to the force of interest, the monotone convergence properties of the present value and accumulated value of an ordinary annuity with m payments per interest conversion period in relation to those of a continuously paying ordinary annuity and a method for approximating the present value of an ordinary annuity, or an increasing annuity with m payments per interest conversion period, by accumulating, at compound interest for the fraction m - l/2m of an interest conversion period, the present value of the same type of annuity with one payment per interest conversion period.

Description: This article delves into a new line of statistical thinking of the author, that may be useful for product development actuaries. The key concept is how product design can produce products that diversify quickly, meaning that the company can be confident of a profitable product line, based on fewer sales than might be true for other designs.

Description: In this session from the 2003 Washington D.C. Meeting discusses pricing life insurance based on a GAAP basis. It provides an example of GAAP pricing for a Universal Life Product and SPIA and reviews the practical implications. From the Record of the Society of Actuaries, Volume 29, No. 1, Session 82ts.