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 paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House Volume 1993.3. It borrows from that paper the concept of benchmark weights for measuring the sensitivity of the present value of a set of cash flows to changes in interest rates. However, a completely different approach to calculating benchmark weights is presented.

Description: The purpose of this note is to show how certain formulas of life contingencies can be derived almost painlessly under the uniform distribution of deaths assumption.

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: All claim reserve systems endeavor to derive estimates of the unpaid portion of claims which have been incurred over a given period of time, making use of information on numbers of claims and amounts paid on claims as of the valuation date. In this paper, a claim reserve system is described. While the system does produce the traditional type of single-point estimates of claim reserves, it also provides the user with frequency distributions of claim reserves

Description: In addition to death and maturity guarantees on the mutual funds they sell, some insurance companies make it possible for the investor to extend the guarantees for a fixed number of years. In this paper, we consider the case when that option is of the European type that is, the investor, at maturity, can either close out the contract or extend it for the stated, fixed term. When extended, the guarantee is on the value of the fund at the original maturity date. The fund is assumed to be fully invested in common stock.

Description: In Volume LXXV of the Proceedings there appeared a paper entitled Risk Loads for Insurers by Feldblum. Confidence intervals for the betas in TABLE 4 [Profit Margins and Their Standard Deviations by Line of Business] of this paper can be generated using the assumption of underlying normal distributions. However, bootstrapping operational or not for interval estimates does not require the normality assumption. The method of operational bootstrapping does not use random numbers. The method for the 4-dimensional case, used to generate the interval estimates in the current paper, is a natural generalization of the bivariate case. I use operational bootstrapping to generate interval estimates for Betas shown in the TABLE 5.

Description: In this paper,we present a method which first converges a two dimensional data to a univariate one and then uses the interval censoring technique to estimate the probability of failure of a Joint-life status from a heavily censored data. Our study shows that the life annuities of joint-life status calculated assuming independence overestimates the ones evaluated from an actual sample of population.

Description: This work describes a study undertaken to determine whether the Federal Housing Administration FHA should modify or discontinue its single-family home mortgage insurance program for investor i.e., non-occupant loans.

Description: By the use of resampling and extreme value statistics we will develop a method to reduce the time and costs of testing insurance company insolvency. Most ruin models require assumptions about the surplus distribution and/or assumptions about the claims count and severity distributions. The actuary may not be comfortable in making these ruin assumptions. Instead, he or she may generate such distributions by running extensive computer simulations of corporate models, I introduce a method to reduce the number of simulations necessary' to estimate the 1 and 0.1 percentiles of the surplus distribution. This approach 'cuts off' the tail at approximately the tenth percentile of the sample distribution and generates new tails for the distribution by resampling. Averages of the new order statistics approximate the I and 0.1 percentiles.