Description: This paper studies the variability of pension costs and fund levels under various funding methods. From Actuarial Research Clearing House 1990, Vol. 1.

Description: This paper is part of The research project dealing with pension accounting, more precisely with Statement of Financial Accounting Standards No. 87 [or FAS 87]. The goal of the project is to study the variability of pension accounting costs under FAS 87. In this paper, the author addresses only one specific point, namely the behavior of experience gains and losses over time. This is directly related to the corridor approach to amortization of gains and losses. However, what is said also applies to experience gains and losses in other areas, particularly in pension funding and insurance. From Actuarial Research Clearing House 1993, Vol. 1.

Description: This abstract describes a paper that considers the square-root process and its time integral as they occur in pricing options in stochastic volatility models.

Description: This is a stochastic model used to find the distribution of the discounted value of all future cash-flows.

Description: In the classical risk theoretic model with Poisson claim arrival and exponential claims, consider the discounted value of claims nos. 3, 6, 9, and so on. [To risk theory specialists, considering every third claim in a Poisson arrival process is the same as assuming waiting times are Erlang[3] in a Sparre-Andersen model.] The distribution of the discounted value of future claims can be found. It turns out that this is the same as the distribution of the product of two independent variables, one having a gamma distribution, the other a 'complex-parameter beta product distribution'. The latter will be defined, it involves extending the usual beta distribution.

Description: This paper focuses on two aspects of SFAS 87. The first is the availability of the discount rate, and its consequences. The second is the corridor approach to gains and losses amortization. From Actuarial Research Clearing House 1993, VOL. 2.

Description: This paper addresses the extension of the theory of life contingencies to a stochastic interest environment and its application to solvency valuation and surplus. A discussion of the paper follows. From Transactions of Society of Actuaries 1990, Vol. 42.

Description: This paper gives analytic approximations for the distribution of a stochastic life annuity.

Description: The problem of finding the distribution of sums of lognormally distributed random variables is discussed. References going back to the 1930’s are given, as well as some possible solutions. A formula for the characteristic function of one lognormal is stated, and then the moments and distribution of the logarithm of sums of lognormals are considered.

Description: This paper studies the theoretical and numerical convergence of Gram-Charlier series applied to the pricing of Asian options.