Description: Study of the Effect of a Flu Pandemic on Economic Values Using the Delphi Method

Description: This paper uses economic principles to analyze alternative recognition schemes for end-of-period retirement plan liabilities the candidates, using U.S. nomenclature, are the vested benefit obligation VBO, the accumulated benefit obligation ABO and the projected benefit obligation PBO.

Description: Attempts to Quantify Potential Impact of Pandemic Influenza on the U.S. Life Insurance Industry

Description: Presentation of some of the factors to be considered, and approaches which might be employed, in valuing a life insurance company.

Description: Provides a theoretical basis for determining an insurer's price-earnings ratio, discusses the effect on earnings of changes in investment income, and discusses the effect on surplus and earnings of changes in reserve basis.

Description: This paper discusses the pricing of bond options and interest-sensitive cash flows by discrete state/time models such as binomial lattices. Current binomial models are faulty because the put-call parity relationship may not hold for all periods and there may exist negative interest rates. This paper presents a binomial model without such riskless arbitrage opportunities. This model allows the initial term structure of interest rates to be prescribed exogenously, so that the model price for each stream of fixed and certain cash flows is the market price.

Description: The valuation of illiquid assets is a vast topic, which is very much in a state of development. Based on comments made by investment professionals during the preparation of the proposal, this is a very challenging area of research. Generally, the investment industry will look with great interest on the outcome of this research. The research proposal was restricted in two ways. The literature review was focussed on the valuation of private placement debt PPD and real estate. The case study was limited to analyzing valuation methods with respect to PPD. Sponsored by CAS, CIA, SOA Joint Risk Management Section.

Description: Spreadsheet with documentation for exhibits to the May 2007 report: The Potential Impact of Pandemic Influenza on the U.S. Life insurance Industry