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

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 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: Contains two separate articles, called notes. The first note, “A note on correlation in mean variance portfolio theory,” is an elementary discussion of how negative correlation coefficients can be, given any set of N random variables. The second note, “Two essential formulas in actuarial science and financial mathematics,” gives a more or less self-contained introduction to Jensen’s inequality and to another formula, which the author decided to call the “survival function expectation formula.”

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: Research paper assessing how contributions and fund levels are affected when the rates of return of the plans' assets form an i.i.d. sequence of random variables.

Description: This paper presents a solution to the problem of discounting cash flows when the cash flows and discount factors are random variables with given distributions.