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: Private defined benefit pension plans must, by law, pre-fund the retirement benefits. This requires the periodic valuation of liabilities and calculation of contributions. Because valuation assumptions are seldom borne out by reality, a surplus [or deficit] ensues and varies over time. When the surplus becomes sizable, there often arises a desire to distribute part of it so as to bring it down to a more reasonable level. This paper provides a brief overview of cooperative game theory and, in particular, sharing rules. Then, using certain sharing rules, it determines how to split the surplus or deficit among the plan participants and sponsor. In general, the participant's share in the surplus depends on the total of his contributions. Other considerations, such as the actual investment income received on his contributions or the years of service, may influence the distribution of the surplus. It may even appear desirable to take account of the accrued liability. From Actuarial Research Clearing House 1998, Vol. 1.

Description: This study observes the effect of different factors on the average and standard deviation of both the cost ratio and funding level. From the Actuarial Research Clearing House, January 1996, VOL. 1.