Description: This paper examines several methods for dynamically adjusting expense assets to reflect differences between actual and expected persistency. Discussions of the paper are included.

Description: This article explores the effectiveness of hedging delta and rho of equity options. This provides insight into the frequency and severity of losses due to not hedging volatility risk or other higher order risks. 10yr-equity put option strategies were chosen to represent the risk of hedging guaranteed benefits attached to variable annuities, while 1-yr put and call strategies were modeled to investigate the risk of hedging equity index interest credited to fixed indexed annuities. In both cases, the value of the option was compared to the value of delta/rho hedges in the tail of both actual historical and simulated scenarios for equity returns and volatilities. The historical path of interest rates and equities was generally used to highlight the hedge impact for different implied volatility assumptions in each example.

Description: By necessity, attributions of financial processes require approximations. Tools used for approximations include Aumann-Shapley, time step, step-through, average step-through, partial derivative, and average partial derivative. Significantly non-linear paths can cause problems during attribution. Time (theta) and market factors must be handled concurrently. Typically contractual factors can be handled separately. Average Step-Through, Aumann-Shapley and Aumann-Shapley-3 points perform the best given the same time period. Attribution should be done with fairly small time steps as opposed to using a lot of points in the Aumann-Shapley calculation, but using Aumann-Shapley-3 points as a last step has some advantages.

Description: Full version of Risks and Rewards Newsletter, August 2006, Issue No. 48.

Description: The purpose of this paper is to provide a survival analysis of persons in the various stages of HIV infection typically leading to AIDS and ultimately death. From Transactions of Society of Actuaries 1988, Vol. 40, Pt. 1.

Description: This paper presents a new insight into the mathematical structure of asset share-type calculations. Asset shares are interpreted as accumulations of insurance cash flows, which along with their related investment income, are treated as Stieltjes integrals. From Transactions of Society of Actuaries 1978, Vol. 30.

Description: 1999 SOA Annual Meeting, San Francisco. This panel analyzed the choices between purchasing actuarial software and developing the software in-house. Topics discussed: 1. Determination of software needs. 2. Evaluation of software packages. 3. Combining in-house developed software with commercial software. 4. Modifying commercial software to the needs of the organization. 5. Staffing and training for in-house developments versus staffing and training for installation of purchased software.

Description: In session 73OF of the Montreal Spring Meeting panelists discuss the organizational approach to the actuarial systems function that has been applied in their organizations. From the Record of the Society of Actuaries, Vol. 23, No. 2.

Description: This session 52SM/OF/L of the New Orleans Annual Meeting provides an opportunity for Computer Science Section members to learn about current section activities and to provide input to the Section Council. A brief introduction to the J computer language is provided. From the Record of the Society of Actuaries, Volume 27, No. 3, Session 52SM/OF/L.

Description: Existing actuarial literature does not provide a consolidated comparison of the available alternatives for accounting for universal life. This paper will analyze the similarities and differences between the existing prescribed method and the proposed alternatives. From Transactions of Society of Actuaries 1987, Vol. 39.