Description: This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement. We argue that this is a reasonable model to use for estimating equity implied volatilities that are beyond the five- to 10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short discussion of how to grade from observable market data to the 'C' measure.

Description: This paper examines the funding expectations of the three primary stakeholders in the pension system: plan sponsors, taxpayers, and workers. From The Future of Pension Plan Funding and Disclosure Monograph, M-RS05-1.

Description: This paper considers the question of how the adjustment mechanisms described for the Swedish and German social security systems might be incorporated into private sector DB plans of the following types: multi-employer and single employer.

Description: Discussion among experts. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. This is the abstract of the referenced paper.

Description: Summary of the papers presented at the symposium

Description: Discussion of 2008 Living to 100 General Session 4.

Description: All files of 2008 Living to 100 Monographs.

Description: This paper is to some extent a sequel to my previous paper A Bond Manager's Method for ALM published in Actuarial Research Clearing House Volume 1993.3. It borrows from that paper the concept of benchmark weights for measuring the sensitivity of the present value of a set of cash flows to changes in interest rates. However, a completely different approach to calculating benchmark weights is presented.

Description: This paper argues that living longer with dignity is what is desirable and also that this should be an objective in designing specific social support systems for the elderly. The paper identifies and discusses certain areas where dignity is lacking or where the likelihood of living with dignity could be enhanced.