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: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: The SOA's Committee on Finance Research is please to make available the results of this research project, jointly sponsored by the SOA and CAS, that explores economic series and provides and Excel based tool for generating future economic scenarios. This is an Excel Spreadsheet for Appendix C showing Simulated Financial Scenario Data of inflation rates and interest rates from this research project. Please see the SOA website for the full report and other related spreadsheets.

Description: From a session at the annual meeting of the Society of Actuaries held in Chicago, Illinois, October 15-18, 2000 Discussion of purposes and approaches for creating interest-rate scenarios.

Description: From a session at the Spring meeting of the Society of Actuaries held in San Antonio, Texas, June 14-15, 2004 The panelists discuss the benefits of hedging variable annuity guarantees, the challenges they face and how they keep score.

Description: This model arose from a project to evaluate the cost of a health care access' program to provide comprehensive medical care to uninsureds in Minnesota, for the Minnesota Health Care Access Commission. The project was to provide estimates of the impact on per-person and aggregate costs for various participation percentages in the access program. In order to evaluate those costs, the antiselection model described in this was developed. Of note, this was the ACTUARIAL EDUCATION AND RESEARCH FUND 1991 PRACTITIONERS AWARD WINNER. From Actuarial Research Clearing House 1991, VOL. 2.

Description: This paper is written totally under present Indian conditions, but keeping an eye on the future, when there will be number of insurers, and this model can be applied to any condition where a number of insurers already exist. The purpose of this paper is to attempt to measure, from the point of view of a potential life insurance policyholder, the quality of the insurers and the variability between them so that it will be helpful for potential policyholders to choose their insurers according to their requirements.

Description: This paper develops a theory for the valuation of some kinds of interest sensitive cash flows. A process is derived which takes as input, assumptions about the capital markets and policy holder behaviour, and produces as output interest and decrement assumptions which can be used for conventional actuarial discounting. The methodology is illustrated using some idealized, but tractable, models of conventional non-par whole life insurance. The method is also applied to a simple Universal Life plan. The paper concludes by considering some of the problems encountered when applying the ideas to more practical problems.

Description: This paper develops a new technique, which allows the analyst to maximally use all thte historical interest rate information available in forecasting interest rates. Interest rates' daily change do not follow a stationary random process over long time periods. Instead, the process is comprised of stationary periods, each a few years long, with relatively short transitional periods between different stationary periods.

Description: Nonparametric regression tries to ?nd a relationship between the predictor and the response without assuming shape of estimated regression function. Its theory and methods are well developed for the case of completely observed vectors of predictors and responses. In many applications, including actuarial, some components of the observed vectors may be missed. Ignoring missing data and using known methods of nonparametric regression may yield inconsistent estimation. Theoretical results on optimal nonparametric regression with missing data are presented, and an applied actuarial example is discussed.