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.

Description: In the classical risk theoretic model with Poisson claim arrival and exponential claims, consider the discounted value of claims nos. 3, 6, 9, and so on. [To risk theory specialists, considering every third claim in a Poisson arrival process is the same as assuming waiting times are Erlang[3] in a Sparre-Andersen model.] The distribution of the discounted value of future claims can be found. It turns out that this is the same as the distribution of the product of two independent variables, one having a gamma distribution, the other a 'complex-parameter beta product distribution'. The latter will be defined, it involves extending the usual beta distribution.

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: The problem of finding the distribution of sums of lognormally distributed random variables is discussed. References going back to the 1930’s are given, as well as some possible solutions. A formula for the characteristic function of one lognormal is stated, and then the moments and distribution of the logarithm of sums of lognormals are considered.