Description: In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient tools for pricing many options and derivative securities if the logarithms of the prices of the primitive securities are certain stochastic processes with stationary and independent increments. We also study the pricing of American options on two stocks without expiration date and with payoff functions which are homogeneous with respect to the two stock prices.

Description: In this paper, the calculation of life insurance functions taking an HIV+ life into consideration is examined. From Transactions of Society of Actuaries 1989, Vol. 41.

Description: Abstracts of various papers published in ARCH 1983 Vol. 1

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This paper reviews recursive formulas for aggregate claim distributions. Followed by a submitted discussion paper

Description: This is a study on the Nesbitt formula and the variants to this formula.

Description: This paper is a proof of a conjecture that appeared in a letter to the Editor of The Actuary. From the Actuarial Research Clearing House 1991 Vol.

Description: Equity-indexed annuities [EIAs] can be viewed as mutual funds wrapped around with various guarantees. A recent paper derived a closed form formula for pricing this dynamic guarantee if early withdrawal from the fund [before maturity] is not permitted. This paper studies the pricing of dynamic protection without a maturity date, i.e., the investor chooses the date to cash in the fund accumulation.

Description: In writing this note on the relationship between total return, duration and convexity, it was author's intent to produce a better understanding of Redington's theory of immunization. From Actuarial Research Clearing House 1991, VOL. 2.

Description: A study note for Exam MFE (Actuarial Models–Financial Economics Segment). This document describes the parameter d (delta) in the Black-Scholes formula.