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 problem 24, Chapter 5, of Kellison's 'Fundamentals of Numerical Analysis' it is indicated how a divided difference can be expressed as a ratio of two determinants. This study note shows that this method works well also in the case where some of the arguments of collocation coincide. The rule is: If an argument occurs k times, the derivatives of the corresponding row up to order k-1 should be used in numerator and denominator.

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: The purpose of this note is to show how certain formulas of life contingencies can be derived almost painlessly under the uniform distribution of deaths assumption.

Description: The presentation of the simplex algorithm in 'A Study Manual For Operations Research' [edited by Eugene A. Narragon] is difficult to follow. The purpose of this note is to show that a better understanding can be obtained by means of a geometric interpretation and the exchange method.