Description: This paper addresses some pervasive problems in using secondary data in actuarial research. An approach to solving these problems is based on information theory. From Transactions of Society of Actuaries 1995, Vol. 47.

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

Description: This paper examines the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities. Therefore the pricing of catastrophe risk bonds requires an incomplete markets setting and this creates special difficulties in the pricing methodology. The paper briefly discusses the theory of equilibrium pricing and its relationship to the standard arbitrage-free valuation framework. Equilibrium pricing theory is used to develop a pricing method based on a model of the term structure of interest rates and a probability structure for the catastrophe risk. This pricing methodology can be used to assess the default spread on catastrophe risk bonds relative to traditional defaultable securities.

Description: 1992 SOA Annual Meeting, Washington, D.C. In this session on Single Premium Deferred Annuities, the panelists discussed the results of the 1992 Single Premium Deferred Annuity Persistency Study and they identified some additional research in the area of interest-sensitive cash-flow analysis.

Description: This is the abstract of a paper that considers a general two-country model of exchange rate dynamics in which interest rates are stochastic. Special cases of this model are also illustrated in which the, interest rates are constant in each country and when interest rates are Gaussian in each country. This model provides an important tool for actuaries dealing with global risk which includes valuation of currency derivatives [forwards, futures, options and swaps], frequency/severity claims model with exchange rate risk in the claim size, valuation of individual insurance contracts written in foreign currency, and valuation of general interest sensitive claims in foreign currency.

Description: This paper presents best upper and lower bounds on the expected value of an insurance payment under the terms of a contract written on a random loss with known moments. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: Shows how to use personal information such as medical history, family characteristics, etc. in a logical statistical fashion for the purpose of modifying an existing mortality table to reflect the collected underwriting information.

Description: This paper presents best upper and lower bounds on the expected value of a reinsurance payment under the terms of a contract written on a random loss with known moments. Bounds on the expected exercise value of a financial option are considered also because the mathematical model used for valuing options is similar to that used in reinsurance net premium calculations. From the Actuarial Research Clearing House ARCH 1990 Vol. 1.

Description: Studies full and partial single-premium deferred fixed annuity withdrawals and the relationship of this activity to selected characteristics of the contract. This report shows results for the calendar years 1984 - 1989 on business issued between 1978 - 1989.

Description: This report describes a simple way to construct a bivariate copula with specified marginals and partially specified dependence. For example, the method allows one to model tail behavior scenarios while holding the core of the joint distribution fixed. An Excel workbook named CopulaExample.xls is provided to illustrate the method, including its use in Monte Carlo simulation.