Description: Presented at May 2002 Spring Meeting. Our lecturer presents findings from a research project relating to the Cox, Ingersoll & Ross model of interest rates, including an effective way of pricing general interest rate derivatives and pricing bonds.

Description: This session from the 1994 Valuation Actuary Symposium covers the collapse of the real estate market in the early 1990's and the problems it created in cash flow testing and valuation work. It also covers an integrated asset/liability model and the applications beyond cash flow testing including an example for an SPDA.

Description: The purpose of this paper is to present to the actuarial profession a stochastic investment model which can be used for simulations extending for many years ahead. Discussed in the paper are the general reasons for choosing the style of model, the general model and how to use it, the assumptions and the sensitivity of model to the assumptions made and the possible applications in the investment and actuarial fields.

Description: This report describes a stochastic simulation approach used to estimate the amount of a level-payment annuity payable as long as the person is alive and living in his/her house. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.