Description: Mortality rates for a local community are desired in conjunction with the calculation of health-adjusted life expectancy HALE, an indicator of population health.

Description: This is the abstract of a paper that presents a model for examining the effect of various relationships between mortality rates and lapse rates on the mortality experience of a cohort of insured lives. It takes an individual approach rather than the aggregate approach used in traditional methods of analyzing selective lapsation. The model assumes that insured lives are healthy at policy issue, but may later move to an impaired state from which the lapse rate is zero. Associated with each insured is an unobservable 'risk level' random variable, which reflects the heterogeneity of the insured group. Individual mortality and lapse rates are functions of the risk level. A numerical illustration provides some interesting results obtained using this model.

Description: A recent study sheds light on the measurement and implications of the relationship between increased morbidity and declining disability. The results were not consistent across all populations. This study of the compression of morbidity is part of a wider project called the M-project, led by the four authors, which aims to explore the demographic factors leading to an increase in the adult longevity, investigate the phenomenon called the compression of mortality and develop a new methodological approach to longevity analysis with focus on the modal age at death M.

Description: This abstract describes a study in which a goal programming model is constructed for analysis of a non-life insurance sector.

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

Description: This is an abstract for a research paper that compares the generalized linear array model [GLAM] and Lee-Carter models by fitting them to Swedish mortality data. GLAM is presented as an alternative to Lee-Carter for modeling mortality by age and calendar year.

Description: This is an abstract of a 1998 presentation from the 33rd Annual Actuarial Research Conference that introduces a family of fractional age assumptions and discusses its usefulness in estimating mortality rates and calculating actuarial present values. Members of the family include the familiar uniform distribution of deaths, constant force, and Balducci assumptions.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

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.