Description: The purpose of this paper is to survey some new results concerning the term structure of interest rates and discuss actuarial applications. The term structure of interest rates exhibits the relationship among the yields on default free debt instruments of different maturities. Although there is a considerable volume of literature dealing with the determinants of the term structure the analysis has until recently been presented for the most part in a deterministic i.e. non- stochastic framework. This constrasts with the treatment of capital assets where equilibrium prices have been obtained under the assumption that returns on these assets are random variables.

Description: Annual reports of the U.S. Social Security Trustees present 75-year financial projections of the system under three different deterministic sets of economic and demographic assumptions or scenarios. The extent of the divergence between these scenarios provides useful information concerning the range of possible outcomes, but, in the absence of stochastic model projections, no probability measure can be assigned to the three scenarios, apart from being described as intermediate, low-cost and high-cost. Demographic research and stochastic model forecasts of U.S. population suggest plausible hypotheses for analysis of the divergence characteristics of the actuarial solvency ratios implied by the three deterministic scenarios. Available data from the 2002 Trustees’ report are presented and various statistical measures are developed to aid in the assessment of plausible associated probability measures for the scenario projections.

Description: This paper proposes the use of stochastic compartment model methods for estimating both the current direct and current indirect costs of specific cancers and for forecasting future direct and indirect costs. From Transactions of Society of Actuaries 1982, Vol. 34.

Description: This paper presents some preliminary results of an analysis of data from a regional municipality in Ontario to assess long term care risks. The data includes information on the optimal level of care at one or more points in time for each individual under study modelled using a Markov process.

Description: This paper proposes a model for the incurred but not reported - IBNR- claims of an insurance company. This model will be fit to third party automobile bodily injury claims for which the months and years of occurrence of the accident are available. From the Actuarial Research Clearing House 1990 VOL. 1

Description: This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life insurance reserves is presented.

Description: An insurance company starts with an initial surplus, collects premium, pays claims to policyholders and pays dividends to stockholders. What remains is the following year’s surplus. The process continues. This paper describes how to calculate the distribution of surplus for any given year. With these distributions, one can make the calculations of premiums and dividends.

Description: Read the April 2020 issue of The Modeling Platform, published by the Modeling Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: This paper introduces a new direction for evaluating numerically survival probabilities pointed out by H. Seal in his book ‘Survival Probabilities: The goal of Risk Theory’. Some of special cases can be considered as a weighted Poisson process with an infinitely divisible mixing distribution. This property is well known for the negative binomial case [gamma mixing distribution].

Description: This paper demonstrates the calculation of the moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that each record represents an independent Bernoulli trial with its own known probability of a claim, q. Continuous distributions matching the first three or four moments are identified.