Description: We consider Libor market model and calibration process. We estimate some interest rate derivatives such as Caps and Swaptions. We use Monte Carlo methods with appropriate dynamics under spot measure and forward measure. Imposing martingale discretization property, the same quantities are estimated again to see a contrast or discrepancy in light of confidence interval. Based on algorithms discussed in the paper, “Arbitrage-free discretizations of lognormal forward Libor and swap rate models” by Glasserman, P and Zhao, X 2000, the algorithms are implemented in excel VBA. Starting with current market data such as FRAs and Bond Prices, we describe steps involved to estimate the price of interest rate derivatives such as Caps and Swaptions, which would be beneficial to the practitioners in the industry.

Description: Panel session exploring a variety of issues connected to long-term disability reserve buyouts, including: · Advantages and risks for buyers and sellers · Use of appropriate reserving assumptions · Possible financial structures for a buyout

Description: This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic that is becoming increasingly important to actuaries in most fields of practice. “Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free pricing of interest-rate-contingent cash flows.” This paper, by James A. Tilley, won the 1992-93 Annual Prize, and the Halmstad Prize for 1992. The paper includes written discussion and the author’s review of the discussions.

Description: This is the User's Guide that accompanies the Inflation Generator Excel spreadsheet which is associated with the research report entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.'

Description: This article provides an overview of the different types of real world interest rate scenarios that practitioners use in the life insurance industry and explores different approaches to building those generators.

Description: This paper discusses the theoretic framework of modeling captial markets: index-based composition methodology and statisical procedure of model construction and extension: wavelets-based financial signal processing technique. It also discusses the implications and applications, measuring the market uncertainty and volatility highlighting the S&P 500 as an example.

Description: The purpose of this discussion is to introduce a few additional points and discuss how different assumptions will alter the results in some cases.

Description: This paper examines some new Bayesian models for loss reserving inspired by a consideration of some of the methods and techniques appearing in the traditional chain ladder literature. This includes a possibly order restricted hierarchical Bayesian model for the year over year development factors. The issues of reserve variability and ranges of reasonable reserve estimates are considered. A new Bornhuetter-Ferguson styled Bayesian method of estimate revision is also discussed. These Bayesian models can be implemented using Markov chain Monte Carlo MCMC methods in a variety of programming languages, and can serve as starting points for more advanced models. This paper describes their implementation in WinBUGS a specialized software program for MCMC simulations. Illustrative WinBUGS code is included.

Description: This is an Excel 2003 spreadsheet that accompanies the research report entitled 'The Effect of Deflation or High Inflation on the Insurance Industry.' It models scholastically the effects of inflation and deflation.