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: This presentation, session number 83CS at the 1999 Spring Meeting of the Society of Actuaries, held June 16-18 in Seattle, is a preview of an actual Course 7. The presenters, two experienced researchers, lead the discussion and a demonstration of a case study from the modeling Course 7. Discussion from participants is included. From the Record of the Society of Actuaries, Vol. 25, No. 2.

Description: This paper shows that Balucci hypothesis imposed on a survivorship function over a closed interval is dual to the uniform distribution of deaths hypothesis imposed on the survivorship function over the same interval.

Description: The authors offer a method for estimating parameters for well-known three-parameter models of force of mortality. The method involves fitting a series of linear regressions, and finding the least-squares estimates of all the parameters by using the Golden Section Search method. From Actuarial Research Clearing House 1993, VOL. 1.

Description: This paper discusses the numerical stability of Panjer's recursion in computing aggregate claims distributions. From Actuarial Research Clearing House 1993, VOL. 1.

Description: The purpose of this paper is to present a parsimonious parametric model that explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author modeled the combined rates found in the 1965-70 ALB Basic Tables. From Actuarial Research Clearing House 1994, VOL. 1.

Description: This paper presents an approach in which a defective renewal equation is solved in terms of a related compound geometric distribution. The advantage of this approach is discussed. The authors then apply this approach to a defective renewal equation which involves the time of ruin, the surplus before ruin and the total deficit at the time of ruin. They show how to compute the moments of the time of ruin as well as the joint distribution of the surplus before ruin and the deficit at the time of ruin. Two important cases in terms of claim size distributions are considered in detail. First, the authors consider exponential claim size distributions. They then consider a combination of two exponentials. The moments of the time of ruin are given in both cases.

Description: The results obtained during the last one-third of the research project and the project at whole are presented. The report only contains brief descriptions of the results which are placed in addendums and which are in reality copies of papers and a chapter of a book submitted for publication. Some theoretical and applied problems induced by the research are discussed.

Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: This article discussed modeling the P&C reinsurance market using an Agent Based Model to provide insights into the market. The characteristics of this marketplace provide credibility to this type of modeling. Specifically, the P&C reinsurance market has few major players, very little product differentiation, and low barriers to entry. In addition established competitors are volume-constrained due to prior business and capacity decisions made based on estimated product costs and prices.