Description: This abstract describes a paper that models a firm value by a jump-diffusion process and derives an explicit formula for the default probability.

Description: This is an abstract of presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. In this talk, we examine the modeling of insurance losses resulting from natural catastrophes, particularly losses to residential and commercial structures as a result of earthquakes. The model proposed can also be used for other types of natural catastrophes such as floods and hurricanes.

Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for the pricing of corporate debt and adopts this approach to the valuation of government loan guarantees for companies in financial distress.

Description: This abstract describes a paper that looks at ways of pricing options under the enhanced diffusion Model.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

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: From the Editor: This issue of Long-Term Care News attempts to address how LTC insurers manage investment risk and morbidity misestimation risks.

Description: This abstract describes work that revisits Tilley’s approach to approximating the value of a derivative through simulation and compares it to the Least Squares Monte Carlo Method developed by Longstaff and Schwartz.

Description: This is the abstract of the paper Hedging of Insurance Contracts. ls the tinting of liabilities e.g. the IBNR case irrelevant to investment decisions in an insurance company? Even in the extreme case of independence between claim developments and movements in the financial markets, the assumption of constant insurers' absolute measure of risk aversion is necessary for a positive answer to the initial question.