Description: This paper focuses on the fact that life and annuity reserves that are determined from discounted case flows mask the dynamic nature of interest rates. To study this effect in a stochastic interest environment, the authors look at a change in discounted reserves. By looking at the appropriate measure of change, the paper explores potential short-term consequences of changes in the interest environment.

Description: This summary is intended to provide the pension actuary with guidance in interpreting and using the termination and retirement information in the 2003 SOA Pension Plan Termination and Retirement Study. The tables in the study were developed based on 1.7 million life years of data from 112 plans collected primarily from actuarial consulting firms for the period 1995 – 2000.

Description: Actuaries and other managers of risk identify factors in modeling insurance risks because [i] they feel that these factors may cause the outcome of a risk, or [ii] that the factors can be managed, thus allowing analysts a degree of control over the system risk. The purpose of this paper is to propose a framework for quantifying the relative importance of a source of risk. The intent is that, with a quantitative measure of relative importance, risk managers will be able to sharpen their intuition about the relative importance of risks and be better custodians of financial security systems. This paper proposes a measure of relative importance that has its roots in both the statistics and economics literatures. The measure is intuitively appealing when assessing the effectiveness of basic risk management techniques including risk exchange, pooling and financial risk management. The risk measure is also shown to be useful in multivariate situations where several factors affect a risk simultaneously. The paper illustrates this usefulness by considering a pool of policies that is subject to mortality, the risk of a disaster that is common to all policies, and to a common investment environment.

Description: This paper introduces actuaries to the concept of 'copulas,' a tool for understanding relationships among multivariate outcomes. A copula is a function that links univariate marginals to their full multivariate distribution. Recently, there has been a rapidly developing literature on the statistical properties and applications of copulas. This paper explores some of these practical applications, including estimation of joint life mortality and multidecrement models. In addition, the paper describes basic properties of copulas, their relationships to measures of dependence and several families of copulas that have appeared in the literature. This paper will also be useful to those who wish to use copulas for statistical inference. Statistical inference procedures are illustrated using insurance company data on losses and expenses. For this data, the paper shows how to fit copulas and describes their usefulness by pricing a reinsurance contract and estimating expenses for pre-specified losses.

Description: This Excel workbook contains the complete set of tables developed from the Society of Actuaries 2003 Pension Plan Termination and Retirement Study. Separate tabs are included for the Basic Age Table, Basic Service Table, Select & Ultimate Table, Small Plan Age Table, and Small Plan Service Table.

Description: This paper addresses the extension of the theory of life contingencies to a stochastic interest environment and its application to solvency valuation and surplus. A discussion of the paper follows. From Transactions of Society of Actuaries 1990, Vol. 42.

Description: In a product warranty, the renewal function is the expected number of failures in a specific warranty duration. To estimate the renewal function, cross-sectional regression data is assumed to be available and the data is assumed to be semiparametric. In this article, the observations are a11owed to be residuals from a complex regression model. It is observed that estimation can be accomplished using reasonable models for the contracts and data collection. From Actuarial Research Clearing House 1992, VOL. 2.

Description: This paper provides an overview of deductible ratemaking , and the pros and cons of various approaches under different parametric models are compared

Description: This predictive modeling paper, “Household Life Insurance Demand – A Multivariate Two-Part Model is one of a collection of essays that examine how existing or new methods or models can be applied to the life insurance industry.

Description: This paper introduces density estimation for functions of observations. The nonparametric density estimates are introduced and certain computational issues are discussed and a central limit theorem for the estimator is provided. From Actuarial Research Clearing House 1993, VOL. 1.