Description: Report on results of survey designed to get feedback on some hot topics in industry - namely predictive analytics and accelerated & enhanced underwriting.

Description: This paper develops an option pricing model that takes cost of capital concepts as its foundation rather than dynamic replication. The resulting model, called the 'C' measure in this paper, is related to the family of Affine Jump Diffusion models that are well known in the finance literature, so it is fairly easy to understand and implement. We argue that this is a reasonable model to use for estimating equity implied volatilities that are beyond the five- to 10-year horizon that can typically be observed in today‘s capital markets. The paper concludes with a short discussion of how to grade from observable market data to the 'C' measure.

Description: The abstract for the paper Dr. Phil's Guide to Pension Funding Reform.

Description: Investment Fallacies: The "Dollar Bill" Fallacy

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: From the 1960 Transactions Vol. 12 No. 32, this ‘Discussion of Subjects of Special Interest’ addresses the ordinary insurance underwriting topics of “guaranteed issue” and potential antiselection of business insurance vs. personal insurance at time of retirement.

Description: In this paper we study the pricing of financial options and contingent claims. We show that two time-honored concepts in actuarial science - the Esscher transform and the adjustment coefficient - are efficient tools for pricing many options and derivative securities if the logarithms of the prices of the primitive securities are certain stochastic processes with stationary and independent increments. We also study the pricing of American options on two stocks without expiration date and with payoff functions which are homogeneous with respect to the two stock prices.

Description: In this paper,we present a method which first converges a two dimensional data to a univariate one and then uses the interval censoring technique to estimate the probability of failure of a Joint-life status from a heavily censored data. Our study shows that the life annuities of joint-life status calculated assuming independence overestimates the ones evaluated from an actual sample of population.

Description: By the use of resampling and extreme value statistics we will develop a method to reduce the time and costs of testing insurance company insolvency. Most ruin models require assumptions about the surplus distribution and/or assumptions about the claims count and severity distributions. The actuary may not be comfortable in making these ruin assumptions. Instead, he or she may generate such distributions by running extensive computer simulations of corporate models, I introduce a method to reduce the number of simulations necessary' to estimate the 1 and 0.1 percentiles of the surplus distribution. This approach 'cuts off' the tail at approximately the tenth percentile of the sample distribution and generates new tails for the distribution by resampling. Averages of the new order statistics approximate the I and 0.1 percentiles.

Description: This presentation is an open forum from the 1991 Annual Meeting of the Society of Actuaries, held October 20-23 in Toronto. The focus from the panelists is on emerging trends and issues as they relate to the current market environment, discussing new products on the horizon, including market-value adjusted products, income products, and variable products, the importance of due diligence, and in-force annuity management. The panelists emphasize the importance of the public’s perception of and confidence in the insurance industry. Discussion from participants is included. From the Record of Society of Actuaries, Volume 17, No. 4B.