Description: This material, Appendix I of the 1987 Valuation Actuary Handbook, is an appendix to Chapter II of the Handbook, ‘Methods of Analyzing cash Flows to Test for Reserve Adequacy.’ The author provides additional support in his appendix which discusses the theory behind MacAulay duration and provides illustrative examples.

Description: From a session at the 2000 Valuation Actuary Symposium held in Washington DC, September 14-15, 2000 Discussion of newer and more innovative investment structures and the modeling of these securities in cash-flowing testing and asset/liabilities management analysis.

Description: Discussion of solvency problems and the actuary's role in addressing them in the life insurance industry.

Description: The paper discussed the reasons for a stock company's mutualization detail the mutualization process itself consider actuarial, legal, and other problems that arise and review a recent case history.

Description: The two-parameter Pareto distribution is a commonly used model in reliability and risk modeling. Minimum variance unbiased estimates of the parameters of Pareto distribution are not known. In this paper, we propose and investigate a method of estimation of the parameters of the Pareto distribution. This method is based on minimization of the Kolmogorov-Smirnov distance between the empirical cumulative distribution function [cdf] and the cdf of the Pareto distribution.

Description: In recent years, insurance companies have been introducing saving products whose returns are linked to equity market performance. Equity-indexed annuities [EIA's] are one of the products of this kind. This paper is a study on the recent introduction and popularity growth of equity-indexed annuities. An index is considered which provides a minimum interest guarantee and a participation in the increase in an index.

Description: Highlights of Society of Actuaries research efforts in the financial services practice area.

Description: This paper develops credibility using a longitudinal data framework. In a longitudinal data framework, one might encounter data from a cross-section of risk classes towns with a history of insurance claims available for each risk class. For the marginal claims distributions, we use generalized linear models, an extension of linear regression that also encompasses Weibull and Gamma regressions. Copulas are used to model the dependencies over time specifically, this paper is the first to propose using a t-copula in the context of generalized linear models. The t-copula is the copula associated with the multivariate t-distribution like univariate t-distributions, it seems especially suitable for empirical work. Moreover, we show that the t-copula gives rise to easily computable predictive distributions that we use to generate credibility predictors. Like Bayesian methods, our copula credibility prediction methods allow us to provide an entire distribution of predicted claims, not just a point prediction.

Description: This article delves into the challenges and opportunities of the Asian insurance market, focusing on insurance investment management.

Description: ongoing discussion of the proper interest rate to use in discounting liability cash flows to reflect credit risk of the insurer in a fair value accounting system