Description: Traditional pension mathematics assumes that mortality rates are fixed at a valuation date. If mortality rates reduce after a valuation date, the liabilities of a defined benefit plans 'DB plans' increase, leading to deficits. Such deficits are somewhat unpredictable, because the evolution of mortality rates is a random process. This problem, which is often called longevity risk, makes the maintenance of DB plans difficult. The International Accounting Standards Board 'IASB' has plans to tackle the arduous problem of how to disclose longevity risk on financial statements. The IASB was established in 2001 to create universal accounting standards, called International Accounting Reporting Standards 'IFRSs'. A primary objective of this paper is to propose a number of methods that can help actuaries and plan sponsors quantify and disclose longevity risk.

Description: Discusses a method to construct an endowment plan which provides for a maturity value greater than face by treating the paid up amount as the sum insured whenever it exceeds face. The formulas for premiums, cash values and amount of insurance are provided.

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 first discusses the history of the legislation of the joint and survivor benefits for the uniformed service personnel. It then goes on to address the specific actuarial assumptions made and the formulas developed for applying these assumptions for adaptability to the UNIVAC. This paper closes with specific programming procedures involved in using the UNIVAC.

Description: Proposes setting premiums such that inflation and age could change the premium over time, rather than prefunding. The value may be to change the approach to pricing LTC and improve the risk.

Description: The basic principle introduced in this paper is that the expected value of receipts on any insurance policy is equal to the expected value of payouts. Using an expected value approach, rather than present values, offers an interesting conceptual framework which might provide a possible starting point in risk theory to consider statistical variation about these expected values.

Description: This paper presents the general notion of a periodogram, following Elphinstone's approach. The paper then goes on to examine symmetric linear operators and their periodograms in preparation for the end discussion of periodograms of graduators.

Description: These notes are a follow-up to the paper 'Introduction to the Dynamics of Pension Funding' by the same authors and published in Transactions of Society of Actuaries 1976, Vol. 28. The purpose of that paper was to provide an introduction to mathematical principles applicable to pension funding under dynamic conditions of population growth, inflation, and automatic adjustment of benefits. The first note discusses a general contribution formula and a number of special cases and modifications. The second note concerns aggregate cost funding when the actuary uses assumptions about cost factors which differ consistently from cost experience. The final note concerns the variation of the annuity unit under a variable annuity program patterned after the plan employed by the College Retirement Equities Fund [CREF]. From Actuarial Research Clearing House 1981, Vol. 1.

Description: A research paper that outlines a seamless method of deriving assumptions for modern reserving and solvency capital requirements from a company’s own data.

Description: This paper presents a generalized profits released model which resolves the difficulties of the traditional analysis posed by products that have fluctuating profits and losses over time or have no initial investment. Discussions of the paper are included.