Description: The Product Development Section, the Financial Reporting Section, the Modeling Section and the Committee on Life Insurance Research are pleased to present new research on modeling and forecasting cause-of-death mortality. Authored by a Milliman team led by Alexandre Boumezoued, the report develops a framework for forecasting cause specific death rates. Included also is a Cause of Deaths Forecasting Tool and a user guide for the tool.

Description: This paper presents an analysis of mortality in a sample of 441adults aged 55 to 85 at baseline, who were observed for eight years. The study was initiated for the purpose of analyzing age-related changes in a variety of physical variables and their impact on functional independence. The modeling approach is discussed and the factors which were most significantly related to mortality.

Description: This is an abstract for the paper, Analysis of Costs for a Chronic Disease with Acute High Cost Episodes by Marjorie Rosenberg and Philip Farrell.

Description: The minimum distance estimator proposed allows for the selection of the best fitting family member without prior distributional assumptions. It is shown that this estimator is consistent and can be made either robust or asymptotically efficient. Its asymptotic distribution is derived and and illustrated with automobile insurance data. From the Actuarial Research Clearing House 1990 Vol. 1

Description: This paper presents a model is which can be used for certain annuities when interest rates and future lifetimes are random. These can be used in determining contingency reserves for possible adverse interest and mortality experience for collections of life annuity contracts. Certain boundary crossing probabilities for the stochastic process component of the model are obtained. From Actuarial Research Clearing House 1991, VOL. 1.

Description: The authors offer a method for estimating parameters for well-known three-parameter models of force of mortality. The method involves fitting a series of linear regressions, and finding the least-squares estimates of all the parameters by using the Golden Section Search method. From Actuarial Research Clearing House 1993, VOL. 1.

Description: This paper discusses the numerical stability of Panjer's recursion in computing aggregate claims distributions. From Actuarial Research Clearing House 1993, VOL. 1.

Description: The purpose of this paper is to present a parsimonious parametric model that explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author modeled the combined rates found in the 1965-70 ALB Basic Tables. From Actuarial Research Clearing House 1994, VOL. 1.

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: The main aim of this paper is to apply some of the techniques of modern time series and econometric analysis to analyse investment data in order to better understand the nature of long run relationships in investment series typically used in stochastic investment models. The paper attempts to identify and address fundamental issues that need to be considered before developing a particular stochastic investment model.