Description: This is the abstract of a paper that presents a model for examining the effect of various relationships between mortality rates and lapse rates on the mortality experience of a cohort of insured lives. It takes an individual approach rather than the aggregate approach used in traditional methods of analyzing selective lapsation. The model assumes that insured lives are healthy at policy issue, but may later move to an impaired state from which the lapse rate is zero. Associated with each insured is an unobservable 'risk level' random variable, which reflects the heterogeneity of the insured group. Individual mortality and lapse rates are functions of the risk level. A numerical illustration provides some interesting results obtained using this model.

Description: The zeta distribution with regression parameters has been rarely used in statistics because of the difficulty of estimating the parameters by traditional maximum likelihood. This is the abstract of a paper that proposes an alternative method for estimating the parameters based on an iteratively reweighted least-squares algorithm.

Description: This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life insurance reserves is presented.

Description: View the 2019.1 Actuarial Research Conference Proceedings.

Description: This is the abstract of a paper about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This is the abstract of a paper that derives expressions for the moments of the distribution of the option payoff in a Black Scholes economy. These results are of interest from a purely statistical viewpoint. They may also be of interest given the current importance of value at risk calculations. The paper also derives formulae for the moments of barrier options and provides numerical examples.

Description: This is an abstract of the paper A Second Order SDE for the Force of Interest. In this paper, the author models the force of interest by a linear second order stochastic differential equation.

Description: Abstract to research paper which introduces estimators of stock price volatility.

Description: This is the abstract of a preliminary report on a research project about the applications of dynamical systems theory in actuarial science. The project is funded by the AERF. The paper will briefly describe the nature of dynamical systems and present a tentative model derived from percolation theory that could be used to understand the pricing variations encountered in a competitive environment and that could also be used as a model for credibility. From Actuarial Research Clearing House 1992, Vol. 1.