Description: This paper analyzes the U. S. Treasury monthly interest rates from 1953 to 1992, and the daily rates from 1981 to 1992 for various forms of chaotic behavior. The primary analysis was in determining the Burst Exponent by the use of Rescaled Range Analysis. This paper also discusses other possible uses of Fractional Brownian Motion in Finance Theory, Macroeconomics, and Actuarial Science. From Actuarial Research Clearing House 1994 VOL. 1.

Description: This paper documents how mutual company surplus is determined and shown in a GAAP statement, including supplementary information, and offers how such reports could caption this item more appropriately.

Description: An analysis of how to compute the variance of the present value of future annuity payments as a component of assessing the mortality component of the provision for adverse deviation in the computation of GAAP reserves.

Description: Annual reports of the U.S. Social Security Trustees present 75-year financial projections of the system under three different deterministic sets of economic and demographic assumptions or scenarios. The extent of the divergence between these scenarios provides useful information concerning the range of possible outcomes, but, in the absence of stochastic model projections, no probability measure can be assigned to the three scenarios, apart from being described as intermediate, low-cost and high-cost. Demographic research and stochastic model forecasts of U.S. population suggest plausible hypotheses for analysis of the divergence characteristics of the actuarial solvency ratios implied by the three deterministic scenarios. Available data from the 2002 Trustees’ report are presented and various statistical measures are developed to aid in the assessment of plausible associated probability measures for the scenario projections.

Description: This dissertation is about methods for assessing mortality risk in regard to insurance and annuity transactions. Although the basic methods and formulas are general, most of the applications made here deal with life annuity transactions, with particular emphasis on pension situations.

Description: Table of Contents

Description: Table of Contents

Description: This paper reviews and compares the Canadian and U.S. Social Security systems as to their adequacy, actuarial equity and progressiveness. It concludes that the Canadian system[s] provide larger minimum benefits and, thus, greater adequacy than the U. S. On the other hand, the analysis indicates more emphasis on actuarial equity in the U.S. system [in total] than in Canada. Finally, both systems are shown to be highly progressive in that lower-wage earners get larger benefits per dollar of contribution than do higher wage earners. The paper concludes by noting that while the systems in these two countries have remarkably different actuarial formulae for determining benefits, and remarkably different structures, that the benefits that result from the two systems are surprisingly similar. From Actuarial Research Clearing House 1999, Vol. 1.

Description: A short note on derivatives of decreasing life annuities that was motivated by Exercise 5.35 on page 156 of 'Actuarial Mathematics'. Actuarial Research Clearing House 1993 VOL. 2

Description: The purpose of this paper is to explain several actuarial-demographic-statistical techniques and show their application in medical investigations. Actuarial Research Clearing House 1979, VOL. 1