Description: The purpose of this paper is to examine a special case of option pricing theory in which the insurance company promises the customer to exercise the option for him. This paper presents a simple formula for valuing the option. From the Actuarial Research Clearing House 1991, Vol.1.

Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: This is a August 1, 1990 memorandum sent to selected members of the Society of Actuaries announcing the creation of an Education and Research Section. From Actuarial Research Clearing House, 1991 Vol. 1.

Description: This is the abstract from a 1998 presentation at the 33rd Actuarial Research Conference regarding the revised syllabus for the Society of Actuaries education and examination program for 2000.

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .

Description: This paper provides commentary on the paper entitled 'A Discrete Equilibrium Model of the Term Structure' by N. J. Macleod, and J. D. Thomison. From Actuarial Research Clearing House 1990, VOL. 2.

Description: This paper on the duality between uniform deaths and Balducci assumptions was motivated by earlier referenced works in which exposure formulas based upon the assumption of the uniform distribution of deaths were analysed. From ACTUARIAL RESEARCH CLEARING HOUSE, 1980 VOL. 2.

Description: This is a study note that supplements material contained in the book, 'Actuarial Mathematics,' 2nd edition, by N. L. Bowers, Jr., H.U. Gerber, J.C. Hickman, D.A. Jones and C.J. Nesbitt. The topics covered include integer functions, uniform distribution of deaths throughout each year of age, and annuity coefficients.

Description: This paper reviews Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 Vol. 1 .