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 examines the theory of surplus for a mutual life insurance organization. The paper tries to answer several important questions - What exactly is surplus, what is its purpose, of what magnitude might it be, from whence does it arise, and what are its implications with respect to equity between policyholders.

Description: This report describes and demonstrates a method to understand reputational risk that an insurance company can apply to the unique circumstances of the insurance firm. This method applies a policy-capturing survey with scenario analysis to generate insight into reputational risk from the perspective of a variety of stakeholders. Also included is instruction for spreadsheet-based query and reporting to facilitate the use of the information in the risk management function.

Description: This paper defines a concept of equivalence for profit standards. The central principle advanced is that the company should set prices on all its products to produce marginal profits that are equal in proportion to the products' marginal use of surplus. From Transactions of Society of Actuaries 1981, Vol. 33.

Description: This report identifies the risks that can affect insurance company solvency, provides information and opinions on techniques currently available, and comments on what additional research may be necessary.

Description: This paper reports on the findings of a working group established in 1999 by the SOA's Finance Practice Area to look at how the insurance industry measures and monitors risk through risk position reporting. Also the working group established industry standard practices in risk position reporting and reported on a number of areas for possible improvement in such reporting.

Description: The purpose of this paper is to discuss the fundamentals of fund accounts in relation to effective company administration. From Transactions of Society of Actuaries 1949, Vol. 1, No. 1.

Description: Traditionally, actuarial techniques are used to study mortality and morbidity experience. But an SOA study demonstrates that similar methods can be used to analyze the mortality and morbidity of assets i.e., credit risk events such as restructures, defaults, foreclosures, and bankruptcies. This is a Summary of the Final Report: 1986-1989 Credit Risk Event Loss Experience, Commercial Mortgage Loans and Private Placement Bonds. From ACTUARIAL RESEARCH CLEARING HOUSE, 1994 VOL. 1.

Description: This report studies the various benchmarks for analyzing the option-adjusted spreads of the major fixed income asset classes of life insurance companies. In addition, this report analyzes the historical benchmark performance against default rates for the asset class being benchmarked.

Description: This is a Confidentiality Agreement to be signed prior to contributing data to the Society of Actuaries' study that investigated the motivating factors contributing to the exercise of stock options.