Description: Healthcare costs have been rising faster than general inflation for many years. Early models that predicted this past pattern projected healthcare expenditure growth that continued to outpace total expenditure growth leading to the fallacious position that the whole of the US economy would ultimately be consumed by healthcare. This paper presents a long term healthcare trends resource model, prepared for the Society of Actuaries by Professor Thomas Getzen, that includes capacity constraints to ensure the long-term projection is rational. The motivation for creation of the model was driven by its potential usage as a resource for the estimation of reportable liabilities for retiree healthcare benefits as specified under FAS 106 and GASB 45 accounting statements.

Description: The Required Minimum Distribution [RMD] Working Group of the SOA Taxation Section has completed research identifying considerations for actuaries and annuity insurers in determing the actuarial present value of additional benefits for computing the RMD under a deferred annuity contract. This is the Appendix I spreadsheet for determining the Actuarial Present Value of an annuitization bonus. Please see the SOA website research for the full report and other associated spreadsheets.

Description: A research project with the Society of Actuaries on interest rate hedging on traditional life and health insurance.

Description: Sent to potential participants to gather information on different preferred class structures.

Description: The purpose of this report is to start an informed debate on the issues surrounding the treatment of diversification in the solvency assessment of insurers. The members of the Chief Risk Officer Forum herein suggest a framework for how diversification should be treated within a prudential regulatory framework.

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.

Description: The Stochastic Volatility, SV, model is used for capturing the empirical properties of financial time series. This paper overviews those properties and compares the SV model with the heavy-tailed error distribution Student t-distribution and the SV model with the normal error distribution. The Simulated Maximum Likelihood, SML, method is applied to estimate the parameters and the latent volatility.

Description: This paper discusses mathematical modeling and pricing of 'Stable Value' financial products offered to pension plan providers. These products target a risk-averse population of investors who have a significant preference for a stability of returns. The paper offers a quantitative methodology that reflects a decision making process applicable in the situation of incomplete markets where traditional arbitrage free arguments are invalid.

Description: From June 11 through August 3, 2007, the University of Illinois at Urbana-Champaign [UIUC] hosted a National Science Foundation-sponsored Research Experience for Undergraduates on the topic 'Stochastic Modeling in Actuarial Science and Financial Mathematics.' This Experience, provided to 6 undergraduate mathematics students from universities across the United States, was directed by Professor Rick Gorvett, the Director of the UIUC Actuarial Science Program. This report summarizes the program and describes the research projects undertaken.

Description: This is the sixth Intercompany Study of Long–Term Care Insurance. This report combines and analyzes data received from 35 insurers. Available data was collected on policies issued between January 1, 1984 and December 31, 2007. Claims incurred on policies during this same timeframe were followed from claim inception through the earlier of claim termination or June 30, 2008.