Description: Recap of AOF Section Sessions at 2008 Annual Meeting

Description: This article is a letter from the current and incoming chairperson.

Description: July 2009 issue of the Technology Section newsletter, CompAct.

Description: Submissions details for future editions of the CompAct Newsletter.

Description: This paper illustrates the application of stochastic control methods in managing the risk associated with an insurance business. We present the Hamilton-Jacobi-Bellman HJB equation and demonstrate its use in finding the optimal investment strategy based on some given criteria. Here we consider an insurance business with a fixed amount available for investment in a portfolio consisting of one non-risky asset and one risky asset. The object of the resulting control problem is to determine the investment strategy that minimizes infinite time ruin probability. The existence of a solution to the resulting HJB equation is shown. The relevant verification lemma is not presented in this paper and a numerical algorithm is given instead. Examples applied to exponential claims are also presented.

Description: This paper demonstrates that using a conditional probability approach to analyzing investment data yields investment forecast and stock option pricing models which more closely match actual market data, and it demonstrates the impact that conditional probabilities could have on CAPM beta and risk premia calculations. Reprinted from: Journal of Financial and Economic Practice, Vol. 6 No. 2 Spring 2006.

Description: This monograph explains the ways actuaries are or could be involved in the self-insured employer health plan marketplace today and in the future.

Description: The paper gives an overview of the data that are available and discusses the problems encountered in estimating mortality rates at old ages in the UK. It describes some of the methodologies used to construct mortality rates at advanced ages for official life tables and recent work undertaken by the UK Government Actuary’s Department to construct a database of historical mortality rates for the United Kingdom going back to 1961. Mortality tables for ages 85 and above are provided for years 1961 - 2000 by gender. Finally, possible methods for projecting mortality at advanced ages are discussed.

Description: Discussion of the differences between aging and disease research and factors affecting longevity. Argues that elimination of most mortality risk will not create a dramatic increase in life expectancy.

Description: Discussion of three papers presented at Living to 100 and Beyond symposium. Papers discussed: 'Morality at Advanced Ages' by Virga, 'Factors Affecting Mortality in a Small Sample of Older Adults' by Jones, Kwon, Paterson, Cunningham, and Kovai, and 'Detection and Significance of Frailty in Elderly Insurance Applicants' by Pokorski. The first paper develops mortality tables from retired federal employee data.