Description: This is the full version of the CompAct newsletter, published April 2007, Issue No. 23.

Description: This is the full version of CompAct Electronic Newsletter, August 2003, Issue No. 16.

Description: This paper presents the modeling of mortality risk from exposure to a potential future extreme event such as a natural disaster and a terrorist attack, and its impact on life insurance. With this new model, quantities associated with the total force of mortality such as survival function are derived and the impact of mortality risk on life insurance is examined.

Description: In this paper, we introduce a family of leptokurtic symmetric distributions represented by the difference of two gamma variates. Properties of this family are discussed. The Laplace, sums of Laplace and normal distributions all arise as special cases of this family. We propose a two-step method for fitting data to this family. We develop a statistical test for goodness-of-fit and introduce a test of normality of the data. A simulation study is provided to illustrate the theory.

Description: Guaranteed Annuity Options GAOs are options available to holders of certain pension policies. This paper studies GAOs using two models for the interest rate the Vasicek and the Cox-Ingersoll-Ross models. An actuarial approach is used to value the GAOs and compared with the value of a replicating portfolio.

Description: Download the papers from the Asset–Liability Integration monograph.

Description: Presented at Living to 100 and Beyond symposium 2002. Discussion of two papers, 'Approaches and Experiences in Projecting Mortality Patterns for the Oldest Old' by Buettner and 'Using Dynamic Reliability in Estimating Mortality at Advanced Ages' by Lin. The first paper discusses the UN methodology for projecting mortality above age 80 and presents another approach for addressing the problem of table closing. The second paper suggests a new statistical model for fitting and estimation of mortality rates at advanced ages.

Description: This paper provides the actuary with a brief overview of the subject, along with references for those interested in conducting their own review. It surveys current research, reviews what has been learned so far, and looks at future possibilities.

Description: Discussion of paper presented at Living to 100 symposium January 2002. This is the reply to the discussion of author's paper.

Description: Discussion among experts. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.