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: This is the conference report that documents the inaugural event for Initiative 18|11, which was held in Washington, DC, on March 7, 2018. Initiative 18|11 is a joint venture between the Society of Actuaries and the Kaiser Family Foundation. It is focused on determining action steps that can be taken to address the rising cost of health care in the United States.

Description: This article looks at the present dilemma on the priorities of an insurance company's obligations to policyholders and how the history of Separate Accounts can bring this issue into understanding within the context of its historical development. From Society of Actuaries Financial Reporting Monograph, M-AS99-1.

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.

Description: The purpose of this paper is to examine the various profit objectives used in the development of a new product for a stock life insurance company. From Product Development Section Monograph, M-AS99-3.

Description: This article is an extract from a revision to the Universal Life Study Note. From Product Development Section Monograph, M-AS99-3.

Description: The external actuary must balance the goals of the company with a realistic assessment of the chances of achieving them, uncovering hidden value while scaling back on aggressive targets to achieve a balanced, defensible end product with buy-in from the seller's team. From Actuarial Considerations in Insurance Mergers and Acquisitions, M-FI03-1.

Description: Discussion of Human capital and its implicit asset and liability cash flows how insurance companies could help measure and provide products to help match up the timing of those cash flows. From Asset-Liability Integration, M-FI02-1.

Description: Management's goal is to continuously optimize the economic value of the firm, subject to regulatory constraints, with the use of financial valuation of the firm’s balance sheet. Both the assets and liabilities can be perceived as derivative securities. This chapter discusses a variety of financial economics issues with this common theme. From Asset-Liability Integration, M-FI02-1.

Description: By establishing insurance risk as an asset class, participants will provide the insurance industry with vast pools of capital to mitigate catastrophic risk through the use of new nontraditional reinsurance products. From Securitization of Insurance Risk: The 1995 Bowles Symposium, M-FI97-1.