Description: This paper develops a new technique, which allows the analyst to maximally use all thte historical interest rate information available in forecasting interest rates. Interest rates' daily change do not follow a stationary random process over long time periods. Instead, the process is comprised of stationary periods, each a few years long, with relatively short transitional periods between different stationary periods.

Description: This paper studies the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, the authors obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with some additional mild assumptions on the distributions of the claim sizes and inter-arrival times, the authors further prove that this formula holds uniformly for all time horizons.

Description: This is the abstract for the presentation on optimal allocation between fixed and variable subaccounts in variable annuities.

Description: We derive formulas for calculating the premiums that should be charged on policies in a discounted cash flow model with tax reserves and required assets that are determined by regulation. We also determine the unique division of required assets into “reserves” and “capital” that allows the product profitability to be correctly evaluated. That is, the profit after capital charges is zero if the product achieves the return assumed in pricing. We illustrate the concepts using whole life insurance and guaranteed minimum death benefit examples.

Description: Nonparametric regression tries to ?nd a relationship between the predictor and the response without assuming shape of estimated regression function. Its theory and methods are well developed for the case of completely observed vectors of predictors and responses. In many applications, including actuarial, some components of the observed vectors may be missed. Ignoring missing data and using known methods of nonparametric regression may yield inconsistent estimation. Theoretical results on optimal nonparametric regression with missing data are presented, and an applied actuarial example is discussed.

Description: The Individual Life Experience Committee has completed their latest report on intercompany mortality experience by amount of insurance under standard individually underwritten issues. This study includes policy years 2004-05. This is the Excel preferred data pivot tables that provide more detail for policy years 2004-05. Please see the SOA website experience reports for the full report and other related tables.

Description: Answers common questions surrounding the individual life study and how to participate

Description: ASOP No. 6 Exposure Draft Provisions Relating to Community- Rated HMO Contracts. Discusses determination of initial per capita health care rates, effect on valuation results, accounting standards, potential conflicts with FAS 106 and source of problems. Issue No. 42.

Description: Full version of Health Section News, Issue No. 54, January 2007.

Description: Overview of a benefit rush and its effects on companies.