Description: Financial Reporting Section March, 2012, newsletter.

Description: Continues the look from previous articles at unlocking of traditional contract valuation assumptions, this time examining the effects of lapses.

Description: Adjusting the 1985 NAIC Cancer Claim Cost Tables, a collection of morbidity tables, for Inflation and benefit changes Issue No. 34.

Description: Combining an Actuarial and an Underwriting Approach, Issue No. 39.

Description: Estimating IBNR from Authorized Bed Days. Issue No. 40.

Description: Considerations in the applications of Predictive Modeling for health care management. Issue No. 47.

Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.

Description: The behavior of extreme paths in the usual stochastic interest rate models is not nearly so plausible as the behavior of their expected values and variances. This paper proposes a new class of models that deliver more plausible extreme paths while preserving the usual expected value and variance behavior. Along the way we derive the closed form solution for the traditional mean-reverting lognormal process, including the drift compensation.

Description: This paper will develop an aggregate claim reserve methodology for health claims. The theoretical nature of the unpaid claim process is outlined and discussed. This is then used to develop a paradigm shift, which views the claim reserve estimation as a projection of claims from one period to another, rather than as a matter of estimating residual unpaid claims from observed paid claims.

Description: Most reasonable risk mitigation strategies provide benefit in some circumstances, but come at a cost that adversely affects results in other scenarios. A research paper by the authors considers the view of multiple stakeholders to answer this question, resulting in a process they call Trifurcation.