Description: In this note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal generators and Laplace transforms. Using these same tools, it is shown that the probability of ruin has an algebraic decay rate if the insurance company invests its capital in a risky asset with a price which follows a geometric Brownian motion. The latter result is shown to be valid not only for exponentially distributed claim amounts, as in Frolova et al. 2002, but, more generally, for any claim amount distribution that has a moment generating function defined in a neighborhood of the origin.

Description: Review of The Improbability Principle: Why Coincidences, Miracles, and Rare Events Happen Every Day, by prominent statistician David J. Hand.

Description: A set of improvement factors that vary by gender and attained age to be used in conjunction with the 2014 Valuation Basic table.

Description: People naturally observe risk in the form of the range of experienced gains and losses which is usually represented in statistical terms by standard deviation. In most cases, there are not enough observed values to reliably discern the true amount of losses that are possible in extreme situations. Statistical techniques that have long been applied to insurance company risks are being used to extrapolate from observed risk to extreme tails of the distribution of gains and losses. These processes are essentially an extrapolation from the “known” risk of volatility near the mean to “unknown” risk of extreme losses. “Fat tails” is a term often applied to risks where the likely losses in rare situations significantly exceeds the predictions of a Gaussian (“thin tailed”) distribution. This paper will look at the relationship between the observed risk and the extreme risk in statistical insurance r isk models and discuss how we might create a discussion among model users about the appropriateness of that relationship for specific types of risks.

Description: This paper, originally published in March 1983 as a study note for exam part 10E, and in 1984 in the Transactions of Society of Actuaries Vol. 34, is designed to be a single reference source for actuaries who want to increase their understanding of a GIC. This educational paper provides knowledge on all aspects of GICs, including their history, and has received significant recognition, including the 1984-85 Annual Prize, and the L. Ronald Hill Memorial Prize in 1985.

Description: The abstract for the paper Improving Pension Funding: What's in It for me?

Description: A Towers Perrin proposal for pension funding reform.

Description: Investment Fallacies: Simulation of Long-Term Stock Returns: Fat-Tails and Mean Reversion

Description: Statistics about entertainment industry pension plans.

Description: Statistics about funded status of the National Basketball Association players pension plan.