Description: There is a large literature on claims reserving. However most of the stochastic models are too complex and end up being a black box for practitioners. They also tend to be over parameterized, which has the effect that they tend to model historical observations very accurately, but they do not necessarily perform well when predicting future claims. This paper applies a Bayesian method that was developed for forecasting very short series with stable [seasonal] patterns. It is constructed on basic Bayesian concepts and leads to very simple prediction formulas. It is then compared with several other methods as to their predictive effectiveness. In so doing, it departs from the traditional ‘triangle-shaped’ framework for development data.

Description: This is the abstract of a paper in which the authors develop sixteen separate mortality models based on the current SOA mortality data being used for the preferred life study. The models are constructed using projection pursuit regression. The sixteen models arise from all combinations of sex, smoker status, select and ultimate status, and per life vs. per dollar mortality rates. In general the models confirm the following four facts: 1 Mortality rates increase as attained age increases. 2 Mortality rates increase as duration increases. 3 Mortality rates decrease as Face Amount Bands increase. 4. Mortality rates decrease if preferred underwriting is present.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: From June 11 through August 3, 2007, the University of Illinois at Urbana-Champaign [UIUC] hosted a National Science Foundation-sponsored Research Experience for Undergraduates on the topic 'Stochastic Modeling in Actuarial Science and Financial Mathematics.' This Experience, provided to 6 undergraduate mathematics students from universities across the United States, was directed by Professor Rick Gorvett, the Director of the UIUC Actuarial Science Program. This report summarizes the program and describes the research projects undertaken.

Description: This presentation considers the pricing of European derivatives in a Black-Scholes model with stochastic volatility. The presentation shows how Parseval’s theorem may be used to express those prices as Fourier integrals. This is a significant improvement over Monte Carlo simulation in many cases. The main ingredient in this presentation's method is the Laplace transform of the ordinary [constant volatility] price of a put or call in the Black-Scholes model, where the transform is taken with respect to maturity [T]. The presentation derives these formulas and then applies them to the case where volatility is modelled as a Markov chain in continuous time, the so-called 'Markov regime switching model'. This model has been used previously in stochastic volatility modelling, but mostly with only N=2 states. The presentation shows how to use N=3 states without difficulty, and how larger number of states can be handled. Numerical illustrations are given, including the volatility smile in a three-state model.

Description: This abstract describes a paper that studies the optimal reinsurance problem when risk is measured by a general risk measure. It is demonstrated that there is a “stable optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk measures, thus providing a very robust reinsurance plan.

Description: This abstract describes a paper that presents an actuarial model which determines benefits to be paid in phased retirement and in full retirement. From Actuarial Research Clearing House, 2011.

Description: 2011 SOA IFRS Seminar, Hong Kong. This is an Excel spreadsheet associated with Session 15 - 'Cash Flows Workshop' at the 2011 SOA IFRS Seminar held in Hong Kong. This spreadsheet facilitated the sessions objective of calculating the beginning liability values for the Statement of Financial Position.

Description: Excel spreadsheet example of GAAP calculations for a Universal life plan showing reserves and DAC under FAS97 . Also shown is an unlocking example from this session of the 2010 U.S GAAP & IFRS conference in New York.

Description: The Society of Actuaries' Pension Section and Health Section Research teams commissioned Professor Thomas E. Getzen of Temple University to construct a resource model for the projection of long term healthcare cost trends. The motivation for creation of the model was driven by its potential usage as a resource for the estimation of reportable liabilities for retiree healthcare benefits as specified under FAS 106 and GASB 45 accounting statements. This model, programmed in Microsoft Excel [xlsx format], projects per-person expenditures and growth rates through 2099 using a set of equations and assumptions developed by Professor Getzen with assistance from the Society of Actuaries Project Oversight Group appointed to oversee the effort. The model includes baseline assumptions as well as flexibility for user–inputted alternative assumptions.