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: 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.

Description: This paper suggests that individual decisions to retire are based on personal resource allocations, institutional influences, and social standards. The paper then attempts to create a decision-making framework in which to accommodate this range of influences. From Retirement Needs Framework, M-RS00-1.

Description: This paper considers the question of how the adjustment mechanisms described for the Swedish and German social security systems might be incorporated into private sector DB plans of the following types: multi-employer and single employer.

Description: Stuart Klugman provides a preliminary education update as it pertains to Exams P/1, FM/2, and MLC.

Description: This paper addresses issues and techniques for advanced age mortality study using data mining techniques, a new technology on the horizon with great actuarial potential. Seven factors were considered in this study, the influences of these factors on advanced-age mortality distribution were identified and models were derived for projecting advanced age mortality.

Description: Using Taiwan Complete Life Tables as the data source, a model is developed using reliability theory and the results of the proposed model are compared to Gompertz’s law.

Description: Insurance company issues that do not necessarily arise in banks are identified and utilized to develop insurer ERM modeling approaches that start from the work done for banks but respond to insurance-specific matters. From 2006 Enterprise Risk Management Symposium, M-AS06-1.