Description: The purpose of this paper is to present a parsimonious parametric model that explains the pattern of mortality for select and ultimate mortality tables. Specifically, the author modeled the combined rates found in the 1965-70 ALB Basic Tables. From Actuarial Research Clearing House 1994, VOL. 1.

Description: This paper presents a new method for blending census and Medicare mortality rates for the U.S. Decennial Life Tables. From the Actuarial Research Clearing House 1992 Vol. 2 .

Description: This paper presents a general law of mortality that is equal to a mixture of Gompertz, Weibull, Inverse-Gompertz, and Inverse-Weibull survival functions.

Description: Develops a statistical procedure to fit bivariate distributions of claims in presence of covariates, which allows for a more accurate study of insureds' choice and size in the frequency and severity of the two types of claims.

Description: This paper presents a parsimonious 11-parameter model that explains the pattern of mortality for the female and male mortality rates of the 1975–80 Select and Ultimate Basic Tables. This parametric model is useful because it can predict the select mortality rates beyond the 15-year select period and because it can predict the select rates for issue ages greater than 70 years old. From the Transactions of Society of Actuaries 1994, Vol. 46.

Description: This paper investigates nonparametric estimators of the distribution function that are based on mixtures of gamma distributions when we have a random sample from a continuous distribution function. From Actuarial Research Clearing House 1993, VOL. 3.

Description: In 1993, the Chicago Board of Trade introduced a futures contract on a financial index that reflects the insurance claims emerging from catastrophes in a portfolio of policies. This article presents a valuation formula for the contract, under the assumption that catastrophes emerge as a Poisson process over time and that the claims from each catastrophe emerge as a Compound Poisson process. The formula is developed by taking conditional expectations with respect to a history of information that includes knowledge about the time of the catastrophes.

Description: This paper discusses a mixed lognormal estimator of a risk distribution. Using the observed claim frequencies of a portfolio, the author presents a continuous nonparametric estimator of the risk distribution that reproduces some of the empirical moments and converges uniformly. The estimator that is investigated is a mixture of log-normal distributions whose parameters are calculated by considering the determinants of certain moment matrices. From Actuarial Research Clearing House 1993, VOL. 1.

Description: This paper argues that the self-financing axiom with mild assumptions on the conditional expected returns yields a market with an eventual arbitrage. This is accomplished by minimizing the conditional variance of a trade when the conditional expectation is a fixed constant. Examples with common processes shows that most models yield an eventual arbitrage. As a final application, a cost model is applied to prices of stripped coupon and principal payments on U.S. government bonds, where rates of return are estimated and lower bounds on market costs given.

Description: The dependent relationship between two lives is readily analyzed within the context of probability theory. This paper presents useful relationships between certain actuarial and probability functions and then explores measures of dependence. From Transactions of Society of Actuaries 1986, Vol. 38.