Description: In a stochastic world consideration of only a few deterministic scenarios can potentially be dangerous. The aim of the present research is to study the computation of the cost of mismatch using stochastic interest rate models instead of scenario testing. In this paper, two commonly used Stochastic interest rate models are considered: the one introduced by Vasicek 1977 and the one proposed by Cox, Ingersoll and Ross 1985.

Description: Formal report of the Accreditation Implementation Task Force to the Board of Directors at its June 2005 meeting. This document contains general objectives of the task force, membership and structure information, and the group's strategic plan for implementing an accreditation program for actuarial science academic programs.

Description: Presentation abstract. We introduce a new type of option, similar to Asian options but where the averaging period is random. The average begins when the underlying price hits a harrier for the first time in the case of a continuous average.

Description: Presentation from the 2006 41st Actuarial Research Conference focusing on the declining usage of expert opinions in the actuarial profession.