Description: This paper derives exact expressions for the ultimate ruin probability and establishes the effect of correlation on ruin probability using the Wiener-Hopf factorization.

Description: In 2003, the Society of Actuaries' Board of Governors approved a redesign of the education and examination system. Since that time, considerable progress has been made with regard to implementation. This presentation from Session 84 of the SOA May 2004 Anaheim Spring Meeting gives the attendees a review of the proposal, progress made to date, and implications for actuarial education and training programs. From the Record of the Society of Actuaries, Vol. 30, No. 1.

Description: In this paper we propose a model that can be used to analyze correlated claims data. In the process we introduce a class of multivariate generalized Poisson distributions. Then we present posterior distributions of its parameters. These distributions are difficult to manipulate, so we employ Markov chain Monte Carlo methods to draw random numbers from posteriors and predictive distributions. We present a collection of EXCEL VBA functions and subroutines to perform the simulations.

Description: Applications of Lagrangian distributions to modelling claim frequency data in an insurance portfolio is a relatively new concept. The major difficulty is that the generating functions of these distributions cannot be expressed in terms of elementary functions. Also deriving moments and/or cumulants is somewhat tedious. This article illustrates how to use Maple effectively to overcome these difficulties.

Description: This abstract describes a paper that introduces an econometric (valuation) model which is less complex than the Wilkie model for valuing and managing financial risks associated with combined guaranteed minimum maturity benefit and guaranteed minimum death benefit (GMMB/GMDB) regarding segregated fund contracts in India.