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Articles 1  8 of 8
FullText Articles in Insurance
Journal Of Actuarial Practice, Volume 6, Nos. 1 And 2, 1998, Colin Ramsay , Editor
Journal Of Actuarial Practice, Volume 6, Nos. 1 And 2, 1998, Colin Ramsay , Editor
Journal of Actuarial Practice 19932006
ARTICLES
Principles and Application of Credibility • Vincent Goulet
Actuarial Techniques in Risk Pricing and Cash Flow Analysis for U.K. Bank Loans • Philip Booth and Duncan E.P. Walsh
Stability of Representative Crediting Rate Scenarios Under Monte Carlo Simulations • Sarah L.M. Christiansen and Kelley Buchacker
Outlier Analysis of Annual Retail Price Inflation: A CrossCountry Study • WaiSum Cha
An Analysis of Australian Pensioner Mortality by PreRetirement Income • David Knox and Andrew Tomlin
Using Parametric Statistical Models to Estimate Mortality Structure: The Case of Taiwan • ShihChieh Chang
A Frailty Model for Projection of Human Mortality Improvements • Shaun S. Wang and Robert ...
Actuarial Techniques In Risk Pricing And Cash Flow Analysis For U.K. Bank Loans, Philip Booth, Duncan E.P. Walsh
Actuarial Techniques In Risk Pricing And Cash Flow Analysis For U.K. Bank Loans, Philip Booth, Duncan E.P. Walsh
Journal of Actuarial Practice 19932006
A cash flow model is developed to set the price for a loan to a borrower with known risks. Similarities are noted between this model and those used for profit testing in life insurance. We emphasize aspects that reasonably can be treated in several ways and also indicate where the cash flow model differs from the pricing methods usually employed in bank lending. The sensitivity of interest rates to various parameters of the model such as the length of loan and the expected default rate is examined. Also, we examine how features of loans, including cash back and early repayments ...
Outlier Analysis Of Annual Retail Price Inflation: A CrossCountry Study, WaiSum Chan
Outlier Analysis Of Annual Retail Price Inflation: A CrossCountry Study, WaiSum Chan
Journal of Actuarial Practice 19932006
Wilkie's stochastic investment model and its variants have been increasingly applied by actuaries around the world to actuarial modeling and simulation. This paper performs time series outlier analysis on retail price inflation, which is the driving force of Wilkie's composite model. The data come from four developed countries: the United Kingdom, the United States, Canada, and Australia. The fit of the model is significantly improved after the adjustment of outliers. The analysis also identifies exogenous events that have intervened in the inflation dynamics. An example is given to demonstrate the importance of outlier analysis on stochastic simulation. Finally ...
Using Parametric Statistical Models To Estimate Mortality Structure: The Case Of Taiwan, ShihChieh Chang
Using Parametric Statistical Models To Estimate Mortality Structure: The Case Of Taiwan, ShihChieh Chang
Journal of Actuarial Practice 19932006
A mixture parametric model is used to analyze the changing pattern of Taiwanese mortality from 1926 to 1991. Three different age ranges are modeled as mixtures of extreme value distributions, namely the Weibull, inverse Weibull, and Gompertz distributions. The results show a significant improvement of mortality over the years.
Stability Of Representative Crediting Rate Scenarios Under Monte Carlo Simulations, Sarah L.M. Christiansen, Kelley Buchacker
Stability Of Representative Crediting Rate Scenarios Under Monte Carlo Simulations, Sarah L.M. Christiansen, Kelley Buchacker
Journal of Actuarial Practice 19932006
We develop a methodology to ensure that a Monte Carlo simulation of the distribution of the primary rates, used for determining an interest crediting rate, is stable regardless of the initial random number seed. We consider the implications of the use of antithetic random normal deviates upon the scenario process and modifications to the candidate list and the choice function within the representative process. It is shown that the use of antithetic random deviates alone does not have a statistically significant effect on our results. The other two modifications (candidate selection algorithm and choice function) are statistically significant. Furthermore, the ...
Principles And Application Of Credibility Theory, Vincent Goulet
Principles And Application Of Credibility Theory, Vincent Goulet
Journal of Actuarial Practice 19932006
We review the history of the practical development of credibility theory. Emphasis is placed on the two main approaches to credibility theory: limited fluctuation credibility and greatest accuracy credibility. We explain when each approach should and should not be used. The presentation of greatest accuracy credibility theory starts with a review of (exact) Bayesian credibility and then moves to the BuhlmannStraub model. Estimators of the structure parameters are discussed. Examples are presented to illustrate the concepts. Finally, the hierarchical credibility and crossed classification credibility models are presented.
An Analysis Of Australian Pensioner Mortality By PreRetirement Income, David Knox, Andrew Tomlin
An Analysis Of Australian Pensioner Mortality By PreRetirement Income, David Knox, Andrew Tomlin
Journal of Actuarial Practice 19932006
The existence of a relationship between an individual's socioeconomic status and his or her mortality is often accepted, but it is difficult to measure this relationship objectively. This study analyses the relationship between an individual's final salary immediately prior to retirement and mortality rates during retirement. The data used are taken from a large Australian public sector pension plan. A strong inverse relationship is found, which decreases with age. Some of the implications of these results for individual annuity markets and public pension policy are discussed.
A Frailty Model For Projection Of Human Mortality Improvements, Shaun S. Wang, Robert L. Brown
A Frailty Model For Projection Of Human Mortality Improvements, Shaun S. Wang, Robert L. Brown
Journal of Actuarial Practice 19932006
Based on the everyday observations that individual human beings vary significantly in their capacity to combat death, we adopt a socalled frailty model of human mortality. This frailty model assumes that each individual in a given population is endowed with his or her own frailty index, r, which remains constant for life. In addition, we assume that the individual's force of mortality (hazard rate function) at age x, Ux(r), satisfies Ux(r) = rUx where Ux is the population's base force of mortality at age x. Given the probability distribution of the frailty index among the newborns in ...