Corporate Finance Commons^™

No. 128 1996 November

International Journal for Business Education

SIEC Historical Documents

Exhibit - Wku Compensation Study Report, W.F. Corroon Consultants

Board of Regents Documents

Study to address issues of internal fairness and market competitiveness of salaries for all non-faculty staff below the director level performed by W.F. Corroon Consultants.

No. 127 1996 April

International Journal for Business Education

SIEC Historical Documents

The Valuation Effects Of Corporate Investment Decisions: Evidence From Domestic And Foreign Plant Announcements, Bum Suk Kim

Theses and Dissertations in Business Administration

This study examines the effects of corporate investment decisions--announcements of plants--on the value of the firm, using event-study methodology. This paper consists of two parts. Essay I discusses the valuation effects of domestic investments, while Essay II analyses the valuation effects of foreign investments undertaken by U.S. firms and compares the valuation effects between the two investments. Specifically, this study examines the validity of the overinvestment hypothesis and whether focus-increasing investments enhance the value of the firm.

First, the evidence shows that the valuation effects of the investment decision depend on the firm's investment opportunities, proxied by Tobin's q. That …

Share Buyback Aspects And Implications, Dilip D Kare, R Vaidyanathan

IIMB Management Review

Allowing Indian firms to buy back their shares has been a subject of debate for some time. It is currently under consideration by the Securities and Exchange Board of India (SEBI). India’s second largest corporate, Reliance Industries (Rs 94 billion by market & capitalisation), set a trend recently by getting its shareholders’ approval for buy-back, subject to other statutory approvals.

Asset Allocation In Investing To Meet Liabilities, Anthony Dardis, Vinh Loi Huynh

Journal of Actuarial Practice (1993–2006)

We present some rudimentary concepts on asset/liability management and describe an approach to asset allocation modeling for institutions that invest to meet liabilities. The traditional risk/reward framework of financial economics is used as a starting pOint. The definitions of risk and reward are then refined with regard to the institution under consideration. A simple model of a U.S. life office is examined. We assume that the only investments available are domestic stocks and long-dated government bonds. Stochastic simulation is used to create a large number of future investment scenarios using historical total return data for these asset classes. The ability …

Constrained Forecasting Of The Number Of Ibnr Claims, Louis G. Doray

Journal of Actuarial Practice (1993–2006)

We consider the problem of forecasting the number of claims incurred. After subtracting the number of claims reported to date, the number of claims incurred but not reported (IBNR) can be forecasted. The basic model assumes that the number of claims per accident period follows an autoregressive moving average time series process. Instead of assuming the data are available in the usual claim run-off triangle format, we assume that the only data available are the number of claims reported at the valuation date for each accident interval of an observation period. Box-Jenkins methods are used to forecast the ultimate number …

What We Say In The Naic Annual Statement Blank Actuarial Opinion, Kenneth W. Faig Jr.

Journal of Actuarial Practice (1993–2006)

The new language adopted for the actuarial opinion in the National Association of Insurance Commissioners' model actuarial opinion and memorandum regulation has been weakened at the same time the responsibilities of the opining actuary have been increased. The restoration of stronger language to the actuarial opinion would enhance the professional image of the actuary. If the legal environment for professional liability inhibits such a change, the opinion should be changed to describe more precisely the work performed and the conclusion reached by the actuary.

Concentration In American Property-Casualty Companies, Edward Nissan

Journal of Actuarial Practice (1993–2006)

A Theil's entropy index utilizing premiums written as units is employed to measure trends in concentration of the largest 200 property-casualty companies in the United States between 1985 and 1993 based on Best's Insurance Report data. Each of the indexes confirms that concentration trends experienced no increase for the whole period for all 200 firms, the top 20, and subsets of lower ranked companies. Significant differences are observed, however, between groups of companies for the same period.

Disclosure And Confidentiality Requirements Of Corporate Pension Plan Actuaries, Theodore Konshak

Journal of Actuarial Practice (1993–2006)

Corporate pension plan actuaries are subject to the standards of the Joint Board for the Enrollment of Actuaries. The Joint Board is empowered to establish such standards under the provisions of the Employee Retirement Income Security Act of 1974, a federal law. In consideration of these statutory standards, this article will discuss whether standards published by professional actuarial organizations have any applicability. The contrast between the disclosure requirements of federal law and the confidentiality standards of the Society of Actuaries will be highlighted.

Methodologies For Determining Reserve Liabilities In The Workers Compensation High Deductible Program, Jerome J. Siewert

Journal of Actuarial Practice (1993–2006)

In this paper I describe several approaches for estimating liabilities under a high deductible program, including a proposal for a more sophisticated approach relying upon a loss distribution model. The discussion addresses several related issues dealing with deductible size and mix, absence of longterm histories, and the determination of consistent loss development factors among deductible limits. In addition, I propose several approaches for estimating aggregate loss limit charges, if any, and the asset value for associated servicing revenue.

Discussion Of Theodore Konshak's "Disclosure And Confidentiality Requirements Of Corporate Pension Plan Actuaries", Richard Daskais, Brian A. Jones

Journal of Actuarial Practice (1993–2006)

No abstract provided.

Annuity Choices For Pensioners, Zaki M. Khorasanee

Journal of Actuarial Practice (1993–2006)

We consider two ways for a retiree to obtain a pension from a retirement fund: through the purchase of a whole life annuity providing a level monetary income; and through the withdrawal of income from a fund invested in equities. Deterministic and stochastic models are used to assess the risks and benefits associated with each approach. In each case the projected cash flows are compared with those from a whole life annuity providing an income linked to price inflation. We conclude that, although each of the two options conSidered involves significant risks, each method may be attractive to certain groups …

A Possibilistic Linear Programming Method For Asset Allocation, Lijia Guo, Zhen Huang

Journal of Actuarial Practice (1993–2006)

The mean-variance method has been one of the popular methods used by most financial institutions in making the decision of asset allocation since the 1950s. This paper presents an alternative method for asset allocation. Instead of minimizing risk for a given expected return or maximizing expected return for a fixed level of risk, our approach considers simultaneously maximizing the rate of return of portfolio, minimizing the risk of obtaining lower return, and maximizing the possibility of reaching higher return. By using a triangular possibilistic distribution to describe the uncertainty of the return, we introduce a possibilistic linear programming model which …

An Approach To Estimating Market Value And Duration Of Interest-Sensitive Whole Life Contracts, Thomas J. Merfeld

Journal of Actuarial Practice (1993–2006)

A fixed premium interest·sensitive whole life contract is analyzed in order to estimate its market value. In addition, using various definitions of duration, we determine the duration of the contract for each definition. The results of this analysis have implications for market value accounting of life insurance liabilities and for life company portfolio management.

Participating Gics: Performance Attribution Analysis, Alec Stais, John P. Toohey Iii

Journal of Actuarial Practice (1993–2006)

The increasing popularity of participating GICs has created a need for an objective understanding of their performance. The fixed income attribution techniques are not adequate for measuring participating GIC performance because they typically restrict performance measurement to concepts such as duration management, sector rotation, and issue selection. We develop an attribution technique based on four components or effects that are helpful in explaining the changes in credited rates. They are the constant duration effect, the reinvestment effect, the cash flow effect, and the investment effect. The underlying mathematical approach to calculating these effects is presented along with examples.

Bias Of Excluding High And Low Data For Long-Tailed Distributions, Cheng-Sheng Peter Wu

Journal of Actuarial Practice (1993–2006)

Property and casualty actuaries frequently employ a technique of averaging (called high-low averages) that excludes the same amount of data at both ends. For example, (0 in selecting loss development factors, the middle three of the latest five years or the middle eight of latest 12 quarters sometimes are used, or (ii) in calculating average expense ratios, the largest expense ratios and the smallest expense ratios may be removed from the sample. Although highlow averages can reduce the impact of influential data on analyzed results, the averages will result in downward bias when they are applied to pricing or reserving …

Third Party Administrator (Tpa) Service Pricing And Incentive Contracts, Hou-Wen Jeng

Journal of Actuarial Practice (1993–2006)

This paper addresses a few of the most important pricing issues faced by a third party administrator (TPA) whose main responsibility is claims handling for self·insured employers and self·insured groups. Such pricing issues include the development of service fees using claim closure information, the selection of service durations, and the design of incentive (either activity-based or financially-based) service contracts. Formulas for pricing new and open claims are provided.

Nonmedical Limits In Individual Life Insurance, James B. Ross, Shalini E. Perumpral

Journal of Actuarial Practice (1993–2006)

This paper shows data that illustrate the substantial variation among nonmedical schedules and the dramatic increase in their amount limits from 1972 through 1992. Coefficients of variation are analyzed for several data subsets. We find that the variation of schedules in the sample of all firms has increased throughout the 1972-1992 period for issue ages up to 30, but has declined for issue ages beyond 30 during the 1982-1992 period. For the non-New York and stock companies our statistical tests indicate an increase in the variability of schedules over the full period 1972 to 1992.

Nonmedical Limits In Individual Life Insurance, James B. Ross, Shalini E. Perumpral

Journal of Actuarial Practice (1993–2006)

This paper shows data that illustrate the substantial variation among nonmedical schedules and the dramatic increase in their amount limits from 1972 through 1992. Coefficients of variation are analyzed for several data subsets. We find that the variation of schedules in the sample of all firms has increased throughout the 1972-1992 period for issue ages up to 30, but has declined for issue ages beyond 30 during the 1982-1992 period. For the non-New York and stock companies our statistical tests indicate an increase in the variability of schedules over the full period 1972 to 1992.

Pension Funding By Normal Costs Or Amortization Of Unfunded Liabilities, Keith P. Sharp

Journal of Actuarial Practice (1993–2006)

We discuss the extent of the actuary's freedom in choosing the funding method for defined benefit pension plans. In particular, we look at funding through a combination of normal costs, amortization of an unfunded liabilities, and fund of assets. The IRS constraint on "reasonable funding methods" is considered, with particular mention of the aggregate entry age normal method. In addition, an algebraic development is performed of year-to-year changes in the status of a plan's funding.

A Proposal For Improving The System Of Financing Health Care In Singapore, Robert Keng Heong Lian, Loi Soh Loi

Journal of Actuarial Practice (1993–2006)

Like many other countries, including the United States, Singapore faces the dual problems of rising health care costs and an aging population. To cope with these problems, the Singapore government introduced the Medishield scheme in 1989 that provides low cost catastrophic medical insurance coverage. The scheme suffers from a serious deficiency, however: coverage ceases at age 70. This deficiency is exacerbated by Medishield's premium payment structure which is akin to the premium structure of a one year renewable term policy so no reserves are developed. As a result, coverage beyond age 70 requires exorbitant premiums that are beyond the reach …

Proprietary Norms In Corporate Law: An Essay On Reading Gambotto In The United States, Deborah A. Demott

Faculty Scholarship

No abstract provided.

Journal Of Actuarial Practice, Volume 4, No.1, 1996, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

An Approach to Estimating Market Value and Duration of Interest-Sensitive Whole Life Contracts • Thomas J. Merfeld

Participating GICs: Performance Attribution Analysis • Alec Stais and John P. Toohey III

Asset Allocation in Investing to Meet Liabilities • Anthony Dardis and Vinh Loi Huynh

A Possibilistic Linear Programming Method for Asset Allocation • Lijia Guo and Zhen Huang

Nonmedical Limits in Individual Life Insurance • James B. Ross and Shalini Perumpral

A Proposed New System of Financing Health Care in Singapore • Robert Keng Heong Lian and Loi Soh Loi

Concentration in American Property-Casualty Companies • Edward Nissan

Bias …

Journal Of Actuarial Practice, Volume 4, No. 2, 1996, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Methodologies for Determining Reserve Liabilities in the Workers Compensation High Deductible Program • Jerome J. Siewert

Third Party Administrator (TPA) Service Pricing and Incentive Contracts • Hou-Wen Jeng

Annuity Choices for Pensioners • M. Zaki Khoransee

Pension Funding by Normal Costs or Amortization of Unfunded Liabilities • Keith P. Sharp

What We Say in the NAIC Annual Statement Blank Actuarial Opinion • Kenneth W. Faig, Jr.

Constrained Forecasting of the Number of IBNR Claims • Louis G. Doray

Editor - Colin Ramsay, University of Nebraska. Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of …

Department Of Fisheries Annual Report 1995-1996, Department Of Fisheries, Western Australia

Department of Fisheries Annual Reports

In accordance with Section 62 of the Financial Administration and Audit Act 1985, I submit for your information and presentation to Parliament the Annual Report of the Fisheries Department for the financial year ending 30 June 1996.

The Annual Report has been prepared in accordance with the provisions of the Financial Administration and Audit Act 1985 and Section 263 of the Fish Resources Management Act 1994.