Management Sciences and Quantitative Methods Commons^™

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 …

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.

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 …

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 …

Value Measurement For New Product Category: A Conjoint Approach To Eliciting Value Structure, Roland Helmut Heger

Dissertations and Theses

Ability to measure value from the customer's point of view is central to the determination of market offerings: Customers will only buy the equivalent of perceived value, and companies can only offer benefits that cost less to provide than customers are willing to pay. Conjoint analysis is the most popular individual-level value measurement method to determine relative impact of product or service attributes on preferences and other dependent variables. This research focuses on how value measurement can be made more accurate and more reliable by measuring the relative influence of selected methodological variations on performance in prediction and on stability …

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 …

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.

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.

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.

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.

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.

Development Of A Metric Evaluation Instrument For Use In Measuring Organizational Effectiveness, John J. Dunks

Theses and Dissertations

Previous research has resulted in the development of instruments to measure organizational effectiveness. This thesis attempts to develop an instrument to measure how effective the organization's metrics are in relation to their organization effectiveness model, specifically, to the Competing Values Model of organization effectiveness developed by Quinn and Rohrbaugh. This should aid managers in determining whether or not they are measuring what they think they are measuring and how effective they are at measuring organizational effectiveness. The instrument developed can help determine the specific aspects of organizational effectiveness which metrics are measuring according to the Competing Values Model.

An Examination Of Business Process Reengineering Techniques And Their Contribution To Process Improvement, Thomas M. Mcdonnell

Theses and Dissertations

The Department of Defense's Corporate Information Management Initiative is part of an effort to achieve savings through specified programs focused on business process improvement A major process improvement methodology being used by the DoD is Business Process Reengineering (BPR). BPR offers the possibility for a fundamental rethinking and radical redesigning of DoD business processes, but there has been little systematic study of the effectiveness of the various techniques used in BPR projects. This study evaluates whether organizations conducting BPR efforts using five specific techniques (strategic planning, activity modeling, activity based costing, benchmarking, and simulation) achieve improvement in critical process performance …

Communication Flows In Distribution Channels: Impact On Assessments Of Communication Quality And Satisfaction, Jakki J. Mohr, Ravipreet S. Sohi

Department of Marketing: Faculty Publications

We develop and test a model of the relationships between: (1) norms of information sharing and communication flows of frequency, bidirectionality, and formality, (2) these communication flows and dealers’ assessments of the quality of communication and satisfaction with communication; and (3) formality of communication flows and dealers’ distortion and withholding of information. Based on data collected with a survey mailed to a national sample of computer dealers, our findings offer insight on channels communication to both researchers and practitioners. By examining the impact of communication flows on summary judgments of communication, managers can focus their efforts on vital communication flows …

Fisheries Research Report No 102 - A Review Of International Aquaculture Development And Selected Species In Environments Relevant To Western Australia, C. Lawrence

Fisheries Research Reports

This paper discusses aspects of aquaculture development in countries visited during an international study tour, with particular reference to implications for the developing aquaculture industry in Western Australia.

The reasons for aquaculture development, including protein production, employment, fisheries enhancement, tradition/religion, conservation and revenue are discussed from an international perspective, along with case histories and models of development undertaken outside Australia.

The potential benefits of developing an aquaculture industry within Australia are outlined and the relative costs and benefits of developing aquaculture of native aquatic species or imported species are discussed, including relevant examples of each.

A number of species of …

A Bayesian Technique For Refining The Uncertainty In Global Energy Model Forecasts, F. Ted Tschang, Hadi Dowlatabadi

Research Collection Lee Kong Chian School Of Business

Global energy models have a large degree of uncertainty associated with them. This consists of uncertainty in the model structure as well as uncertainty in the exogenous input parameters. This paper combines Monte Carlo methods with Bayesian updating techniques to provide a method for refining the uncertainty in the Edmonds-Reilly global energy model. The Bayesian updating technique uses likelihood-based windows constructed from actual observations of the output variables to filter out the model simulations that do not conform with the observed output. The windows are based on outputs of energy consumption and carbon emissions. Two alternative model structures are examined: …

An Immigrant's Gift: The Life Of Quality Pioneer, Joseph M. Juran - Transcript, Dr. Joseph M. Juran Collection

'An Immigrant's Gift': Interviews about the Life and Impact of Dr. Joseph M. Juran

In the latter decades of the 20th Century, there occurred a silent revolution that swept across nations and effected all the peoples of the earth. This quality revolution began in the mind of a humble immigrant to the United States, Joseph M. Juran. His contributions to industry are heralded around the world, and yet his life story has remained unknown until now. An Immigrant's Gift is a compelling and inspirational portrait of a brilliant mind and a great humanist, who, in an unassuming way, had a profound impact on the international business community and our everyday lives.

Bulletin Ma 1/95 - Cauliflower Growing In The South West, M. Shellabear, D. Phillips

Horticulture published reports

Manjimup Regional Office

Agdex No 254/11

Cauliflower (Brassica oleracae, variety botrytis) is closely related to cabbage, broccoli, brussel sprouts and kohl rabi. This group of plants may be referred to as crucifers, brassicas or cole crops.

The cauliflower probably developed in Italy from broccoli. The head is the short. thickened part of the immature flowers, before these have differentiated into flower-buds. Cauliflowers are the third most valuable vegetable crop grown in WA.

Discussion Of Leonard T. Guarini And Edward P. Lotkowski's "Model Year Rating For Automobile Liability And Injury Coverages", Cheng-Sheng Peter Wu

Journal of Actuarial Practice (1993–2006)

No abstract provided.

Discussion Of Ronald T. Kozlowski And Stuart B. Mathewson's "Measuring And Managing Catastrophe Risk", Rade T. Musulin

Journal of Actuarial Practice (1993–2006)

Mr. Kozlowski and Mr. Mathewson's paper provides a good introduction to the development and use of models in the property insurance industry. It will be a valuable addition to the regrettably sparse actuarialliterature in this area. This discussion will offer several comments on the ideas raised in the paper, focusing on how models can be used to enhance an actuary's work. The use of models has sparked major controversies between regulators and insurers in several jurisdictions, notably Florida. Controversy is not limited to the regulatory arena, however. Because models are being used by reinsurers to rate contracts and by A.M. …

Journal Of Actuarial Practice, Volume 3, No.2, 1995, Colin Ramsay , Editor

Journal of Actuarial Practice (1993–2006)

ARTICLES

Measuring and Managing Catastrophe Risk • Ronald T. Kozlowski and Stuart B. Mathewson

Discussion • Rade T. Musulin & Authors' Reply

Sensitivity Testing of Property/Casualty Cash Flows • Ralph S. Blanchard, III and Eduardo P. Marchen

A Pension Plan Incorporating Both Defined Benefit and Defined Contribution Principles • M. Zaki Khorasanee

Expected Loss Development in Workers' Compensation Pricing: A Shift in Credibility • Christopher J. Poteet

Editor - Colin Ramsay, University of Nebraska. Associate Editors: Robert Brown, University of Waterloo ○ Cecil Bykerk, Mutual of Omaha ○ Ruy Cardoso, Actuarial Frameworks ○ Samuel Cox, Georgia State University ○ David …

Discussion Of Leonard T. Guarini And Edward P. Lotkowski's "Model Year Rating For Automobile Liability And Injury Coverages", Mohammed Q. Ashab

Journal of Actuarial Practice (1993–2006)

No abstract provided.

Sensitivity Testing Of Prdperty/Casualty Cash Flows, Ralph S. Blanchard Iii, Eduardo P. Marchena

Journal of Actuarial Practice (1993–2006)

The paper outlines an approach that has evolved at Aetna through ten years of property/casualty insurance cash flow testing. Methodologies and approaches to setting parameters reflecting both default and call/prepayment risk are discussed for major invested asset categories. Modeling runoff cash flows for a base scenario (and, for some of these assets, shocked scenarios) also is examined for major non-invested asset categories. Loss reserve cash flow modeling is not addressed, except for a brief description of one approach to shocking projected flows. Finally, various alternatives are given for presenting cash flow testing results to management and non-actuarial audiences.

Surveillance Of Life Insurer Solvency: A Comparison Of Stock And The Multiple Scenario Cash Flow Financial Stress Tests, Ronald W. Spahr, Paul L. Gronewoller

Journal of Actuarial Practice (1993–2006)

The solvency of life insurance companies may be threatened by interest rate risk when the maturities of assets and liabilities are mismatched. The National Association of Insurance Commissioners' (NAIC) multiple scenario cashflow test (MSCFT) and the Office of Thrift Supervision (OTS) net portfolio value model (stock) approaches to financial stress tests are illustrated and analyzed with respect to their capacity to estimate the impact of potential changes in interest rates on life insurance company capital and surplus. Each approach is illustrated with the assets and liabilities of three hypothetical life insurance company capital levels (high, average, and below average) and …

Discussion Of Brian Jones' "Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans", Richard Daskais

Journal of Actuarial Practice (1993–2006)

No abstract provided.

Life Insurer Risk-Based Capital: An Option Pricing Approach, Samuel H. Cox, Arthur M.B. Hogan

Journal of Actuarial Practice (1993–2006)

This paper uses an option pricing framework to estimate life insurer risk-based capital. Stock market data and statutory asset and liability data are used to calculate the implied level of statutory risk-based capital for each of 18 insurers. We calculate the level of risk-based capital required to avoid subsidy from the guaranty fund. Our results suggest that less capital is required than that required under the New York actuarial risk-based capital formula. Firm rankings, however, are similar under both methods, although the methods are not directly comparable. We also determine the level of capital required if the subsidy provided to …

Actuarial Conservatism: Not In Public Sector Defined Benefit Pension Plans, Brian A. Jones

Journal of Actuarial Practice (1993–2006)

Most actuaries tend to be conservative, and most, including this writer, probably would be happy to be so categorized. But actuarial conservatism may not be the best rule in defined benefit public sector pension plans. This paper argues that it is not appropriate for actuaries to employ conservatism assumptions in such public sector plans.