Description: “What is the likelihood of market crashes? This article seeks to provide an answer to this and related questions by focusing mainly on the crash of October 1987. Specifically, we shall seek answers to three questions: 1. Given the history of market returns, was the crash of ‘87 unusual? 2. How do conditional variance models such as GARCH behave around periods of extreme moves in the market? 3. What is the impact of the crash on backtesting and performance evaluation?” Editor’s Note: The following article originally appeared in the Winter 1998 issue of The BARRA Newsletter, Horizon, and is reprinted here with permission.

Description: Article presents arguements for actuarial involvement to facilitate use of pharmaceutical research within managed care organizations MCO. Issue No. 44.

Description: An economics professor and a health care consumer advocate weigh in on the Patient Protection and Affordable Care Act, including implementation issues, directions for the future and what role actuaries shoudl take.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society and the Society of Actuaries, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research. From Actuarial Research Clearing House 2004, Vol. 1.

Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.

Description: Article from The Actuary, April 1985, Volume 20, No. 4 that discusses from usury to interest. Usury definitions are 1 The lending out of money with an interest charge for its use: the taking or practice of taking interest 2 An unconscionable or exorbitant rate or amount of interest, specifically interest in excess of a legal rate charged to a borrower for the use of money. Between definitions 1 and 2 are 2000 years of Western history, beginning with Biblical strictures against charging any interest and reaching today's sophisticated credit economy, in which interest, per se, is accepted and only excessive interest is illegal.

Description: How predictive analytics techniques can be used in the health practice.

Description: Evaluation of Taiwan's National Health insurance program and a discussion of a managed competition model to reform it.

Description: A discussion of the causes of Jamaica’s Life Insurance and Financial Sector Crisis in the late 1990s and its impacts on the life insurance industry

Description: In the context of insurance economics, the PH-transform is justified through some basic postulates on market premiums. In this paper the PH-transform is applied to the present value random variable in life insurance and annuities. It provides an alternative to the commonly used equivalence principle in life insurance and annuities premium calculation. This research project is sponsored by a joint AERF/CKER Grant of the Society of Actuaries.