7. table of contents of actuarial journals / tables … · the seven pillars of risk management...

7. Table of Contents of Actuarial Journals / Tables des matières de revues actuarielles

7. TABLE OF CONTENTS OF ACTUARIAL JOURNALS / TABLES DES MATIÈRES DES REVUES ACTUARIELLES

UNITED STATES - SOCIETY OF ACTUARIES

North American Actuarial Journal Volume 7, Number 2, April 2003 Table of Contents Feature Articles Designing a World-Class Healthcare System 1 Howard J. Bolnick Factors Affecting Retirement Mortality 24 Robert L. Brown and Joanne McDaid Economic Capital Allocation Derived from Risk Measures 44 Jan Dhaene, Marc J. Goovaerts, and Rob Kaas Pricing Perpetual Fund Protection with Withdrawal Option 60 Hans U. Gerber and Elias S.W. Shiu Adult Polycystic Kidney Disease and Critical Illness Insurance 93 Cristina Gutierrez and Angus S. Macdonald Contaminated Exponential Dispersion Loss Models 116 Zinoviy M. Landsman and Udi E. Makov Risk, Entropy, and the Transformation of Distributions 128 Donald L. McLeish and R. Mark Reesor Departments Book Review Derivatives: The Tools that Changes Finance, by Phelim P. Boyle and Feidhlim Boyle 145 Reviewed by Samuel H. Cox Upcoming Conferences—Call For Papers First Brazilian Conference on Statistical Modeling in Insurance and Finance Southern Risk and Insurance Association – 2003 Annual Meeting 147

IAA Bulletin AAI No38 X-2003 1


North American Actuarial Journal Volume 7, Number 3, July 2003 Table of Contents Feature Articles Pricing Guaranteed Life Insurance Participating Policies with Annual 1 Premiums and Surrender Option Anna Rita Bacinello Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database 18 Ana C. Cebrian, Michele Denuit, and Philippe Lambert Geometric Brownian Motion Models for Assets and Liabilities: 37 From Pension Funding to Optimal Dividends Hans U. Gerber and Elias S. W. Shiu Note on the Tail Behavior of Random Walk Maxima with Heavy 57 Tails and Negative Drift Rob Kaas and Qihe Tang Symposium Papers Retirement Implications of Demographic and Family Change Symposium Gradual Retirement: An Additional Option in Work and Retirement 62 Yung-Ping Chen and John C. Scott Issues for Implementing Phased Retirement in Defined Benefit Plans 75 Jonathan B. Forman and Patricia L. Scahill An Individual’s Chosen Retirement Age: When is the Economically Feasible 85 Retirement Age Chosen over the Anchor Provided by Known Others? Linda Smith Brothers Discussions of Papers Already Published “Mortality of the Extreme Aged in the United States in the 1990s, Based on Improved Medicare Data” 111 Discussion by T. L. Hutchinson “Efficient and Robust Fitting of Lognormal Distributions” Discussion by Thierry Duchesne and Jacques Rioux “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process” Discussion by Hans U. Gerber and Elias S. W. Shiu Discussion by Shuanming Li



Discussion by X. Sheldon Lin “Pricing Lookback Options and Dynamic Guarantees” Discussion by Carisa K. W. Yu 7. THE ACTUARY Tables of Contents — April 2003 through September 2003 The Actuary, Volume 37, Number 4, April 2003 Table of Contents Large Employers Face Hard Choices on Retiree Health Benefits 1 Steve Coppock and Frank McArdle Editorial: Personalizing the Actuarial Perspective 2 Loretta Jacobs Employer-Sponsored Health Plans in Flux 6 G. Todd Swim and Beth A. Umland Long-Term Care Disabled Life Reserves: Overview of 8 Methodology for a Growing Product Line Deborah A. Grant Key Issues Identified by Task Force Studying E&E System 12 Stuart Klugman and Stephen A. Eadie SOA Task Force Working on Key Section and Practice Area 17 Improvement Opportunities Karen Gentilcore Research Corner 18 Presidential Musings 19 Puzzle 20 The Actuary, Volume 37, Number 5, May 2003 Table of Contents Insurance Mergers and Acquisitions—Change Driven and 1 Change Driving



Robert D. Shapiro Editorial: Oh, What a Hangover! 2 Morris Fishman Letters to the Editor 3 Who Owns Your Intellectual Property? 5 Tom Bakos Regulators and Insureds Also Have a Stake in Mergers and Acquisitions 7 Robert Wilcox and Carl Harris SOA Board of Governors Endorses E&E Redesign Direction 11 CE Corner 14 Executive Director News 18 Presidential Musings 19 Puzzle 20 The Actuary, Volume 37, Number 6, June 2003 Table of Contents The Seven Pillars of Risk Management Wisdom 1 David Ingram Editorial: Regulation in Litigious Times 2 Godfrey Perrott Letters to the Editor 3 Trends in Morbidity 7 Charles M. Waldron Actuaries Beware: It’s Tough at the Top 9 Mike Magsig E&E Series: Employers Comment on Recent Board E&E Decisions 11 Actuaries Forum in Boston Kara Clark



CE Corner 16 Research Corner 25 Presidential Musings 27 Puzzle 28 Election Supplement 1-12 The Actuary, Volume 37, Number 7, September 2003 Table of Contents

Janitors and Dead Peasants: The Story of Leveraged COLI 1 Christian DesRochers Editorial: Are Actuaries Changing Their Images or Themselves? 2 Steven Prince Letter to the Editor 3 Changing Our Image May be More of an Internal Challenge 7 Than an External One Mark van Zanden

Changing Image or Changing Jobs: Actuaries in NonTraditional 9

Roles Discuss How They Got There

Direction and Framework of E&E Redesign Approved by SOA 11 Board of Governors Being Uncooperative Again 9 Andrew Smith Civilian Actuary Finds Transition to “Military Analyst” Smooth Sailing 13 J. Bruce MacDonald New Club Celebrates Three Generations of Actuaries 14 Megan Potter Research Corner 19 Presidential Musings 23 IAA Bulletin AAI No38 X-2003 5


Puzzle 24 8. SECTION NEWSLETTERS A special interest section is a group of Society members organized to study and discuss their common function and professional interests and to contribute information to the actuarial profession. Sections are successful because their members get involved. They are structured but flexible so as to be responsive both to the needs of the profession and to the specific needs of their members. Society members can discuss their special interests at the section level with other members and still be served professionally through the Society structure.

Sections publish newsletters and special reports, plan Society meetings and seminars, hold breakfasts and luncheons with guest speakers at Society meetings and support actuarial research efforts. Section members are eligible to vote in Council elections and to hold office in the section to which they belong. People in the actuarial profession and related fields in the United States, Canada, and other countries who are not members of the Society of Actuaries have the opportunity to take advantage of these special interest groups. Nonmembers can subscribe to one or more special interest sections in order to receive their mailings and to be invited to participate in seminars and other Section-sponsored programs. It is a good opportunity to keep abreast of actuarial advancements and activities in North America.



Section Dues Subscription

$ $ Actuary of the Future Section $15.00 $15.00 Computer Science Section 10.00 NA Education & Research Section 15.00 15.00 Futurism Section 15.00 15.00 Health Section 30.00 30.00 Individual Life Insurance and Annuity Product Development Section 15.00 20.00 International Section 20.00 20.00 Investment Section 10.00 15.00 Life Insurance Company Financial Reporting Section 10.00 15.00 Long Term Care Insurance Section 20.00 20.00 Management & Personal Development 15.00 15.00 Nontraditional Marketing Section 20.00 20.00 Pension Section 25.00 25.00 Reinsurance Section 10.00 15.00 Smaller Consulting Firm Section 10.00 NA Smaller Insurance Company Section 15.00 15.00 9. TABLES OF CONTENTS FROM RECENT SECTION NEWSLETTERS Actuary of the Future Section Actuary of the Future, Issue #14, May 2003 Table of Contents Actuaries at Risk 1 Dorn H. Swerdlin A Note from the Editor … A Busy Future 2 Kristine M Henderson Chairperson’s Corner 3 Sudha Shenoy Don’t Miss These Actuary of the Future Sessions at 4 the Spring 2003 Meetings Are You a Product Actuary or a Marketing Actuary? 5 Mike Kaster Press Release: SOA Names New Insurance Administrator-- 7 Marsh Affinity Group Services



Career Pioneer Profile 8 Computer Science Section CompAct, Issue #16, August 2003 Table of Contents Chairperson’s Corner 3 Charlie Linn The XTbML Standard: A Fresh Approach to Interchange 4 of Table Data Jacques Rioux, Ph.D Smarter, Not Harder: An Example by 7 Steve Welander 2003 Annual Meeting – Orlando, FL 9 Computer Science Section Sessions Introducing MathML: The Solution to Mathematics on the Web 13 Jay Brown Society of Actuaries Web Redesign 18 Rob Hayashida What’s Going On? 19 2003 Actuarial Speculative Fiction Contest: 19 The Outer Limits of Actuarial Thought Education and Research Section Expanding Horizons, Issue #26, April 2003 Table of Contents Chatting with the Chair Welcome from the Guest Editor E&E Sessions for the Spring Meetings 2003 Future Actuarial Research Conferences



What’s in a Name? E&R Section Election 2002 Minutes of the E&R Section Council Treasurer’s Report Halmstad Prize The Annual Prize Merger of the Actuarial Education and Research Fund and The Actuarial Foundation Notes Education and Research Section Expanding Horizons, Issue #27, July 2003 Table of Contents Actuarial Research Conference – Future Venues Chatting with the Chair E&R Sessions at the 2003 Annual Meeting, Orlando, FL E&R Sessions at the Spring Meetings Halmstad Prize It’s Your Home Page Merger of the Actuarial Education and Research Fund and The Actuarial Foundation (Update) Minutes of the E&R Section Council Meetings Research and Education? Risk Relevant Resources Summary of E&E Proposals Adopted by the Board of Governors in June, 2003 Health Section



Health Section News, Issue #45, April 2003 Table of Contents Genetic Testing, Medical Progress and the Health Insurance Industry 1 Bruce S. Pyenson Chairperson’s Corner 3 John P. Cookson Letter From the Editor 3 Jeffrey D. Miller Estimating Incurred Health Claims: One Lag Report 8 Is Not Enough Hank Frantz Looking Forward to Vancouver 19 Daniel L. Wolak Health Care Affordability … A Valuable Concept in Understanding 13 Our Health Care System Challenges David V. Axene Further Discussion of High Hospital Charges 24 John P. Cookson The Art and Science of Pricing Small Group Medical Coverage: 26 From Debits to Risk Factors Bill Lane A Practical Method for Incorporating Pended Claims in 30 Medical IBNR Estimates Peter K. Reilly Press Release: SOA Names New Insurance Administrator – Marsh 36 Affinity Group Services Health Section Meets in Boston 36 Health Section Health Section News, Issue # 46, August 2003 Table of Contents Applying Diagnosis-Based Predictive Models to Group Underwriting 1 Randall J. Ellis, Marilyn S. Kramer, Joseph F. Romano and Rong Yi



Chairperson’s Corner 3 John P. Cookson Letter From the Editor 3 Jeffrey D. Miller ASOP 6 and Medicare Payment Projections 8 Charles W. Edwards International Actuarial Association (IAA) Health News 11 The Price of Terrorism 12 Daniel L. Wolak A Very Complex Topic 13 Jeffrey D. Miller Understanding the Economics of Disease Management Programs 14 Ian Duncan Calculation of IBNR Reserves with Low Variance 20 Robert G. Lynch Healthcare System in Crisis 31 Individual Life Insurance and Annuity Product Development Section Product Matters! Issue #XX, April 2003 Table of Contents Comments From the Chair: Challenge Brings Opportunity 1 Noel J. Abkemeir Implementing Quick Programs: The Bank Distribution Model 4 Robert Ireland Arithmetic vs. Geometric Mean Returns 7 Douglas C. Doll Mortality Arbitrage – Life and SPIA 7 Douglas C. Doll Fixed Annuities in a Low Interest Rate Environment 8 Susan J. Sell



GMIB and the Bear Market 10 Eric J. Carlson Death-Benefit-Focuses UL 12 Michael Joseph Burns Annuity Nonforfeiture: The Sound of Falling Rates 14 Noel J. Abkemeier Upcoming PD-Sponsored Sessions 16 Announcing the Third Annual Product Development Actuary 18 Symposium at the SOA Spring Meeting Seminar on Designing and Pricing Secondary Guarantees on 20 UL & VUL Products Announced Update on Survey Committee Activities 21 March NAIC Meeting 22 Donna R. Claire Product Development Section Council Photos from the SOA 24 Annual Meeting Individual Life Insurance and Annuity Product Development Section Product Matters! Issue #56, July 2003 Table of Contents Comments From the Chair: The Shape of Products in 2010 1 Noel J. Abkemeir Mortality Anti-Selection – Different Versions of Dukes/MacDonald 4 Douglas C.Doll Estimating Worksite Mortality – A Structured Approach 6 Adrian R. Pask Is Your Reinsurance Creating Enough Value? 10 James W. Dallas AAA – Illustrations Work Group 13 Michael S. That Shadow Account Products: Beyond Pricing 14



Jeremy A. Bill VUL Secondary Guarantees: Catalyst for Sales Rebound 16 Thomas E. Norton and Robert Grotyohann U.S. Population Mortality Improvement 21 Douglas C. Doll Variable Annuity Risk and Seeking “The Perfect Hedge” 22 Douglas L. Robbins Risk-Relevant Resources 23 SOA Risk Management Task Force Pricing for Internet Distribution 24 W. Howell Pugh 2001 CSO Table – The Road to 2009 26 William Carroll Upcoming PD Sessions at the Annual Meeting in Orlando 30 SOA Report on Mortality Improvement Survey 32 Douglas C. Doll International Section International Section News, Issue #30, June 2003 Table of Contents Pacific Rim Actuaries’ Club of Toronto 1 Paul Chow Editor’s Note: “Wider Perspective 3 Randy Makin The Mysterious East, Part One: A Review of Asian Life 4 Insurance Markets – Issues & Challenges David Rosier Chairperson’s Corner: International Air Travel 10 Shumei R. Kuo 12th Annual East Asian Actuarial Conference 12 What’s New in the SOA’s International Arena? 13



Presidential Musings 14 Harry Panjer See You in Orlando! 15 Meeting Minutes of the International Section Council 16 Upcoming East Asian Actuarial Conference Topics 19 25 Investment Section Risks and Rewards, Issue #42, July 2002 Table of Contents Back to Basics: Credit Default Swaps 1 Teri L Geske Chairperson’s Corner: SOA Plans New Risk Management Section 3 Douglas A. George Economic Capital – Recent Market Developments and Trends 6 Hubert Mueller Special Event! The Investment Section Luncheon 12 Beginning Risk Management Seminar 13 Michael A. Bean What the Markets Should Reflect From the Victory in Iraq 14 Nino Boezio Are We in a Different Market Paradigm? 16 Christian Gilles, Larry Rubin, John Ryding, Leo M. Tilman and Ajay Rajadhyaksha Advanced Risk Management Seminar 22 Cathy Ehrlich, David Ingram and Hubert Mueller 2003 Stochastic Modeling Symposium 26 Martin Roy Investment Section Luncheon Symposium 27 Risk Relevant Resources 27



Life Insurance Company Financial Reporting Section The Financial Reporter, Issue #53, June 2003 Table of Contents Embedded Derivatives in Modco and Similar Reinsurance 1 Richard H. Brown Chairperson’s Corner: Feedback Needed! 3 John Bevacque A Letter from the Editor: A Fly on the Wall 4 Jerry Enoch Current AAA Recommendation for RBC C-3 Phase II 10 Max J. Rudolph Purchase GAAP for Equity-Indexed Annuities 13 Vincent Y. Tsang Can You Sign An Actuarial Opinion? 18 Donna R. Claire More Efficient Monte Carlo Simulation for Mortality Assumption Testing 20 Douglas L . Robbins Generalized Mortality Table Analysis 22 Larry Warren Life Insurance Company Financial Reporting Section The Financial Reporter, Issue #54, September 2003 Table of Contents The Art of Stochastic Simulation in the Financial Reporting World 1 Ron Harasym The Chairperson’s Corner: Your Feedback 3 John Bevacqua Letter From the Editor: New Production Schedule 4 Jerry Enoch Update on Valuation of Variable Annuity Guarantees 12 James W. Larson Update on RBC C-3 Phase II 15



Max J. Rudolph Highlights of the June NAIC Life and Health Actuarial Task Force 16 Meeting and Other NAIC Topics Ted Schlude Principles of Capital Market Modeling 24 Andres Vilms FAS 133 Implementation Issue B36: Implications for the 28 Financial Reporting of Reinsurance Rebecca Kao Wang and Tara JP Hansen Investor & Management Expectations of the “Return of Equity” 34 Measure Versus Some Basic Truths of Financial Reporting Michelle D. Smith Modeling Variable Annuity Minimum Guaranteed Death Benefits 41 Donald A. Skokan Long-Term Care Insurance Section Long-Term Care News, Issue #8, April 2003 Table of Contents The AAA Practice Note in Practice – Part One 1 James M Robinson Articles Needed for the News 2 From The Editor 3 Bruce A Stahl LTCI Experience Analysis Using Modified Natural Reserves 8 William C. Weller Third Annual Intercompany LTCI Conference in Las Vegas 10 Bruce A. Stahl Chairperson’s Corner 12 Michael S. Abroe Long-Term Care Insurance Section



Long-Term Care News, Issue #9, August 2003 Table of Contents From the Editor 1 Bruce A. Stahl Chairperson’s Corner 3 Michael S. Abroe 2003 Intercompany LTCI Conference – Actuarial Track Highlights 4 Vincent L. Bodnar 2003 Intercompany LTCI Conference – Underwriting Track Highlights 5 Maureen Lillis 2003 Intercompany LTCI Conference – Claims Track Highlights 6 Noreen Guanci 2003 LTCI Conference – Management Track Highlights 7 Timothy J. Tongson 2003 Intercompany LTCI Conference – Marketing Track Highlights 8 Claude Thau SOA Presents The Compliance Track From the Third Annual 9 Intercompany LTCI Conference – January 26-29, 2003 Upcoming LTCI Sessions at the SOA Annual Meeting in Orlando 11 Nontraditional Marketing Section NewsDirect, Issue #43, May 2003 Table of Contents Middle-Market Internet Use for Insurance and Financial Services 1 Lynn M. Ferris Chairperson’s Corner: How Dedicated is the NTM Council 3 Diane McGovern Editor’s Corner: Thanks for the Memories 6 Julie L. Tani



Non-Traditional Marketing Section Member Survey Results 7 Finally In! Christopher H. Hause Bancassurance: Details Measure Its Success in Various Countries 8 Adrian R. Pask Key Health Issues for 2003 13 Kara Clark Wanted: Course 7 Advisor 13 SOA Washington Meeting 14 Upcoming NTM Sessions 15 Nontraditional Marketing Section NewsDirect, Issue #44, September 2003 Table of Contents Would You Like Fries With That? 1 Jason B. Holman Editor’s Corner: A Look Ahead 2 Brian L. Louth Chairperson’s Corner: Is “Think Tank the Way to Go?” 3 And Rewards Diane McGovern Affinity Marketplace for Actuaries 5 Dwayne Thompson But Will They Buy? Insurance Coverage for ALL … And How 6 Insurers Can Afford to Provide It Review by Ian Duncan NTM Sessions Held in Washington DC 8 Upcoming NTM Sessions at the Annual Meeting 11 Upcoming News 12 Pension Section



Pension Section News, Issue #52, June 2003 Table of Contents Excerpts From the PBGC Actuarial Valuation Report – 2002 1 Joan M. Weiss Chairperson’s Corner 3 Marilyn Miller Oliver How to Stop the Insanity! 6 Jeremy Gold ASOP 6 and Medicare Payments Projection 8 Pension Section Council Summary of Activities 11 Retirement Needs and Risks 12 2003 Symposium Questionnaire 13 SOA Distance Learning Subscriptions 14 SOA GASB Webcast 15 Letters to the Editor 15 Pension Section Pension Section News, Issue #53, September 2003 Table of Contents OASDI Trust Fund: Principal Economic and Demographic Assumptions 1 HI Trust Fund: Actuarial Methodology and Principal Assumptions 8 SMI Trust Fund: Estimates Under Alternative II Assumption for 12 Aged and Disabled Enrollees Congratulations 2 Chairperson’s Corner 3 Marilyn Miller Oliver Comments to the ERISA Advisory Council 7



Jeremy Gold Summary of the E&E Proposals Adopted by The Board of 18 Governors in June 2003 Emily Kessler Pension Section Council Summary of Activities 21 Tonya B. Manning Weak Pension Funding Standards 22 Jeremy Gold Post-Retirement Risks Highlight 2004 LIMRA/LOMA/SOA 23 Pension Conference Karen Gentilcore & John Riley Articles Needed for News 24 Reinsurance Section Reinsurance News, Issue #52, July 2003 Table of Contents FAS 133 Implementation Issue B36 Implications for the Financial 1 Reporting of Reinsurance Rebecca Kao Wang and Tara JP Hansen Embedded Derivatives in Modco and Similar Reinsurance 1 Richard H. Browne Reinsurance Section Reinsurance News, Issue #53, August 2003 Table of Contents Watch Out for Mortality Shocks! 1 Ronald L. Klein Life Reinsurance Data From the Munich American Survey 1 David M. Bruggeman Chairperson’s Corner 3 James W. Dallas



Reinsurance Section Lineup for the Annual Meeting 13 Mel Young Reinsurance Regulations – Organizations That Influence the Regulations 14 Timothy J. Tongson and Elvina Richardson What Do Cedants Really Want From Reinsurers? 17 (A Mostly Qualitative Response.) Rick Flaspohler Smaller Insurance Company Section Small Talk, Issue #20, May 2003 Table of Contents Key Health Issues for 2003 1 Kara Clark Editorial 2 James R. Thompson 2003 Survey on Health Insurance 3 What is Critical Illness Insurance? 4 Susan Kimball 2001 CSO Adopted! – What Now? 9 Mark Rowley Fixed Annuities and the Small Company 11 Eric Sondergeld Fixed Annuities – Product Design and Investment Considerations 13 Graham Ireland Smaller Consulting Firm Section The Independent Consultant, Issue #2, June 2003 Table of Contents Intellectual Property, Insurance and Business Method Patents 1 Nicholas P. Triano, III Chairperson’s Corner 2



George W. McCauslan This Just In … 156 Members Respond to Section Survey! 3 The Problem with New Clients 7 Carl Friesen The Life of an Independent Consultant 8 Ian Duncan Editor’s Column 10 Ian Duncan It’s Fun to Be an Expert! 12 William C. Cutlip Peer Review 14 Ken Hartwell Smaller Consulting Firm Section Will Sponsor Its First Events 17 Smaller Consulting Firm Section Grows in 2003 18


7. table of contents of actuarial journals / tables … · the seven pillars of risk management...

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