\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 8, Nos. 1 and 2 (2000) -- Masthead & Contents

Contents Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers\u27 compensation Review Process 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 5, No. 1, 1997

ARTICLES Providing Pensions for U.K. Employees with Varied Working Lives • Deborah R. Cooper Seeking the Profitability-Risk-Competitiveness Frontier Using a Genetic Algorithm • Ronnie Tan Fuzzy Underwriting: An Application of Fuzzy Logic to Medical Underwriting • Per-Johan Horgby, * Ralf Lohse, and Nicola-Alexander Sittaro Accelerated Death Benefits, Viatical Settlements, and Viatical Loans: Options for the Terminally III • Paula Schmidt The Right to Underwrite? An Actuarial Perspective With a Difference • Thomas A. Moultrie and R. Guy Thomast Discussion of T.A. Moultrie and R.G. Thomas\u27s \u27\u27The Right to Underwrite? An Actuarial Perspective With a Difference • Charles L. Trowbridge 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin; Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 8, Nos. 1 and 2 (2000)

Complete volume, includes ARTICLES: Realistic Pension Funding: A Stochastic Approach • Shih-Chieh Chang 5 Risk Sources in a Life Annuity Portfolio: Decomposition and Measurement Tools • Mariarosaria Coppola, Emilia Di Lorenzo, and Mari/ena Sibillo . .43 A Comparative Study of the Performance of Loss Reserving Methods through Simulation • Prakash Narayan and Thomas Warthen 63 Concentration in the Property and Liability Insurance Market by Line of Insurance • Edward Nissan and Regina Caveny 89 Safe-Side Requirements in Life Insurance: A Corporate Perspective • Annamaria Olivieri and Ermanno Pitacco 115 Actuarial Analysis of Retirement Income Replacement Ratios • Robert Keng Heong Lian, Emiliano A. Valdez, and Chan Kee Low 147 Life Contingencies with Stochastic Discounting U sing Moving Average Models • Steven Haberman, Russell Gerrard, and Dimitrios Velmachos 177 Modeling Corporate Bond Default Risk: A Multiple Time Series Approach • Wai-Sum Chan . 211 Independent Claim Report Lags and Bias in Forecasts Using Age-to-Age Factor Methodology • Stewart Gleason . 23

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 8, Nos. 1 and 2 (2000)

Complete volume, includes ARTICLES: Realistic Pension Funding: A Stochastic Approach • Shih-Chieh Chang 5 Risk Sources in a Life Annuity Portfolio: Decomposition and Measurement Tools • Mariarosaria Coppola, Emilia Di Lorenzo, and Mari/ena Sibillo . .43 A Comparative Study of the Performance of Loss Reserving Methods through Simulation • Prakash Narayan and Thomas Warthen 63 Concentration in the Property and Liability Insurance Market by Line of Insurance • Edward Nissan and Regina Caveny 89 Safe-Side Requirements in Life Insurance: A Corporate Perspective • Annamaria Olivieri and Ermanno Pitacco 115 Actuarial Analysis of Retirement Income Replacement Ratios • Robert Keng Heong Lian, Emiliano A. Valdez, and Chan Kee Low 147 Life Contingencies with Stochastic Discounting U sing Moving Average Models • Steven Haberman, Russell Gerrard, and Dimitrios Velmachos 177 Modeling Corporate Bond Default Risk: A Multiple Time Series Approach • Wai-Sum Chan . 211 Independent Claim Report Lags and Bias in Forecasts Using Age-to-Age Factor Methodology • Stewart Gleason . 23

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 5, No. 1, 1997

ARTICLES Providing Pensions for U.K. Employees with Varied Working Lives • Deborah R. Cooper Seeking the Profitability-Risk-Competitiveness Frontier Using a Genetic Algorithm • Ronnie Tan Fuzzy Underwriting: An Application of Fuzzy Logic to Medical Underwriting • Per-Johan Horgby, * Ralf Lohse, and Nicola-Alexander Sittaro Accelerated Death Benefits, Viatical Settlements, and Viatical Loans: Options for the Terminally III • Paula Schmidt The Right to Underwrite? An Actuarial Perspective With a Difference • Thomas A. Moultrie and R. Guy Thomast Discussion of T.A. Moultrie and R.G. Thomas\u27s \u27\u27The Right to Underwrite? An Actuarial Perspective With a Difference • Charles L. Trowbridge 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin; Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 8, Nos. 1 and 2 (2000) -- Masthead & Contents

Contents Editorial Policy: Topics suitable for this journal include AIDS, annuity products, asset-liability matching, cash-flow testing, casualty rate making, credibility theory, credit insurance, disability insurance, expense analysis, experience studies, FASB issues, financial reporting, group insurance, health insurance, individual risk taking, insurance regulations, international issues, investments, liability insurance, loss reserves, marketing, pensions, pricing issues, product development, reinsurance, reserving issues, risk-based capital, risk theory, social insurance, solvency issues, taxation, valuation issues, and workers\u27 compensation Review Process 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 7, Nos. 1 and 2, 1999

ARTICLES A Study Note on the Actuarial Evaluation of Premium Liabilities • Claudette Cantin and Philippe Trahan (First Prize) Recognizing Actuarial Assumptions • Victoria Stachowski and Alice Underwood (Second Prize) Commissioners Annuity Reserve Valuation Method (CARVM) • Keith P. Sharp (Third Prize) CARVM and NAIC Actuarial Guidelines 33 & 34 • Keith P. Sharp Multilife Premium Calculation with Dependent Future Lifetimes • Michel Denuit and Anne Cornet A Fuzzy Approach to Grouping by Policyholder Age In General Insurance • Richard J. Verrall and Yakoub H. Yakoubov Determination of Optimal Premiums as a Constrained Optimization Problem • Farrokh Guiahi Credibility Calculations Using Analysis of Variance Computer Routines • H. Dennis Tolley, Michael D. Nielsen, and Robert Bachler A Saddlepoint Approximation for Tail Probabilities In Collective Risk Models • Dale Borowiak 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin. Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice\u3c/i\u3e, Volume 12, 2005

ARTICLES Risk-Based Regulatory Capital for Insurers: A Case Study • Christian Sutherland-Wong and Michael Sherris 5 A New Hybrid Defined Benefit Plan Design • Wayne E. Dydo . 47 A Primer on Duration, Convexity, and Immunization • Leslaw Gajek, Krzysztof Ostaszewski, and Hans-Joachim Zwiesler 59 Modeling Clusters of Extreme Losses • Beatriz Vaz de Melo Mendes and Juliana Sa Freire de Lima 83 Modeling Insurance Loss Data: The Log-EIG Distribution • Uditha Balasooriya, Chan Kee Low, and Adrian Y W Wong 101 A Modern Approach to Modeling Insurances on Two Lives • Maria Bilikova and Graham Luffrum 127 On the Pricing of Top and Drop Excess of Loss Covers • Jean-François Walhin and Michel Denuit 137 An Application of Control Theory to the Individual Aggregate Cost Method • Alexandros A. Zimbidis and Steven Haberman 159 Reputation Pricing: A Model for Valuing Future Life Insurance Policies • Rami Yosef 181 Ultimate Ruin Probability for a Time-Series Risk Model with Dependent Classes of Insurance Business • Lai Mei Wan, Kam Chuen Yuen, and Wai Keung Li 193 Optimal Dividend Strategies: Some Economic Interpretations for the Constant Barrier Case • Maite Marmol, M Merce Claramunt, and Antonio Alegre 21

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 5, No. 2, 1997

Articles: With Different Term Structure Models • Eliseo Navarro and Juan M. Nave A New Approach for Determining Claim Expense Reserves in Workers Compensation • Kay Rahardjo Pricing Earthquake Exposure Using Modeling • Debra L. Werland and Joseph W. Pitts Actuarial Model Assumptions for Australian Inflation, Equity Returns, and Interest Rates • Michael Sherris Comments on Some Parametric Models for Mortality Tables • Kam C. Yuen 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 Cummins, University of Pennsylvania ○ Robert Finger, Retired ○ Charles Fuhrer, The Segal Company ○ Farrokh Guiahi, Hofstra University ○ Steven Haberman, City University ○ Merlin Jetton, Retired ○ Eric Klieber, Buck Consultants ○ Edward Mailander, WeIlpoint Health Networks ○ Charles McClenahan, Mercer Oliver Wyman ○ Robert Myers, Temple University ○ Norman Nodulman, Retired ○ François Outreville, United Nations ○ Timothy Pfeifer, Milliman USA ○ Esther Portnoy, University of Illinois ○ Robert Reitano, John Hancock Financial Services ○ Alice Rosenblatt, WeIlpoint Health Networks ○ Arnold Shapiro, Penn State University ○ Elias Shiu, University of Iowa ○ Michael Sze, Sze Associates Ltd. ○ Joseph Tan, National Actuarial Network ○ Ronnie Tan, Great Eastern Life ○ Richard Wendt, Tower Perrin. Margo Young, Technical Edito

\u3ci\u3eJournal of Actuarial Practice,\u3c/i\u3e Volume 9 (2001)

(The complete issue, including) ARTICLES Analyzing Management Fees of Pension Funds: A Case Study of Mexico • Tapen Sinha 5 Premium Earning Patterns for Multi-Year Policies with Aggregate Deductibles • Thomas Struppeck 45 Exponential Bonus-Malus Systems Integrating A Priori Risk Classification • Lluis Benmidez, Michel Denuit, and Jan Dhaene 67 Fitting Loss Distributions in the Presence of Rating Variables • Farrokh Guiahi 97 Linear Empirical Bayes Estimation of Survival Probabilities with Partial Data • Mostafa Mashayekhi 131 Controlling the Solvency Interaction Among a Group of Insurance Companies • Alexandros Zimbidis and Steven Haberman 151 A Sensitivity Analysis of the Premiums for a Permanent Health Insurance (PHI) Model • Ben D. Rickayzen . 189 Premium Calculation Using the Probability of Ruin • K.C. Yuen, H. Yang, and K.L. Chu . 21