Finance Department


Date of this Version


Document Type



Journal of Actuarial Practice Volume 12, 2005


© Copyright April 2005

Absalom Press, Inc.



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 215