Finance Department


Date of this Version


Document Type



Journal of Actuarial Practice, Volume 8, Nos. 1 and 2 (2000)


© Copyright November 2000 Absalom Press, Inc.


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 . 237