2023.1 Actuarial Research Conference Proceedings

Distribution sponsored by The Education and Research Section of the Society of Actuaries

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Editorial direction by:

Charles S. Fuhrer
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Arnold F. Shapiro
Pennsylvania State University
Smeal College of Business
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Editor's Comments | List of Participants | Program | Sponsors

Table of Contents

Actuarial Approaches to COVID-19

Pandemic Risk Management: Resources Contingency Planning and Allocation
L. Zhang (Abstract)

Actuarial Education

Designing Authentic Assessments for Learning
D. Skrzydlo (Presentation)

Capital Allocation and Dependence Modeling

Option Implied Degree of Nonlinear Dependence: Definition, Properties, and Information Contents
Y. Xie (Abstract)

Cyber Risk I

Statistical Models and Algorithms for Assessing Robustness and Reliability of Networks with Applications in Cybersecurity Insurance
H. K. Ng (Abstract)

Life Insurance

Is There Principal-Agent Problem in Variable Annuities? Evidence from Investment Restrictions and a Comparison of Fee Incentives
X. Jing (Abstract)

Loss Reserving and Ratemaking III

Quantification of Variability of Chain Ladder Reserve Estimates: Comparison of Mack's Method vs Bayesian Simulation Method Regarding Implementation Difficulties
B. Lu, W. Lu (Presentation)

Mortality And Longevity Modeling I

Data Driving LSTM Method to Predict the Mortality Under COVID-19 in the United States Based on Deep Learning
Y. Chen, A. Khaliq (Paper)

Mortality and Longevity Modeling II

A Generalized Graphical Risk Metric for Natural Hedging
L. Gabric, K. Zhou (Abstract)

Quantitative Finance II

Conceptualizing Life Annuities as Fuzzy Random Variables
A. Shapiro, D. Wang (Paper)

Retirement and Pension Mathematics I

Portfolio Optimization with a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees
A. MacKay, A. Ocejo (Presentation)

Risk Modeling and Measurement I

Robust Credibility Based on Censored Data
Q. Zhao (Abstract)

Statistical and Machine Learning I

Framework for BERT Based NLP Models with Applications to Warranty Policy Loss Prediction
V. Manathunga (Abstract)

Statistical and Machine Learning II

Smoothing and Measuring Discrete Risks
V. Brazauskas, P. Ratnam (Abstract)