In this session, a savings methodology framework will be presented, including the following topics: • Structure of savings certification process • Prospective vs. retrospective measurement • How actuarial techniques contribute to the process • Complex attribution and statistical modeling done by biostatistics area • Examples of basic and more complex savings calculations • Selection bias issues and how to address them.

One of the first projects undertaken by Claim Analytics was to create a model to predict return to work for group insurance claimants with long term disabilities. This report, sponsored in part by the Society of Actuaries Health Section , is a case study on creating such a model.

This dissertation by Tia Sawhney will help you understand this issue and start measuring it, or start promoting equitable public policy.

Using a complete stochastic asset/liability model to analyze a large block of business is often too time consuming to be practical. In practice, the compromises made are reducing the number of runs or grouping assets into asset categories. This paper focuses on the strategies that enable efficient stochastic modeling for large and consolidated insurance business blocks. Efficient stochastic modeling can be achieved by applying effective interest rate sampling algorithms that are presented in this paper. From NAAJ, July 2002, Volume 6, Number 3.

This paper suggests a possible flexible solution to the time and resource problems of running a large number of stochastic interest rate scenarios, that is, selecting a representative subset.

In parametric modeling of loss distributions in actuarial science, a versatile choice with intermediate tail weight is the lognormal distribution. This paper provides detailed treatment of the lognormal mean and discusses extension of the approach to the much more complicated problem of estimation for the three-parameter lognormal model. At the end of this paper, there is a discussion between author and Thierry Duchesne and Jacques Rioux. From NAAJ, October 2002, Volume 6, Number 4.

This is a discussion of a previously published paper, "On a Classical Risk Model with a Constant Dividend Barrier" part one.

This is a discussion of a previously published paper, "On a Classical Risk Model with a Constant Dividend Barrier" part two.

In this paper, the authors study indifference valuation mechanisms for mortality contingent claims under stochastic mortality age structures. Their focus is on capturing the internal cross-hedge between components of an insurer’s portfolio, especially between life annuities and life insurance.

An estimator of the tail index of a Pareto distribution is given that is based on the use of the probability integral transform. This new estimator provides performance that is comparable to the best robust estimators, while retaining conceptual and computational simplicity. A tuning parameter in the new estimator can be adjusted to control the tradeoff between robustness and efficiency. The method used to compute the estimator also can be used to find a confidence interval for the tail index that is guaranteed to have the nominal confidence level for any given sample size. Guidelines for the use of the new estimator are provided.