ARCH Table of Contents 2008.1 Table of Contents

ARCH Table of Contents 2008.1

Copyright © 2008 Society of Actuaries

All rights reserved by the respective authors and by the Society of Actuaries. The Society of Actuaries assumes no responsibility for the statements made or opinions expressed in the articles, criticisms and discussions published in ARCH.

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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
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Table of Contents

 

Topic/Title/Author(s)

Invited Talk

• Knowledge or Skills...or Both?
• J. Shepherd (Abstract Only)

Education

• Stochastic Modeling–A Research Experience for Undergraduates
• R. Gorvett (Complete Article)

• Using Actuar in Teaching: Case Studies
• V. Goulet (Abstract Only)

Finance

• An Approach to Valuing Guaranteed Minimum Income Benefit Riders
• C. Marshall, D. Saunders (Abstract Only )

• Competing Risks Model for Corporate Exit Analysis: Discrete Hazard Model and Extension with Stochastic Frailties
• T. Bae, R. J. Kulperger (Abstract Only)

• Economic Capital and Regulation of Banks and Insurers
• M. Yang (Abstract Only)

• Fourier Inversion Formulas in Option Pricing and Insurance
• D. Dufresne, J. Garrido, M. Morales (Abstract Only)

• Moments of a Regime–Switching Stochastic Interest Rate Model with Randomized Regimes
• J. Bridgeman (Complete Article )

• New Iterative Calculation of American–style Derivatives–A Lower Approximation of the Snell Envelope
• D. Zhu (Abstract Only)

• On the Application of Wilkie's Models to TSX Price Index
• C. Qiu (Complete Article or Presentation)

• Portfolio Risk Management with CVaR–like Constraints
• S. Cox, Y. Lin, R. Tian, L. Zuluaga (Complete Article)

• Quantitative Risk Measures of Individual Life Settlement Purchases
• S. Gupta (Abstract Only)

• Valuation of Equity–Linked Insurance Using Risk Measures
• P. Gaillardetz (Abstract Only)

Fuzzy Logic

• Fuzzy Clustering Study on the Structure of Insurance Policies
• Y. Kou (Abstract Only)

• Fuzzy Random Variables
• A. Shapiro (Complete Article)

• Possibilistic Modeling for Loss Distribution and Premium Calculation
• L. Guo, Z. Huang (Complete Article)

Health

• A Bayesian Two–Part Predictive Model for Health Care Costs Using Individual–level Data
• M. Rosenberg (Abstract Only)

• An Option–based Operational Risk Management on Pandemics
• H. Chen, S. Cox (Complete Article)

• Claims Prediction Model and the Simulation of Health Savings Account (HSA) Performance
• V. Kane (Complete Article)

• Mitigating the Impact of Endogeneity in Healthcare Data via Multilevel Models
• P. Johnson (Abstract Only)

• Modeling the Cumulative Cases from SARS
• R. Chen, P. Wang (Complete Article)

• Modeling Treatment Costs Associated with a Multi–stage Pandemic
• M. Ekhaus (Complete Article )

Mortality Models

• Implementation of Markov Approach to Joint Life Mortality
• M. Ji (Abstract Only)

• Modeling Mortality with Jumps: Transitory Effects and Pricing Implication to Mortality Securitization
• H. Chen, S. Cox (Complete Article)

• Mortality Modelling Using Projection Pursuit Regression
• S. Craighead, T. Edwalds (Abstract or Presentation)

Pensions

• Death of an Annuity Market Foretold
• A. Perez Villasana, T. Sinha (Abstract Only)

• Disability Causes and Their Effect in the Mortality of Disables Annuitants in Mexico
• T. Sinha, A. Yanez (Abstract Only)

• Fixing Social Security and Medical Care
• A. Lang (Abstract Only)

• Negative Effects of the GIS Clawback and Possible Solutions
• D. Chisholm (Complete Article )

• On Pricing and Hedging the No–Negative–Equity–Guarantee in Equity Release Mechanisms
• M. Hardy, S.H. Li, K.S. Tan (Abstract Only)

• Salary Profiles of Affiliates of Pension Funds
• T. Sinha (Abstract Only)

• Stochastic Life Annuities
• D. Dufresne (Abstract Only)

• The Cost Control on a DB Underpin Hybrid Pension Plan
• K. Chen, M. Hardy(Abstract Only)

Risk and Risk Management

• A Nonpararmetric Test for Comparing the Riskiness of Portfolios
• V. Brazauskas (Abstract Only)

• A Risk Model When Premium Rate Depends on Claim Size
• J. Cai, M. Zhou (Abstract Only)

• Analysis of a Threshold Strategy in the Discrete–time Sparre Andersen Model
• A. Mera (Complete Article)

• Bounds for Ruin Probabilities and Value at Risk
• S. Cox, Y. Lin, R. Tian, L. Zuluaga (Complete Article)

• Comparison of a Simple Bayesian Reserving Model with Traditional Methods
• Yessica Perez–Camarillo (Abstract Only)

• Enhancing Insurer Value Using Reinsurance and Value–at–Risk Criterion
• K. S. Tan, C. Weng (Abstract Only)

• Generalized Gerber–Shiu Function in Piecewise–deterministic Markov Processes
• R. Feng (Abstract Only)

• Metrics for Matches, Mismatches and Non–Matches
• T. Herzog (Abstract Only)

• On the Regulator–Insurer Interaction in a Structural Model
• C. Bernard, A. Chen (Complete Article)

• Subexponential Tail of Discounted Aggregate Claims
• X. Hao, Q. Tang (Complete Article)