ARCH Table of Contents 2011.1

• Simon Fraser University
• Burnaby, BC, Canada
• July 26-28, 2010

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

Copyright © 2011 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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• Charles S. Fuhrer
• The Segal Company
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• Arnold F. Shapiro
• Pennsylvania State University
• Smeal College of Business
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• Editor's Comments
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Table of Contents

Topic/Title/Author(s)

• Invited Talks
• Actuarial Accounting–A Cautionary Report
• D. Young (Abstract Only)
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• Society of Actuaries Education Update
• S. Klugman (Abstract Only)
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• Spatio-Temporal Models for Rates and Survival Analysis
• C. Dean (Abstract Only)
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• Education
• Diversity in the Actuarial Profession–Why College Summer Programs for High School Students can Make a Difference
• B. McKeown (Abstract) (Presentation)
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• Technology Enhanced Learning for Actuarial Science Education
• M. Rosenberg, E. Frees (Abstract Only)
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• Finance and Risk
• Changes of Measure for the Square-Root Stochastic Volatility Process
• D. Dufresne, S. Chin (Abstract Only)
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• Analyzing Investment Data Using Conditional Probabilities: The Implications for Investment Forecasts, Stock Pricing, Risk Premia and CAPM Beta Calculations
• R. Joss (Complete Article)
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• Measuring and Managing Systemic Risk
• J. Kim, P. Boyle (Abstract Only)
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• Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction
• K. Tan, X. Wang (Abstract Only)
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• Valuation of Segregated Funds in India
• E. Thompson, R. Ambagaspitiya (Abstract Only)
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• Insurance
• A Multiple State Model for the Joint-Life Reverse Mortgage Termination Speed
• M. Ji (Abstract Only)
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• Actuarial and Financial Valuations of Guaranteed Annuity Options
• R. Zhou (Complete Article)
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• An INAR(1) Model with Dynamic Heterogeneity for Claim Counts in Automobile Insurance
• T. Zhang (Abstract Only)
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• Estimation and Nonparametric Testing of Heterogeneous Life Data Models
• J. Spreeuw, S. Jarner, J. Nielsen (Abstract Only)
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• Investment
• Modeling Investment Returns with a Multivariate Ornstein-Uhlenbeck Process
• Z. Wan (Abstract Only)
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• Loss Reserving and Forecasting
• Claim Forecasting Using Econometric Stepwise Regression
• A. Loach, E. Vaagen (Abstract Only)
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• Loss Reserving with Random Selection
• W. Gau, Z. Han (Complete Article)
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• The Technical Provisions in Solvency II - what EU Insurers Could do if They had Schedule P
• G. Meyers (Abstract Only)
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• Model Fitting
• Bayesian Methods for Fitting Regime-Switching Models
• B. Hartman (Abstract Only)
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• Inference for the Discrete Stable Distribution with the Probability Generating Function
• L. Doray (Abstract Only)
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• Measuring Supplier Performance using Generalized Linear Modeling
• E. Vaagen (Abstract Only)
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• Mortality and Retirement
• Forecasting Mortality in the Presence of Missing Data: An Application to Chinese Population
• P. An (Abstract Only)
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• Mortality Improvement: an Actuarial Perspective
• J. Garrido, A. Debón (Abstract Only)
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• The Canadian Pensioners Mortality Table: Some Results on Mortality Level and Trends
• L. Adam (Abstract) (Presentation)
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• Mortality Risk
• Actuarial Applications of the Linear Hazard Transform in Mortality Fitting and Prediction
• C. Tsai, C. Jiang (Abstract Only)
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• Solvency Appraisal for Life Annuities: Demographic Risk Measures
• A. Orlando, M. Coppola, E. Di Lorenzo; M. Sibillo (Abstract Only)
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• Using Cohort Change Ratios to Estimate Life Expectancy in Populations Closed to Migration: a New Approach
• D. Swanson, L. Tedrow (Complete Article)
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• Pension Valuation
• Analysis of Variable Benefit Plans
• B. Sanders (Abstract Only)
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• Fuzzy Post-Retirement Solvency Concepts: Some Preliminary Observations
• A. Shapiro (Complete Article)
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• How Phased Retirement Affects Defined Benefits
• P. Mignault, C. Bilodeau (Abstract Only)
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• Reinsurance
• The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance
• J. Cong, Z. Li, K. Tan (Complete Article)
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• Optimal Reinsurance Problems Involving Risk Measures
• B. Balbás-Aparicio (Abstract Only)
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• Optimal Reinsurance Strategy in Two Dimensional Risk Model
• W. Wei (Abstract Only)
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• Risk Measures and Optimal Insurances
• A Note on Optimal Insurance Under Ambiguity
• M. Mashayekhi (Abstract Only)
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• Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
• J. Rioux, D. Erdman, S. Major (Complete Article)
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• TVaR-Based Capital Allocation with Dependence
• E. Marceau, H. Cossette; M. Mailhot (Abstract Only)
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• Risk Theory
• Assessing Longevity Risk with Generalized Linear Array Models
• J. Falkenberg (Abstract Only)
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• Compatibility Between Prices and Risks
• R. Balbás (Abstract Only)
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• Discounted Compound Renewal Sums with a Stochastic Force of Interest
• G. Léveillé, F. Adékambi (Complete Presentation)
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• Distribution of Discounted Compound Sums when the Mean of Inter-Arrival Time is Small
• Y. Wang, J. Garrido, G. Léveillé (Abstract Only)
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• Finite-Time Ruin Problems in Sparre Andersen Models with Arbitrary Interclaim Times
• T. Shi, D. Landriault, G. Willmot (Abstract Only)
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• Ruin Related Quantities in a Risk Model Based on Time Series for Count Data
• H. Cossette, E. Marceau, V. Maume-Deschamps, F. Toureille (Abstract Only)
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• Ruin Theory with Parisian Delays
• D. Landriault, J. Renaud, X. Zhou (Abstract Only)
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• The Expected Discounted Penalty at Ruin for a Risk Model with Two-Sided Jumps
• Y. Lu, S. Li (Abstract Only)
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• Statistical Methods
• Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of Two Gamma Variates
• M. Augustyniak, L. Doray (Complete Article)
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• Average Premium Model
• B. Wipperman, E. Vaagen (Abstract) (Presentation)
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• Replicated Stratified Sampling–a Practical Approach to Financial Modeling
• J. Vadiveloo (Abstract Only)