ARCH Table of Contents 2017.1

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Editorial direction by:

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Arnold F. Shapiro
Pennsylvania State University
Smeal College of Business
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Table of Contents

Actuarial Education & Research

Another Open Educational Resource
E. Frees
View Abstract

Social Media Analysis of Catastrophic Response: Twitter Data Analysis of Tornadoes
D. Hall, K. Shang, S. Siegel
View Abstract

Society of Actuaries Education Update
S. Klugman
View Abstract

Catastrophes & Reinsurance

Split-Atom Convolution for Probabilistic Aggregation of Catastrophe Losses
R. Wojcik, C. W. Liu, J. Guin
View Paper

Enterprise Risk Management

A Conditional Equity Risk Model for Regulatory Assessment
A. Floryszczak, J. Levy Vehel, M. Majri
View Presentation

Looking at OSFI's Recent LICAT Guideline through a Cost of Capital Lens
J. Manistre
View Paper

Finance Applications

Assessing the Effectiveness of Local and Global Quadratic Hedging under GARCH Models
M. Augustyniak, F. Godin, C. Simard
View Presentation

Dynamic Nonparametric Analysis of Nonstationary Portfolio Returns and Its Application to VaR and Forecasting
S. Efromovich, J. Wu
View Paper

Healthcare Modeling

Improving the Prediction of Re-admissions Amongst Medicare Patients in a California Hospital
N. Huynh, H. Fallah, D. Robbins-Kelley
View Abstract

Mortality & Longevity

Bayesian Inference for Small Population Longevity Risk Modelling
L. Chen, A. Cairns, T. Kleinow
View Abstract and Presentation

High Age Mortality and Frailty: Some Remarks and Hints for Actuarial Modeling
E. Pitacco
View Paper

On Equality and Inequality in Stationary Populations
D. Swanson, L. Tedrow
View Paper

The Gamma-Exponential Mix Model CDF
T. Edwalds, R. Hilton
View Presentation

Property & Casualty

General Insurance Deductible Ratemaking
G. Lee, E. Frees
View Abstract

Identification of the Age-Period-Cohort Model for Incomplete Development Triangles
T. Hartl
View Abstract

Researching the Risks of Tomorrow – Actuarial Insights on Automated Vehicles
J. Charak
View Abstract

Retirement and Life Insurance

A Framework for Measuring Risk of Contingent Indexation for Defined Benefit Pension Plan
L. Adam
View Abstract

Optimal Decumulation Strategy during Retirement with the Purchase of Deferred Annuities
A. Chen
View Presentation

Performance Analysis of Equity Index Universal Life Insurance
L. Liang, Z. Wu
View Abstract

Variable Annuities with VIX-linked Fee Structure under a Heston-type Stochastic Volatility Model
Z. Cui, R. Feng, A. MacKay
View Abstract

Risk Measures

Fuzzy System Approach for Assessing Risk in Insurance
M. Koissi, A. Shapiro
View Abstract

Value-at-risk and Tail-Value-at-Risk given a Linguistic Perspective
S. S. Appadoob, A. Shapiro, A. Thavaneswaran
View Paper

Statistical Methods

A Simple Approach to Evaluate the Distribution of Aggregate Claims
K. R. Thiagarajah
View Abstract

Cramér-von Mises Estimation Based on Probability Generating Functions and Box-Cox Transform for Count Data
C. Bilodeau, A. Luong
View Abstract

Predictive Risk Modeling for Information Systems
M. Anthony, M. Ishmael, E. Santa, A. Shemyakin, N. Vandeweghe
View Abstract


A Study on Effective Factors of Insurance Companies’ Solvency via Panel Data Model
G. Mahdavi, J. Moniri
View Abstract