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ARCH Table of Contents 2018.1

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

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© 2018 Society of Actuaries. All rights reserved.

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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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Table of Contents

Actuarial Applications

What about Park Factors? – Park Factors and their Impact on Minor League Baseball
K. Page, A. Rhodes
View Abstract

Actuarial Education

A Bivariate Extension of the Beta-Generated Distribution Derived from Copulas
R. Samanthi, J. Sepanski
View Abstract

Designing Exams to Test Higher Levels of Learning
D. Skrzydlo
View Presentation

Asset Allocation

Investment and Reinsurance Options with Dynamic Financial Analysis
B. Karagül, S. Gençgönül
View Abstract

Climate Risk

A Virtual Climate Library of Surface Temperature over North America for 1979–2015
V. Brazauskas, S. Kravtsov, P. Roebber
View Abstract

Health Insurance

Combining both Financial and Clinic Data into Decision Making under Health Care Reform
Y. Yang
View Abstract

Hedging Variable Annuities

A Tale of Two Risk Management Strategies: Risk Measure Based Reserving and Net Liability Hedging of Variable Annuity Guaranteed Benefits
B. Yi, R. Feng
View Abstract

Weighted Fund Style Analysis of Variable Annuity
G. Fan, Y. Liu, R. Xu, T. Green, K. Nilsson, E. Edens
View Paper


A Goal Programming Model for Non-life Insurance Sector’s Technical Analysis
B. Karagül
View Abstract

A Two-Decrement Model for the Valuation and Risk Measurement of a Guaranteed Annuity Option
Y. Zhao, R. Mamon, H. Gao
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Experience Studies: The Linear Force Distribution
J. McGarry
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Model Uncertainty and Selection in Operational Risk Modeling
D. Yu, V. Brazauskas
View Abstract


A Comparison: Some Approximations for the Aggregate Claims Distribution
R. Thiagarajah
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An Overview of Probabilistic Fuzzy Systems – Some Preliminary Observations
A. Shapiro, D. Wang
View Paper

General Insurance Claims Modelling with Factor Collapsing and Bayesian Model Averaging
S. Hu, A. O’Hagan, B. Murphy
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Optimal Investment Strategies and Intergenerational Risk Sharing for Target Benefit Pension Plans
B. Sanders, S. Wang, Y. Lu
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Quantifying Inter-generational Equity under Different Target Benefit Plan Designs
L. Yi
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Gilded Pastures
J. Tang, J. Milovanovic, M. Hassett
View Paper


An Exploration of Systemic Risk in Random Financial Networks
D. Turner
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Variable Annuities

Pricing Bounds and Bang-bang Analysis of the Polaris Variable Annuities
Z. Shen, C. Weng
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Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer
T. Moenig, C. Bernard
View Abstract