2021.1 Actuarial Research Conference Proceedings

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

This publication is provided for informational and educational purposes only. The Society of Actuaries makes no endorsement, representation or guarantee with regard to any content, and disclaims any liability in connection with the use or misuse of any information provided herein. This publication should not be construed as professional or financial advice. Statements of fact and opinions expressed herein are those of the individual authors and are not necessarily those of the Society of Actuaries.

© 2021 Society of Actuaries. All rights reserved.

Society of Actuaries
475 N. Martingale Road, Ste. 600
Schaumburg, IL 60173-2226

Editorial direction by:
Charles S. Fuhrer          
The Segal Company  
1920 'N' Street NW, Ste. 500    
Washington, DC 20036


Arnold F. Shapiro
Pennsylvania State University
Smeal College of Business
359 Business Building
University Park, PA 16802

Editor's Comments | List of Participants | Program | Sponsors

Table of Contents

Actuarial Mathematics

Probability of Up-Crossing Before Ruin for a Levy Process Having Two-Sided Jumps
M. Ali (Paper)

Actuarial Profession

Professionalism: Being an Actuary - Beyond the Mathematics
W. Luckner (Presentation)

COVID-19

Overview of COVID-19: Actuarial Implications
D. Hall, M. Rudolph (Presentation)

Cyber Risk

Statistical Modeling of Data Breaches and Its Application in Cyber Insurance
Y. Lu, M. Sun (Abstract)

General Insurance

Developments in Multi-Factor and Multi-Cohort Continuous Time Mortality Modelling
M. Sherris (Presentation)

Life Insurance

Asset-Liability Management of Life Insurers in the Negative Interest Rate Environment
Y. Lin, S. Liu, K.S. Tan, X. Zhang (Presentation)

Long-Term Care

Disability and Survival Among People aged 50+: The English Longitudinal Study of Ageing
M. Qazvini (Paper)

Loss Reserving

Tort Reform and Physician Moral Hazard
J. Zhang (Presentation)

Machine Learning

Machine Learning: What Is It and What Are Its Components?
A. Shapiro (Paper)

Mortality and Longevity

Adjusting for IBNR in Life Settlements Mortality Using Cure Rate Models
H.B. Lim, N.D. Shayamalkumar (Presentation)

Forecasting Mortality With International Linkages: A Global Vector-Autoregression Approach
H. Li, Y. Shi (Abstract)

Optimization

Mean-Variance Investment and Risk Control Strategies: A New Time-Consistent Formulation
Y. Shen, B. Zou (Abstract)

Posters

Actuarial Formula Predictor
L. Somaratne (Abstract)

Robust Strategies for Target Beneļ¬t Pension Plans Under Default Risk
X. Rong, P. Wang, S. Wang, H. Zhao (Poster)

Sensitivity Analysis With Chi-Square Divergences
V. Makam, P. Millossovich, A. Tsanakas (Abstract)

Professional Actuarial Education

Enhancing the Utility of Complex Tables in Actuarial Teaching
R. Hendel (Paper)

Academic Integrity in the Time of COVID-19
D. Skrzydlo (Presentation)

Quantitative Risk Management

Monte Carlo Valuation of Future Annuity Contracts
A. Bacinello, P. Millossovich, F. Viviano (Abstract)