ARCH Table of Contents - 2004.1

38th Actuarial Research Conference


  • Sponsored by:
  • AERF Committee of The Actuarial Foundation
  • American Academy of Actuaries
  • American Society of Pension Actuaries
  • Canadian Institute of Actuaries
  • Casualty Actuarial Society
  • Colegio Nacional de Actuarios, A.C.
  • Conference of Consulting Actuaries
  • Society of Actuaries
  • and
  • University of Michigan Department of Mathematics
  • Michigan Actuarial Society

Copyright © 2004 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.

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

Editorial direction by:

  • Charles S. Fuhrer
  • The Segal Company
  • 1920 'N' Streeg NW, Ste. 500
  • Washington, DC 20036
  • Arnold F. Shapiro
  • Pennsylvania State University
  • Smeal College of Business
  • 310 F BAB
  • University Park, PA 16802

List of ParticipantsProgram

Table of Contents


Actuarial and Statistical Models

  • Actuarial Computing via Recurrence Relationships in the Classroom
  • N.D. Shyamal Kumar (Complete Article)
  • An Empirical Study of Hattendorff's Theorem
  • A. Asimit
  • Bayesian Implementations of Chain Ladder Reserving Models
  • D. Scollnik
  • Favorable Estimators for Fitting Pareto Models: A Study Using Goodness–of–Fit Measures with Actual Data
  • V. Brazauskas and R. Serfling 
  • Non-Parametric Regression with a Functional Independent Variable
  • C. Fuhrer (Complete Paper)
  • On a Formula of Nesbitt
  • E. Shiu (Formula)


  • Task Force on Academic Infrastructure
  • R. London

Financial Mathematics

  • A Trinomial Lattice Approach to Equity Index Annuity
  • R. G. Reyes
  • Discrete–Time Models for an Individuals Life Insurance Purchase and Lapsing, Consumption and Stock Purchase Decisions
  • Y. Zhu 
  • Market Forecasting and Trading Rules based on Soft Computer Technologies
  • A. Shapiro (Complete Paper)
  • Modeling of Economic Series Coordinated with Interest Rate Scenarios: A progress report on research sponsored by the Casualty Actuarial Society and the Society of Actuaries
  • R. Gorvett, K. Ahlgrim and S. D'Arcy (Complete Paper)
  • Modeling Stock Market with Financial Signal Processing
  • J. Jeng (Complete Paper )
  • Quasi–Monte Carlo Approach to Pricing American Options on Foreign Assets under a Stochastic Interest Rate Economy
  • A. Kolkiewicz
  • Regime Switching of Stocks and Interest Rates
  • B. Jiang
  • The Continuous–Time Portfolio Problem
  • M. Wilhelm
  • The Bootstrap Method for Calibrating Equity Models
  • M. Hardy 

Life and Health Insurance

  • Adverse Selection in Term Life Insurance Purchasing Due to the BRCA ½ Genetic Test and Elastic Demand
  • K. Viswanathan, J. Lemaire, K. Withers, K. Armstrong, A. Baumritter, J. Hershey, M. Pauly and D. Asch (Complete Paper)
  • Bayesian Methods in Modeling Health Care Cost Data
  • M. Rosenberg
  • Further Analysis of Future Canadian Health Care Costs
  • R. Brown and U. Suresh (Complete Paper)
  • Projecting the Needs and Costs of Long Term Care in Australia
  • E. Leung (Complete Paper)
  • The Distribution of Total Life Insurance Claims
  • T. Edwalds (Complete Paper)
  • Optimal Insurance
  • S. D. Promislow and V. Young 
  • Optimal Insurance in Continuous Time
  • K. Moore

Retirement and Pension Issues

  • Exploring Risk Factors for Retirement Mortality
  • H. Kwon (Complete Paper)
  • Own–Company Stock in Pension Plans
  • P. Boyle
  • Pension Accounting and Earnings Implications
  • P. Joss
  • Pension Plan Turnover
  • E. Frees 
  • The 1/n Pension Investment Puzzle
  • H. Windcliff and P. Boyle (Complete Paper)
  • Securitization of Mortality Risks in Life Annuities
  • Y. Lin and S. Cox (Complete Paper)

Risk Theory

  • Guaranteed Benefits in Incomplete Markets and Risk Analysis
  • G. Argesanu (Complete Paper)
  • Iterated CTE: A Dynamic Risk Measure
  • J. Wirch
  • Modeling Political Risk Insurance: Utility Maximization Perspective
  • M. Wen and C. Leng (Complete Paper)
  • On the Variance of Estimators of Tail–VaR and other Distortion Risk Measures
  • J. Rioux
  • Stochastic Control Theory in Managing Insurance Risks
  • M. Castillo and G. Parrocha (Complete Paper)
  • Volatility Risk for Regime Switching Models
  • A. Kolkiewicz

Ruin Theory

  • Actuarial Applications of Some Lundberg Type Bounds
  • K. Pavlova and G. Willmot 
  • An Application of Extreme Value Theory in Pricing Catastrophic Losses
  • A. Milidonis
  • Numerical Ruin Probabilities in General Discrete Time Risk Models
  • E. Marceau
  • Ruin Probabilities with a Markov Chain Interest Model
  • J. Cai