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Edition

ARCH Table of Contents 2005.1

ARCH Table of Contents 2005.1

  • 2005.1 Proceedings
  • The University of Iowa
  • Iowa City, IA
  • August 4–7, 2004
  • Distribution sponsored by The Education and Research Section of the Society of Actuaries

Copyright © 2005 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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  • 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

Program

Table of Contents

Topic/Title/Author(s)

Actuarial and Statistical Models

  • Complexity and Complex Adaptive Systems: Applications for Actuarial Science, Finance and Risk Management
  • R. Gorvett ( Abstract Only)
  • Managing Catastrophe Risk: An Actuarial Approach
  • J. Ren ( Abstract Only)
  • Modeling Insurance Losses Resulting from National Catastrophes
  • M. Boudreault, H. Cossette and - Marceau ( Abstract) or ( Complete Article)
  • 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
  • K. Ahlgrim, S. D'Arcy, R. Gorvett ( Complete Article)
  • VaR and CTE under Multivariate Pareto Distributions
  • Y. Hu ( Abstract Only)
  • Variance of the Loss for Term and Pure Endowment in Actuarial Notation
  • S. Viveros ( Abstract Only)
  • Hattendorff Theorem-Yet Another Look
  • N.D.S. Kumar ( Abstract Only)
  • Symbolic Computation of Moments of Loss Random Variables in Discrete Time
  • B. Jones ( Abstract Only)
  • Smooth Monte Carlo Method for Diffusion Processes
  • A. Kolkiewicz ( Abstract Only)
  • Empirical Analysis of Representative Scenario Sampling Algorithms
  • Y. Zhu ( Abstract Only)
  • Estimators for a Generalized Poisson Autoregressive Process of Order 1
  • L. Doray ( Abstract Only)
  • Claims Reserving when there are Negative Values in the Runoff Triangle: Bayesian Analysis Using the Three-parameter Log-normal Distribution
  • E. de Alba and G. Atondo ( Abstract) or ( Complete Article)

Education

  • Current Board of Governors Issues of Interest to Academic Actuaries: Accreditation of University Actuarial Program and Alternate Route
  • R. London ( Presentation Slides)
  • Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
  • M. Sherris and J. van der Hoek ( Abstract) or ( Complete Article)
  • Optimal Asset Allocation and Ruin-Minimization Annuitization Strategies
  • M. Milevsky, K. Moore and V. Young ( Abstract Only)
  • Analysis of the ruin probability using Laplace transforms and Karamata Tauberian theorem
  • C. Constantinescu and E. Thomann ( Abstract) or ( Complete Article)
  • On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo (LSM) Framework for Options Pricing
  • Y. Zhou ( Abstract) or ( Complete Article)
  • Optimal Consumption Strategy in the Presence of Default Risk: Discrete-time Case
  • K.C. Cheung ( Abstract) or ( Complete Article)
  • Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
  • E. Furman and Z. Landsman ( Abstract) or ( Complete Article)

Insurance Topics

  • The Economic Aspects of Life Insurance Backdating
  • J. Carson, C. Clark and K. Ostaszewski ( Abstract) or ( Complete Article)

Mortality Issues

  • Fitting and Forecasting Mortality Rates for Nordic Countries Using the Lee-Carter Model
  • M.C. Koissi ( Abstract) or ( Complete Article)
  • Modeling Future Mortality Risk from Exposure to a Sudden Extreme Situation and Its Impact on Life Insurance
  • Y. Hu and S. Cox ( Abstract) or ( Complete Article)
  • Development and Application of the Prospective Mortality Tables in Actuarial Science
  • H. Cossette, A. Delwarde, M. Denuit, F. Guillot and E. Marceau ( Abstract Only)
  • Development of Cohort Life Tables for "Other Causes" for Use in Simulation Modeling
  • M. Rosenberg ( Abstract Only)

Pensions

Price Theory

  • Indifference Pricing via the Probability of Ruin
  • V. Young and S.D. Promislow ( Abstract Only)
  • Pricing Equity Linked Pure Endowments with Risky Asset Following Levy Processes
  • S. Jaimungal and V. Young ( Abstract Only)
  • Game Theoretic Analysis of Competitive Rate Setting
  • G. Slone and S. Craighead ( Abstract Only)
  • Price Regulation in the Automobile Insurance Market: A Discrete-time Markov Chain Model
  • A. Milidonis ( Abstract Only)

Ruin Theory

  • Effects of Dependence among Claim Vectors on the Ruin Probability in a Multi-dimensional Risk Model
  • Q. Zhen ( Abstract Only)
  • On Time Value of Ruin in a Sparre Andersen Model: Ruin Theory by Divided Differences
  • H. Gerber and E. Shiu ( Abstract) or ( Complete Article)
  • Ruin Probabilities in the Compound Binomial Model Defined in a Markovian Environment
  • H. Cossette, D. Landriault and - Marceau ( Abstract Only)

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