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Actuarial Research Clearing House Table of Contents 2006.1

  • 2006.1 Proceedings
  • Instituto Tecnológico Autónomo de México (ITAM)
  • Mexico City, Mexico
  • August 11–13, 2005

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

Copyright © 2006 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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  • Arnold F. Shapiro
  • Pennsylvania State University
  • Smeal College of Business
  • 310 F BAB
  • University Park, PA 16802

Table of Contents



Actuarial and Statistical Models

  • A Dynamic Programming Approach to Valuing Reload Executive Stock Options
  • P. Dayandanda (Abstract Only)
  • Bootstrap Estimation of the Conditional Tail Expectation (CTE)
  • H.T. Kim (Abstract Only)
  • Estimating Trends with Percentage of Smoothness Chosen by the User
  • V. Guerrero (Abstract Only)
  • Fuzzy Regression Models and the Term Structure of Interest Rates
  • A. Shapiro (Complete Article)
  • Predicting Health Care Expenditures with Correlation Between Inpatient and Outpatient Utilizations
  • J. Gao (Abstract Only)
  • Risk Management at a Leading Canadian Bank: An Actuarial Science Graduate’s View
  • Y. Zhou (Abstract)
  • Y Zhou (Complete Article)
  • Useful Properties of the Three–Parameter Burr XII Distribution
  • Y. Wang (Abstract Only )


  • A Joined–Up Syllabus for Technical Actuarial Education
  • M. Hardy (Abstract Only)
  • The Work of the SOA Accreditation implementation Task Force: A Status Report and Opportunity for Feedback
  • W. Luckner (Complete Article)

Insurance Topics

  • A Comparison of Methods for Modeling an Aggregate Life Insurance Claims Distribution
  • S. Christiansen, T. Edwalds (Abstract Only )
  • Bayesian Claims Reserving When There Are Negative Values in the Runoff Triangle
  • E. de Alba, M. Corzo (Complete Article)
  • Longitudinal Modeling of Singapore Automobile Insurance
  • E. Frees, E. Valdez (Abstract Only )
  • Tail Index Estimation for Partitioned Insurance Losses
  • J. Henry, III, P.H. Hsieh (Abstract Only)

Mortality Issues

  • An Interpolation Method to Produce Continuous Force of Mortality
  • S. Hossain (Abstract Only)
  • Analysis of Mortality Data Using Smoothing Spline Poisson Regression
  • N.D. Shyamalkumar (Complete Article)
  • Mortality Under Standard Individuality Life Insurance Between 1999–2002 Anniversaries
  • J. Rendon (Presentation Slides)
  • Projecting the Mortality Experience of Canadian Assured Lives
  • J. Li (Abstract Only)


  • A Better–Defined Benefit Contribution Policy: Contribute No Less than the Normal Cost
  • D. Kausch (Complete Article)
  • A Comparative Study of IBNR Methodologies for the Colombian Pension System
  • A. Correa, L. Gutierrez, A.F. Ochoa (Abstract Only)
  • Pricing of Guaranteed Products for Defined Benefit Pension Funds
  • M. Saxonov (Complete Article)
  • Provisions for Adverse Deviations: The Margin Based Approach for Setting Assumptions for Pension Plans
  • K. Shand (Abstract Only)
  • Some Salary Scale Estimation Methods for Pension Valuations
  • G. Palacios Horscheck (Abstract Only)
  • The Cost of Minimum Pension Guarantee
  • A. Renteria, T. Sinha (Complete Article)
  • Topics in Lump Sum Payments from Defined Benefit Pension Plans
  • K. Hays (Abstract Only)

Finance Theory

  • Catastrophe Options with Stochastic Interest Rates and Compound Poisson Losses
  • S. Jaimungal, T. Wang (Abstract Only)
  • CTE and Capital Allocation Under the Skew Elliptical Distributions
  • K. Tan (Abstract Only)
  • Estimating the 5th Percentile of the DJI Daily Returns
  • J. Zhu (Abstract Only)
  • On Indifference Pricing for Double–Trigger Reinsurance Products
  • S. Jaimungal, S. Nayak (Abstract Only)
  • Operational Risk Capital Provisions for Banks and Insurance Companies
  • E. Afambo (Complete Article)
  • Pricing American Options on Exponential Levy Processes
  • A. Kolkiewicz (Abstract Only)
  • Study of Variance Reduction Techniques for American Option Pricing
  • J. La, C. Lemieux (Abstract Only)

Risk Theory

  • Adjustment Coefficient in the Sparre Anderson Model with Reinsurance
  • Z. Li (Complete Article)
  • Analysis of the Discounted Penalty Function in a Discrete–Time Risk Model with Dependence
  • D. Landriault (Abstract Only)
  • Modeling Natural Catastrophe Risk: An Application to Earthquakes and Hurricanes
  • M. Boudreault, H. Cossette, E. Marceau (Abstract Only)
  • On the Expected Discounted Penalty Function for Levy Risk Processes
  • J. Garrido, M. Morales (Complete Article)
  • Ruin Measures in Risk Models with Time Dependent Claim Amounts
  • M. Boudreault, H. Cossette, D. Landriault, E. Marceau (Abstract Only)
  • The Compound Poisson Risk Model with a Threshold Dividend Strategy
  • X. Lin, K. Pavlova (Abstract Only)