Actuarial Research Clearing House Table of Contents 2007.1

• 2006.1 Proceedings
• Université de Montréal
• Montréal, Canada

August 10–12, 2006
Distribution sponsored by The Education and Research Section of the Society of Actuaries

Copyright © 2007 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' Street NW, Ste. 500
• Washington, DC 20036

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

Table of Contents

 

Topic/Title/Author(s)

Invited Talk

• On a Global Education and Examination System
• J.L. Masse ( Abstract Only)

Actuarial and Statistical Models

• A Multivariate Tweedie Family with Applications to Risk Measurement
• E. Furman, Z. Landsman ( Abstract Only)

• Bayesian Inference Resistant to Outliers, Using Super Heavy–Tailed Distributions, for the Calculation of Premiums
• J. Angers, A. Desgagne ( Abstract)
• J. Angers, A. Desgagne ( Presentation Slides)

• Credibility Theory for Generalized Linear Models
• J. Garrido, J. Zhou ( Complete Article)

• Extreme Behavior of Multivariate Phase–Type Distributions
• A. Asimit, B. Jones ( Abstract Only)

• Fitting Combinations of Exponentials to Probability Distributions
• D. Dufresne ( Abstract Only)

• Modeling and Estimating Individual and Firm Effects with Panel Data
• J. Angers, D. Desjardins, G. Dionne, F. Guertin ( Abstract Only)

• Theory of Levy Processes Applied to Risk Models
• X. Zhou ( Complete Article)

• Using Expert Opinion in Actuarial Science
• M. Jacques, M. Pigeon ( Abstract)
• M. Jacques, M. Pigeon ( Presentation Slides)

Insurance Topics

• Actuarian R Package for Actuarial Science
• V. Goulet ( Abstract Only)

• Actuarial Judgment in the Calculation of Medical Liability
• J. Gamage, J. Linfield, K. Ostaszewski ( Complete Article)

• An Alternative Approach to Calculation of IBNR Reserve in Health Insurance
• J. Gamage, J. Linfield, K. Ostaszewski ( Complete Article)

• Ascertainment Bias in Estimating Rates of Early Onset Alzheimer’s Disease: A Critical Illness Insurance Application
• C. Espinosa, A. Macdonald ( Abstract)
• C. Espinosa, A. Macdonald ( Presentation Slides)

• Assessing Alternative Financing Methods for the Canadian Health Care System in View of Population Aging
• D. Andrews ( Complete Article)

• Determinants of Group Health Insurance Demand
• J. Munoz Perez, T. Sinha ( Complete Article)

• Loaded Participation Rates for Equity–Indexed Annuities
• P. Gaillardetz ( Complete Article)

• Optimal Retention Levels in Dynamic Reinsurance Markets
• E. Biffis ( Abstract)
• E. Biffis ( Presentation Slides)

• Short Period Non–Catastrophic Rainfall Options
• B. Turner ( Abstract)
• B. Turner ( Presentation Slides)

• Stochastic Analysis of Life Insurance Surplus
• N. Lysenko ( Abstract)
• N. Lysenko ( Presentation Slides)

Mortality Issues

• Application of Epidemiological Models in Actuarial Mathematics
• R. Feng, J. Garrido ( Complete Article)

• Broken–Heart Mortality
• M. Hardy, L. Li ( Abstract Only)

• Entropy, Longevity and Annuities
• S. Haberman, M. Khalaf–Allah, R. Verrall ( Abstract Only)

• Method to Develop a Provision for Adverse Deviation (PAD) for the Longevity Risk for Impaired Lives
• S. Ranasinghe ( Abstract)
• S. Ranasinghe ( Complete Article)

• Mortality Improvement Scales for the Canadian Insured Lives
• M. Hardy, J.S. Li, K. Ta ( Abstract Only)

• Pandemic Influenza Claims Risk in the U.S.
• T. Edwalds ( Abstract)
• T. Edwalds ( Complete Article)

• Robust Estimation of Generalized Additive Models in the Calculation of Mortality Tables
• E. Flores, A. Perez ( Abstract Only)

• Threshold Life Tables and Their Applications
• J.S. Li ( Abstract)
• J.S. Li ( Presentation Slides)

Pensions

• Pension Plan Evaluation Using Conditional Tail Expectation (CTE)
• R. Delsanne, C. Pichet, C. Turcotte ( Abstract)
• R. Delsanne, C. Pichet, C. Turcotte ( Presentation Slides)

• Policyholder Behavior Study in Variable Annuity with Guaranteed Minimum Withdrawal Benefit
• Y. Liu ( Abstract)
• Y. Liu ( Presentation Slides)

• The Effects on the Funding and Contribution Variance Using the Modified Spreading Model
• D. Gomez, S. Haberman, M. Owadally ( Abstract Only)

• The Risk Management of a DB Underpin Pension Plan
• K. Chen ( Abstract)
• K. Chen ( Presentation Slides)

Finance Theory

• A Bias Reduction Technique for Monte Carlo Pricing of Early Exercise Options
• M. Davison, M. Reesor, T. Whitehead ( Abstract)
• M. Davison, M. Reesor, T. Whitehead ( Presentation Slides)

• Decomposing Loan Portfolio Value–at–Risk and Expected Shortfall
• T. Fan, Z. Li ( Abstract Only)

• Econometric Models for Interest Rates
• K. Freeland, M. Hardy ( Abstract)
• K. Freeland, M. Hardy ( Presentation Slides)

• Equity Indexed Annuities: the Quest for Optimality
• P. Boyle ( Abstract Only)

• Fuzzy Volatility Forecasts and Fuzzy Option Values
• K. R. Thiagarajah ( Abstract)
• K. R. Thiagarajah ( Presentation Slides)

• Implementation of Arbitrage–Free Discretization of Interest Rate Dynamics and Calibration of Swaptions and Caps in Excel VBA
• O. Kim ( Complete Article)

• Multivariate Modeling of Asset Returns for Investment Guarantees Valuation
• M. Boudreault, C–M. Panneton ( Abstract)
• M. Boudreault, C–M. Panneton ( Presentation Slides)

• Optimal Investment Strategy in a Discrete-Time Model with Regime–Switching and Uncertain Time–Horizon
• Z. Li, K. Tan, H. Yang ( Complete Article)

• Optimal Mean–Variance Investment for an Insurer
• W. Guo ( Abstract Only)

• Quality Control of Risk Measures: Backtesting Var Models
• V. de la Pena, R. Rivera, J. Ruiz–Mata ( Abstract)
• V. de la Pena, R. Rivera, J. Ruiz–Mata ( Presentation Slides)

• Quantifying and Correcting the Bias in Estimated Risk Measures
• M. Hardy, J. Kim ( Abstract Only)

• Random Switching Times Among Randomly Parameterized Regimes of Random Interest Rate Scenarios
• J. Bridgeman ( Complete Article)

• Strategic Valuation
• S. Craighead ( Abstract Only)

• The Theoretical Problem of Managing a Fund by Entering into Independent Bets
• M. Dufour ( Abstract Only)

Risk Theory

• An Integro–Differential Equation for a Sparre Andersen Model with Investments
• C. Constantinescu, E. Thomann ( Abstract)
• C. Constantinescu, E. Thomann ( Presentation Slides)

• Bounds on the Ruin Probability in a Controlled Risk Model
• M. Dia–sparra, R. Romera ( Abstract Only)

• Extreme Value Analysis for Partitioned Insurance Losses
• J. Henry III, P. Hsieh ( Abstract Only)

• Lundberg–Type Approximations for Defective Renewal Equations: a Heavy–Traffic Perspective
• J. Blanchet ( Abstract Only)

•  Multivariate Phase Variables and Recursion Principles
• K. Eisele ( Abstract Only)

• The Dividends–Penalty Identity and the Optimal Dividend Barrier
• S. Lin ( Abstract Only )