Committee on Knowledge Extension Research [CKER]

This section contains the results of research projects and studies that were funded by the Committee on Knowledge Extension Research (CKER). Projects are selected through an open topic annual grant competition. These studies tend to be more theoretical in nature and have application to many different practice areas. Projects usually conclude with publication in a peer reviewed journal. We encourage you to browse throughout these diverse topics.


Aging & Post-Retirement

Disability

General Insurance

  • Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks
    Lei Hua, Ph.D, ASA; Michelle Xia, Ph.D; and Sanjib Basu, Ph.D.
    The researchers proposed an innovative approach for modeling spatial dependence among losses from various geographical locations.
  • Estimating the Probability of a Rare Event via Elliptical Copulas
    Liang Peng, Ph.D.
    The researcher modeled and predicted multi-dimensional rare events by combining volatility models and tail copulas.
  • Robust and Efficient Methods for Credibility  
    Vytaras Brazauskas, Ph.D.
    The researcher developed an ensemble of improved data-analysis procedures, which offer various trade-offs between robustness and efficiency. Practical guidelines regarding the choice of appropriate robustness-efficiency trade-off in applications were established.
  • Toward a Unified Approach to Fitting Loss Models  
    Stuart Klugman, Ph.D., FSA and Jacques Rioux, Ph.D., ASA
    The researchers extended the results of Clive Keatinge's paper," Modeling Losses with the Mixed Exponential Distribution". The paper is published in the North American Actuarial Journal, January 2006, Vol. 10, Issue 1.
  • Credibility Using Copulas
    Edward(Jed) Frees, FSA, MAAA, Ph.D. and Ping Wang, Ph.D.
    The researchers developed a direct link between credibility and loss distributions through the notion of a copula, a tool for understanding relationships among multivariate outcomes. The paper was published in the April 2005 NAAJ.
  • Contaminated Expotential Dispersion Loss Models
    Professor Udi E. Makov and Professor Zinoviy Landsman
    The research develops families of contaminated exponential dispersion loss models and examined their theoretical properties and applicability to real heavy tailed loss data. It was published in the April 2003 NAAJ.
  • Robust and Efficient Fitting of Loss Models  
    Dr. Robert Serfling
    The researcher developed estimators which are both efficient and robust. The results are published in the October 2002 NAAJ.
  • Credibility and Equity
    Dr. Virginia Young, FSA and Dr. S. David Promislow, FCIA,FSA
    Investigated the relationship between credibility and equity and answered such questions as, "How does an actuary, faced with unkown risks, use claim data to arrive at the most equitable premiums?" The paper was published in the Scandinavian Actuarial Journal, Volume 2000, Number 2/September 2000.
  • Pricing Decisions in Insurance: A Fuzzy Logic Approach
    Dr. Virginia Young, FSA
    The project researches how an actuary can use fuzzy logic to make pricing decisions that consistently consider supplementary data. Dr. Young's results can be found in the following two papers:" Adjusting Indicated Insurance Rates: Fuzzy Rulesthat Consider Both Experience and Auxiliary Data ," Proceedings, Volume LXXXIV, 1997, Casualty Actuarial Society and " Insurance Rate Changing: A Fuzzy Logic Approach,"Journal of Risk and Insurance, September 1996, Volume 63, Number3.
  • A Longitudinal Data Analysis Interpretation of Credibility Models (1998)
    Edward A. Frees, FSA, Ph.D., Yu Luo, ASA and Virginia R. Young,FSA, Ph.D.
    Published in Insurance: Mathematics and Economics, Volume 24,Issue 3 (28, May 1999)

Finance

Health

Life, Mortality, & Longevity

Long-Term Care

  • Development of Educational Material Related toActuarial Modeling (2000)
    Bruce Jones, FSA, Ph.D.
    The completed project, "Modeling Policyholder Outcomes under a Disability Income-Type Long-Term Care Insurance Policy," was an extension of An Introduction to Actuarial Models and Modeling: An Interactive Approach (IAMM) and has been incorporated on the SOA Course 7 syllabus.

Pensions

  • Is the Cost Method of the Canada Pension Plan Suitable for Adoption by Other Countries?
    Doug Andrews, FSA, FCIA, FIA, CFA
    The researcher reviewed relevant literature, developed actuarial principles for a sound funding method of a partially funded SSRS and specified an approach for determining if a funding method is sound.
  • The Effect of Pillar 1 on Efficient Investment Portfolio Choice in the Case of the United States
    Krzysztof Ostaszewski, MAAA, FSA, CERA
    The researcher considered the U.S. Social Security system as a part of capital markets, by asking how a person’s optimal investment portfolio is affected by the existence of the Social Security System.
  • Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment
    Spyridon Vrontos, Ph.D; Ioannis Vrontos, Ph.D. and Loukia Meligkotsidou, Ph.D.
    The researchers addressed the issue of time-varying variances and co-variances of pension fund returns and gave focus on their potential impacts to pension fund portfolio construction and risk measurement.
  • Mortality Improvement Cohorts and the Effect on the Annuities Market and Social Security System in the United States
    Krzysztof Ostaszewski, Ph.D., M.S., MAAA, FSA
    In response to mortality improvement, the researcher studied special cohorts and correlations among them in various countries and their effect on prices of retirement instruments.
  • Transferring the Financial Risks of Retirement
    William Leslie, FSA, MAAA
    The researcher developed an educational model that conveys therisks and rewards of various strategies concerning assetperformance and longevity. The project resulted in a Beta version of the Retirement Income Calculator software.
  • Valuation of Equity-Indexed Annuities under Stochastic Interest Rates
    X. Sheldon Lin, ASA and Dr. Ken Seng Tan, ASA
    This paper considers the pricing of equity-indexed annuities.It was published in the October 2003 NAAJ.
  • Modern Modeling Technologies for Pension Actuaries
    Dr. Arnold F. Shaprio, EA, FSA, MAAA, MSPA
    Several articles published in ARCH were a result of the research which investigated the role of modern modeling technologies for the pension actuary.
  • Is Social Security a Regressive System?
    Dr. Robert L. Brown, ACAS, FCIA, FSA
    This paper analyzes both the Old-Age, Survivors, and Disability Insurance (OASDI) system of the US and Canada/Quebec Pension Plans(C/QPP) to determine whether these systems are "a good deal" and whether they are regressive or progressive. The paper was published in the October 1998 NAAJ.
  • The Analysis of CCRC Data
    Dr. Bruce Jones, FCIA, FSA
    Because continuing care retirement communities (CCRC) pose an interesting challenge to actuaries the researcher presents an approach to analyzing CCRC data and demonstrates the methodology by using data from a CCRC. The paper was published in the October 1997 NAAJ.
  • Methodology to Deal with Dependencies on Multi-Life Risks
    Dr. Edward (Jed) Frees, FSA, Dr. Jacques Carriere, ASA and Dr.Emiliano Valdez, FSA
    By discussing a broad class of parametric models using a copula the paper, Annuity Valuation with Dependent Mortality, which was published in ARCH, 1995.1, investigates the use of models of dependent mortality for determining annuity values.
  • The Management of De-Accumulation Risks in a Defined-Contribution Environment (2002)
    Russell Gerrard, Ph.D., Steven Haberman, FIA, Ph.D., and ElenaVigna, Ph.D.
    To provide a tool for finding the optimal investment and/orconsumption choices in defined-contribution pension schemes in the decumulation phase, when the income drawdown option is taken by the pensioner. The paper was published in the North American Actuarial Journal, January 2006, Volume 10, No. 1.
  • Forecasting Social Security Actuarial Assumptions (1998)  
    Edward A. Frees, FSA, Ph.D., Yueh-Chuan Kung, Ph.D., Siu-WanLan, ASA, Ph.D. Marjorie A. Rosenberg, FSA, Ph.D. and Virginia R.Young, FSA, Ph.D.
    Published in the October 1997 NAAJ.

Predictive Analytics

Risk Management