Description: This is the abstract for the presentation on a multi-name structural credit risk model with a reduced-form default trigger.

Description: This is the abstract for the paper on optimal risk retention under reciprocal reinsurance with exponential utility functions.

Description: This is the abstract for the paper on the application of Esscher transform to the Regime Switching Model.

Description: Recently there have been several studies on the dividend payments prior to ruin in various risk models. By employing some new obtained results in the actuarial literature, this presentation analyzes the distribution of the total dividend payments in a risk model with multi-threshold dividend strategy, where the claim arrivals are modeled by a Markovian arrival process [MAP]. A piecewise integro-differential equation in matrix form is derived and solved analytically for the moments of present value of the total dividends prior to ruin. The presentation also discusses the differences between its method and other existing ones. An example with exponentially distributed claim amounts is illustrated numerically.

Description: This is a stochastic model used to find the distribution of the discounted value of all future cash-flows.

Description: This is the abstract for the paper on a household's life insurance demand - a multivariate two parts model.

Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: Most discussions of actuarial education focus on 'what actuaries need to know'– the knowledge content. This is akin to discussing say mortality by considering just one relevant factor [perhaps age]. Reflecting on more than a quarter of a century teaching thousands of actuarial students in eight countries across many cultures suggests that a curriculum is much more than a list of syllabus topics and that a realistic model of student learning needs to acknowledge many more factors than just the knowledge content and the 'ability' of the student. This paper summarises what the author has learned about learning. From that basis it identifies some challenges for actuarial educators, especially in the areas of the development of students’ skills, the assessment of students’ learning and the 'shape' of actuarial education. The relationship between universities and actuarial bodies is also discussed.

Description: This abstract describes a paper that introduces spatio-temporal models and methods for analysis with specific emphasis on quantities of interest in actuarial science. Generalized additive mixed models are used for the analysis of geographic and temporal variability of mortality rates.