Description: Traditional mean-variance method does not take skewness of the random rate of return into consideration. It only considers minimum variance for a given acceptable rate of return, which limited the probability of obtaining higher rate of return. If the skewness of return for the portfolio is incorporated into model of traditional approach, then the resulting non-linear programing model is not computational efficient, which certainly is complicated. On the other hand, possibilistic programming provides more efficient techniques to solve the imprecision nature of rate of return and also preserves the original linear model.

Description: This is a paper from the session on Life Expectancy Analysis at the January 15-18, 2023, 2023 Living to 100 Symposium in Orlando, Florida.

Description: This paper addresses the evaluation of long-term returns when the short interest rate is modeled by a general diffusion process. By deriving the long-term return dynamics and invoking the Feyman-Kac formula, the long-term return is represented as the solution of a partial differential equation. A finite difference method is derived for the valuation of the long-term return. The method could be used for hedging interest rate risk, pricing and managing interest rate derivatives and interest rate sensitive insurance products. Numerical examples are included.

Description: This paper uses the possibility distribution approach, or fuzzy logic, to estimate the insurance loss amount. A special class of parametric possibility distributions is used to model insurance loss variables. The parameters of the possibility distribution are estimated by combining statistical analysis of sample data and domain knowledge provided by actuarial experts. Insurance premiums are calculated using possibilistic mean and possibilistic variation. Estimation of possibility distribution of aggregate loss amount is also discussed.

Description: This is the abstract of the paper A Space Marching Finite Difference Algorithm for Valuing American. In this paper, the author considers the problem of valuating American options written on assets that pay continuous dividends with unknown optimal exercise boundary. The numerical solution of the associated free boundary value problem is investigated. This research has been partialy supported by the actuarial faculty fund at the Ohio State University.

Description: This paper addresses the stochastic modeling for managing asset liability process. We start with developing a jump-diffusion process for evaluating of the liabilities of the insurance company in general. We then formulate the ALM process into a stochastic control problem. With this approach, we present a Bel|man-Dreyfus Fundamental type formula for ALM process in terms of the solution of a system of algebraic equations and partial differential equations.

Description: In this paper,we present a method which first converges a two dimensional data to a univariate one and then uses the interval censoring technique to estimate the probability of failure of a Joint-life status from a heavily censored data. Our study shows that the life annuities of joint-life status calculated assuming independence overestimates the ones evaluated from an actual sample of population.

Description: Discussion among experts. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: Abstract for the 2008 ERM Monograph paper, “Effective Stress Testing in Enterprise Risk Management”.