Description: This article deals with enterprise risk management and how the techniques contained within the discipline can help prevent unforeseen large mistakes in strategy, product design, and product management

Description: This paper considers the Bayesian analysis of the generalized Poisson distribution GPD and the generalized Poisson regression GPR model. Markov chain Monte Carlo MCMC methods and random variety generation strategies such as adaptive rejection sampling ARS for log-concave densities and adaptive rejection Metropolis sampling ARMS are discussed and then utilized in order to advance the Bayesian analysis of these generalized Poisson models.

Description: Appendix to the Critical Review of Stochastic Simulation Literature and Applications for Health Actuaries. The Development of a Simulation Model of Primary Prevention Strategies for Coronary Heart Disease

Description: Discussion of the movement toward principle-based reserves for LTC insurance.

Description: This paper examines some new Bayesian models for loss reserving inspired by a consideration of some of the methods and techniques appearing in the traditional chain ladder literature. This includes a possibly order restricted hierarchical Bayesian model for the year over year development factors. The issues of reserve variability and ranges of reasonable reserve estimates are considered. A new Bornhuetter-Ferguson styled Bayesian method of estimate revision is also discussed. These Bayesian models can be implemented using Markov chain Monte Carlo MCMC methods in a variety of programming languages, and can serve as starting points for more advanced models. This paper describes their implementation in WinBUGS a specialized software program for MCMC simulations. Illustrative WinBUGS code is included.

Description: This article investigates the simplicity of the Balducci hypothesis, and compares the fractional-age death probability given by three widely used assumptions: uniform distribution of deaths, the Balducci hypothesis, and constant force of mortality [1, 2].

Description: In this paper, we derive three important longevity Greeks on the basis of an extended version of the Lee-Carter model that incorporates stochastic volatility.

Description: This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life insurance reserves is presented.

Description: This is authors' Fellowship Credit Research Paper. This paper will develop a model for cash flow testing traditional participating insurance that utilizes pricing tools and assumptions to project reserve liabilities. The model makes use of finance and accounting tools to monitor the reasonableness of ending and intermediate surplus results that emerge under the various interest rate scenarios imposed.

Description: Statistical properties of interest, annuity and insurance functions are examined when mortality and interest are treated as having a random component. Several special models of interest rate fluctuation are examined in detail. It is hoped that such theory will be useful in developing fluctuation reserves and premium margins. Presented at the 13th Annual Actuarial Research Conference, Ball State University, August 31st. September lst, 2nd. 1978.