Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

Description: This abstract introduces the paper that demonstrates that marital status has as much influence on rates of human mortality as the better known factors of gender and smoking habits. The validity of various explanations is examined.

Description: This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements.

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.

Description: Abstract for the paper which gives a unified approach to modern credibility models by using the theory of estimating functions.

Description: This is the abstract of a paper that deals with a recent modification of the Monte Carlo method known as quasi random Monte Carlo. Under this approach, one uses specially selected deterministic sequences rather than random sequences as in Monte Carlo. These special sequences are known as low discrepancy sequences and have the property that they tend to be evenly dispersed throughout the unit cube. For many applications in finance, the use of low discrepancy sequences seems to provide more accurate answer than random sequences.

Description: This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous claim. From the Actuarial Research Clearing House, 2008, Vol.1.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: This is the abstract of a paper in which the authors develop sixteen separate mortality models based on the current SOA mortality data being used for the preferred life study. The models are constructed using projection pursuit regression. The sixteen models arise from all combinations of sex, smoker status, select and ultimate status, and per life vs. per dollar mortality rates. In general the models confirm the following four facts: 1 Mortality rates increase as attained age increases. 2 Mortality rates increase as duration increases. 3 Mortality rates decrease as Face Amount Bands increase. 4. Mortality rates decrease if preferred underwriting is present.

Description: This abstract describes a paper that investigates the effect of ambiguity on the market for insurance when preferences are ordered by comparison of Choquet expected utilities.