Description: When fitting a model to any data, there is some uncertainty about which model is best. Green [1995] quantifies this uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method in a regime-switching situation, the chain determines the optimal number of regimes by jumping between various possibilities. This method gives each model its posterior probability of being the best. After an overview of the methodology, the authors apply it to various datasets and discuss the applications in modern actuarial science.

Description: Presented at August 2011 46th Actuarial Research Conference. This paper focuses on mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction.

Description: A study of the effect of random interest rates on life insurance programs and on annuities both certain and non-certain. This is done under several assumptions on the stochastic structure of the interest rates.

Description: This paper presents a model for analyzing the impact of underwriting cycles on an insurer’s surplus. The model allows the insurer to vary its security loading in response to the cycles, with a strategy parameter that indicates the extent to which the insurer follows the loading which prevails in the market. The insurer’s claim rate is also allowed to vary to reflect exposure changes that result from the insurer’s strategy. The paper analyzes ruin probabilities using both simulation and a Lundberg-type upper bound which is developed in the paper. It finds that the latter is suitable and convenient for comparing ruin probabilities under the different insurer strategies.

Description: The Joint Risk Management Section is trying to develop better estimates of policyholder behavior in the tail [PBITT]. The mission of the PBITT working group is to examine and ultimately give guidance to actuaries on how to set policyholder assumptions in extreme scenarios. As part of its work, the PBITT working group issued its sixth survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits. This document contains the results of that survey.

Description: Studies default risk through the two-sided exit problem of a time-homogeneous di§usion process with tax payments of loss-carry-forward type and obtains explicit formulas for the exit probabilities. If the lower boundary is understood as the default threshold, then the nondefault probability is solved as a special case. A sufficient and necessary condition for the tax identity is discovered.

Description: Discusses smaller company issues: retention limits policies, choosing type of company to reinsure with and basis for reinsurance, use of catastrophe and stop-loss coverages, and simplified reinsurance administrative methods.

Description: These are discussion papers on the paper, 'Ordinary Life Insurance Limits' by Edward A. Dougherty, which dealt with issue limits and reinsurance retention limits in life insurance.

Description: This is presentations slides summarizing the many concepts presented in the research paper. “When Black Swans Aren’t: Holistically Training Management to Better Recognize, Assess, and Respond to Extreme Events”, by Guntram Fritz Albin Werther and Thomas Herget.