Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: This abstract describes a paper that implements a lifetime utility model including both GMDB options and term life insurance and allowing the policyholder to optimize both consumption and fund allocation decisions.

Description: This abstract describes a paper that generalizes the Poisson process to a renewal process, especially Erlang (n) renewal processes.

Description: This abstract describes a presentation that shows a study on a long-term disability insurance portfolio under stochastic interest rates.

Description: This paper focuses on portfolios of exposed properties at risk of loss from natural perils such as wind and earthquake in the context of property/liability insurance.

Description: This abstract describes a paper that considers an alternative way of estimating distribution parameters for nonnegative random variables.

Description: This paper proposes weighted fund style analysis as a better method to hedge market risks of variable annuities.

Description: This presentation uses the value-based asset liability management framework to compare the risk-adjusted value of the benefits payable to each cohort.

Description: A critical step in valuing a company for the purpose of financial reporting is the computation of the market value of economic surplus (MVES). This article provides a novel approach to the valuation of MVES that is stable and reasonably immune to “market noise.” Current approaches to the calculation of economic surplus of an insurance company generally define such surplus as the market value of the assets (MVA) supporting the liabilities less the market value of liabilities (MVL). While MVA is observable in the market, MVL is typically computed directly, without regard to the underlying supporting assets. Subtracting MVL from any value of assets that changes with market movements results in an unstable surplus. Consequently, a surplus that is not fully reflective of market sentiment has been rejected by many. This same approach is further used in the calculation of market consistent embedded value (MCEV) when a balance sheet approach is used .

Description: This article is an update, as of September 2019, on projects in process and those recently completed.