Description: This article shares our experience of using the cloud to do large-scale parallel processing and discusses some background regarding the cloud.

Description: This article is a summary of the authors’ two other articles where they discuss pension systems and whether they do in fact distort retirement decisions.

Description: This research report addresses two purposes: [1] to incorporate phase transitions into a copula framework, and [2] to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when a contagion effect exists. Understanding and measuring the effects that contagion has on the probability of defaulting, for both single assets and portfolios of assets, are crucial to collateralized debt obligation [CDO] markets.

Description: We develop a model based on causal mortality in order to better understand inequalities in life expectancy across socioeconomic circumstances.

Description: Traditional pension cost methods are based on the actuarial present value of future benefits [which is a mean value]. As a consequence, these cost methods are deficient because they cannot provide plan sponsors with certain valuable information such as the probability that the accumulation of a particular sequence of contributions will ultimately provide sufficient funds to pay benefits, or the size of fund needed to ensure that retirees' lifetime benefits are paid with a specified probability. In response to these deficiencies, a new family of cost methods, called a-percentile cost methods, is developed. These cost methods are based on the probability of adequately covering all participants' benefits. Expressions for the normal cost, the accrued liability and the gain are provided. From Transactions of Society of Actuaries 1993, Vol. 45.

Description: This work investigates the use of a statistical approach to calculate the incurred but not reported IBNR reserve directly. This allows for the reserve to be estimated in one step, without completion factors, and it provides a confidence interval around the estimate of IBNR as well.

Description: This paper demonstrates the use of Quantile Regression in the development and understanding of conditional value at risk (VaR) models for enterprise risk management.

Description: In calculations involving the distribution of total claims in a risk theory setting, several authors have found it desirable to approximate a risk-theoretic distribution by use of the incomplete gamma function. A recent paper evaluated an excess loss ratio premium by use of a gamma distribution whose first and second moments agreed with those of the risk-theoretic loss distribution. A discussion of that paper pointed out that a translated gamma distribution allowed one to make the approximate distribution agree with the risk-theoretic distribution as far as the first three moments are concerned. The method presented in this paper allows one to make as many moments of the approximate distribution as desired agree with those of the risk-theoretic loss distribution. From Transactions of Society of Actuaries 1966, Vol. 18, Pt. 1, No. 52.

Description: In an effort to build a bridge between epidemiological and actuarial modeling, this paper analyzes possible financial arrangements made against expenses resulted from medical treatments given to insured patients. Based on classical compartment models, the first part of this paper designs insurance policies for susceptible participants facing the risk of infection and formulates the financial obligations of both parties using actuarial methodology. For practical purposes, the second part employs a variety of numerical methods for calculating premiums and reserves. The last part illustrates the methods by designing insurance products for the Great Plague in Eyam and the SARS Epidemic in Hong Kong.

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