Description: This is the abstract of the research on the importance of dispersion modeling for claims reversing: application of the double GLM theory presented at the actuarial research conference.

Description: This abstract describes a presentation that describes the Society of Actuaries’ new research strategy and recent research projects.

Description: Reinsurance reduces the required capital of the primary insurer but increases that of the reinsurer. Capital is costly. All capital costs, including that of the insurer and the reinsurer, are ultimately borne by primary policyholders. Reducing the total capital of insurers and reinsurers brings down the total capital cost and the total primary policy premium. A reinsurance arrangement is considered optimal—if it minimizes the total required capital. This optimal reinsurance is an attracting equilibrium under price competition. Evidence suggests an inverse relationship between the total required capital and the correlation between the losses held by different insurers and reinsurers. Examples are constructed to examine this and other properties of the optimal reinsurance.

Description: This abstract explores three central questions as follows: 1) What is the current state of the ERM paradigm, including its boundaries and limitations, especially with regard to extreme events and emerging risk; 2) Is it possible to have a unified ERM "theory of everything", capable of explaining both smaller, localized events as well as trans-boundary risk and emerging risk; 3) Might it be the case that one set of laws applies to localized risk while another (separate and different) set of laws applies to macro-level risks such as extreme events and trans-boundary risk. This exploration is intended to foster dialogue and progression toward a more robust ERM construct.

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 paper that, using data from a major insurer, compares and contrasts several different models for risk assessment, including GLMs, GLMMs, and GAMs.

Description: The abstract for the paper Rationalizing the Security and Ultimate Delivery of Promised Private Retirement Plan Benefits: The Missing Asset

Description: This is the abstract for the paper on what the vital features of an economic scenario generator are.

Description: The abstract for the paper ERM and the Failure of Risk Management: An Asian Perspective.

Description: A recent study sheds light on the measurement and implications of the relationship between increased morbidity and declining disability. The results were not consistent across all populations. This study of the compression of morbidity is part of a wider project called the M-project, led by the four authors, which aims to explore the demographic factors leading to an increase in the adult longevity, investigate the phenomenon called the compression of mortality and develop a new methodological approach to longevity analysis with focus on the modal age at death M.