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The Marginal Cost of Risk, Risk Measures, and Capital Allocation
The Marginal Cost of Risk, Risk Measures, and Capital Allocation This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the ...- Authors: Daniel Bauer, George H Zanjani
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Being or becoming a Society of Actuaries Center of Actuarial Excellence: Challenges and Opportunities
Being or becoming a Society of Actuaries Center of Actuarial Excellence: Challenges and Opportunities This abstract describes a presentation that shares thoughts on being or becoming a Center of ...- Authors: Kristopher K Presler, Samuel Broverman, Ronald Gebhardtsbauer, Warren Luckner
- Date: Dec 2012
- Competency: Professional Values
- Topics: Actuarial Profession>Professional development
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Micro-Level Loss Reserving Models for P&C Insurance
Micro-Level Loss Reserving Models for P&C Insurance This abstract describes study that simulated claims data under different environmental changes and applied a chain-ladder and a ...- Authors: Xiaoli Jin
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities>Reserves - Annuities
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Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations
Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for ...- Authors: Elisabeth Kemajou-Brown
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments
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Ultimate Ruin Probability with Correlation
Ultimate Ruin Probability with Correlation This paper derives exact expressions for the ultimate ruin probability and establishes the effect of correlation on ruin probability using the ...- Authors: Rohana Ambagaspitiya
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Health & Disability>Accident insurance; Health & Disability>Disability insurance; Health & Disability>Health insurance; Life Insurance
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Re-fitting Phase-Type Mortality Model
Re-fitting Phase-Type Mortality Model This abstract describes a paper that considers a Bayesian approach for parameter estimation under a specific PH aging model framework. 6442453294 2/1/2014 ...- Authors: Matt Bartley, Xin Huang
- Date: Feb 2014
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Risk Assessment in Group Health Claims
Risk Assessment in Group Health Claims This abstract describes a paper that, using data from a major insurer, compares and contrasts several different models for risk assessment, including GLMs, ...- Authors: Brian Hartman, Shujuan Huang
- Date: Feb 2014
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Improving Pension Product Design
Improving Pension Product Design This paper develops a pension product that can be offered in a defined contribution pension scheme as a deferred or immediate life annuity. 6442453312 2/1/2014 ...- Authors: Agnieszka Konicz, John Michael Mulvey
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge
- Topics: Pensions & Retirement>Plan design
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On Negative Option Values in Personal Savings Products
On Negative Option Values in Personal Savings Products This abstract describes a paper that demonstrates that option values generally considered to be strictly positive as they provide the holder ...- Authors: Thorsten Moenig, Daniel Bauer
- Date: Feb 2014
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The 48th Actuarial Research Conference Program and Abstracts
The 48th Actuarial Research Conference Program and Abstracts ARCH 2014.1 Table of Contents, 48th Actuarial Research Conference 6442453330 2/1/2014 12:00:00 AM ...- Authors: Society of Actuaries
- Date: Feb 2014