Description: This is a stochastic model used to find the distribution of the discounted value of all future cash-flows.

Description: Many insurers preparing market consistent financial statements encounter the issue of developing volatility assumptions for equity options and guarantees that are longer than any observable market data. This presentation develops a generalization of the classical Black Scholes option pricing model that is consistent with the European CRO Forum's framework for valuing non-hedgeable risk. The presentation argues that, with reasonable parameter choices, the model fits observed volatility surfaces well enough that it can be used to estimate implied volatilities where no market data exists.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: This abstract describes a paper that introduces spatio-temporal models and methods for analysis with specific emphasis on quantities of interest in actuarial science. Generalized additive mixed models are used for the analysis of geographic and temporal variability of mortality rates.

Description: This abstract describes a paper that studies Gerber-Shiu functions and dividend payments in an insurance risk model driven by a spectrally negative Levy process of bounded variation.

Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: Presented at August 2011 46th Actuarial Research Conference. Compression methods improve model run time. This talk discusses compression features, trade-offs, validation, and recommended practice.

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

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: Technical paper on how to efficiently perform scenario testing for principle-based approaches.