Description: Presented at Living to 100 symposium, January 2011. This paper adapts New Zealand Maori and non-Maori population mortality data to reflect differences in socio-economic status. This adapted data is used as a basis to explore the implications of differential mortality in assessing the equity of increase in the pension age of eligibility.

Description: Presented at Living to 100 symposium, January 2011. Using data from Social Security's Death Master File, this study shows that mortality deceleration in humans observed at advanced ages may be an artifact caused by age exaggeration, data heterogeneity or use of improper estimates of hazard rate. The phenomenon of mortality deceleration at older ages vanishes for datasets of higher data quality.

Description: 2011 SOA Enterprise Risk Management Symposium, Chicago. The stated purpose of this paper is to consider whether a more comprehensive and timely measurement framework for risk exposure is now needed and to examine one possible approach. This paper proposes a new approach to risk measurement that, along with capital measurement and more rigorous oversight, will allow banks an ability to manage risk.

Description: The abstract for the paper Property/Casualty Insurer Economic Capital Using a VaR Model.

Description: This paper sets the task of pricing insurance products in the larger framework of company planning and management. A generalized description of the pricing function, applicable to any insurance company project.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This study investigates whether simulation-based models can be used to predict liquidity risk for banks, which must comply with Basel III by January 2015. The paper looks at the process of developing a measurement framework using Black-Scholes and Merton’s asset-based models to measure liquidity risk.

Description: The purpose of this paper is to build a bridge between the traditional methods of looking at financial risk and insurance risk. The paper starts by explaining the concepts behind VaR models of economic capital used in banking. Differences between actuarial and financial views of risk are reviewed and explained. The paper concludes with proposing, developing, and parameterizing a true VaR model of insurance loss reserve risk, which combines several lines of business. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This paper discusses whether the use of relatively risk-free discount rates are appropriate under assumptions of substantial continuation of plan design and greatly increasing per capita payments, when the plan sponsor can dramatically change future cash flows. From Current Pension Actuarial Practice in Light of Financial Economics Symposium, M-RS04-1.

Description: Diabetes mellitus type 2 is an excellent model for assessing the setup of medical coverage in the U.S. health care system. It is a chronic disease that has genetic, behavioral and other medical causes, and causes many complications over the long term. From Financing Chronic Care Monograph, M-HB05-1.

Description: Discussion of papers presented at Living to 100 and Beyond symposium. Papers discussed: 'Dealing with Problems in Data Quality for the Measurement of Mortality at Advanced Ages' in Canada by Bourbeau and Desjardins, 'Mortality at Advanced Ages in Spain' by Felipe and Anguera, and 'Emergence of Supercentenarians in Low Mortality Countries' by Robine and Vaupei. These papers all deal with centenarians.