Description: This presentation introduces the Threshold Life Table as a solution to the problem of modeling mortality for extreme ages. This method is based on extreme value theory, and it avoids the need to extrapolate beyond an arbitrary age. This method produces an omega, the highest attainable age, without it being chosen arbitrarily.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: The panel demonstrates a technique that can help set confidence intervals regarding future rate increases used to satisfy the NAIC rate stabilization model. Specific topics include creating a stochastic model, deciding which variables are deterministic vs. stochastic, developing probability distributions for the stochastic variables, running the model and evaluating the reasonableness of results. From the Record of the Society of Actuaries, Volume 30, No. 1, Session 21

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: Presentation from the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, Canada. Fuzzy set theory is incorporated into times series analysis, giving fuzzy parameter estimates of models such as ARMA and GARCH. Examples are given, including returns on a stock and option valuation.