Description: This paper reports on a detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives. It considers mortality improvement in the context of life insurance -as opposed to annuities - where any allowance for improvement represents a less prudent approach than assuming current mortality rates continue.

Description: A detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives conducted by the Institute for Quantitative Finance and Insurance.

Description: “In this session, the presenters will share with you the industrial practice for constructing the mortality table from 0 to 1. It covers the journeys in both Hong Kong and Singapore and summarize the key takeaways from these journeys. Besides, the speakers will share with you their biggest challenge during their process, how they resolve this, and address the most common technical issues faced in conducting the mortality tables. Any fellows interested in these topics are most welcome.“

Description: In this paper we investigate three investment-consumption problems for a risk averse investor: i an investment only problem that involves utility from only terminal wealth, ii an investment-consumption problem that involves utility from only consumption, and iii an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investment consumption strategies to these problems are derived. Some economic implications on these results are also discussed.

Description: This abstract describes a paper that considers the pricing in a non-competitive market and models the pricing process as a bargaining game.

Description: This presentation provides evidence that a decline in interest rates in the negative interest rate environment produces a much more serious consequence on life insurers than that in the positive interest rate environment.

Description: Full version of Risk Management, July 2005, Issue No. 5.

Description: This report focuses on analyzing and managing climate change and carbon risk in the equity investment portfolios of insurance company and pension fund assets.

Description: This report predicts farm-level crop yield distributions in the absence of farm-level yield data.

Description: This report proposes a methodology to isolate crop yield improvement due to technological change and favorable and unfavorable weather.