Description: This paper develops a new technique, which allows the analyst to maximally use all thte historical interest rate information available in forecasting interest rates. Interest rates' daily change do not follow a stationary random process over long time periods. Instead, the process is comprised of stationary periods, each a few years long, with relatively short transitional periods between different stationary periods.

Description: A presentation at the Actuarial Research Conference in August 2006 in Montreal. This paper discusses the Basel VaR Value at Risk test of a bank's VaR model. It proposes an alternative, Quality Control of Risk Measures QCRM Hypothesis test. The alternative is more likely to reject an incorrect VaR model.

Description: Statistics show that the risk of fatality associated with motorcycle crashes far exceeds that of automobiles hereby Connecticut introduced mandatory motorcycle safety training. This paper develops a unifying framework to quantify the effectiveness of such mandatory programs and to translate this in terms of a possible insurance rate reduction.

Description: The authors introduce an alternative to Tail Contribution Analysis TCA for analyzing business segments and strategies called Economic Profit Analysis EPA. They discuss EPA’s key feature, “volatility replication,” an intuitively appealing process of building investor expectations and capital market information into the risk-and-return measurements used to evaluate strategic decisions. Finally, they illustrate the benefit of using EPA in overcoming the problems of TCA and thereby providing concise reliable information for business decision making.

Description: Presented at August 2011 46th Actuarial Research Conference. This paper focuses on mainly focus on the case in which the risk variable follows a distribution function from a max-domain of attraction.