Description: This abstract describes a paper that provides a quantitative framework in which two risk management strategies are mathematically formulated.

Description: This abstract describes a paper in which two different simulation studies are made for dynamic financial analysis.

Description: Description * This paper proposes a new type of financial derivative named contingent liquidity swap (CLS) to address the liquidity issue. CLS is a swap agreement that the buyer of the swap pays cash in exchange for less-liquid assets in the event of a liquidity event. Those less-liquid assets may include stocks or high-yield bonds. The seller of the CLS makes a series of payments for the contingent liquidity. The payment should be lower than the equity risk premium to reduce the cost of funding but high enough to attract investors.

Description: This paper develops a conceptually rigorous, but practical, approach to estimating risk margins that are consistent with actuary's cost of capital concept.

Description: This abstract describes a paper that looks at the effects of correlation between motor own damage insurance and compulsory motor insurance for Turkey on the insurer’s risk and return profile, the default risk and the ruin probability.

Description: This abstract describes a paper that offers an estimate of Pricing Risk for general insurance risk capital based on a firm’s historical loss behavior as well as current performance.

Description: This abstract describes work that revisits the optimal portfolio model in a financial market with a riskless bond, a risky asset, and commutable life annuities.

Description: This abstract describes a presentation that highlights technological, demographic, cultural, criminal, regulatory, and global market changes that foreshadow threats to marketplace firms’ survival.

Description: This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal strategy but allowing for early surrenders.

Description: This abstract describes a paper that proposes a stochastic population structure model based on the Leslie matrix, in which a Lee-Carter model framework is used to describe the future mortality and fertility changes.

Description: Global financial crises like the one recently experienced, affected both large and small institutions.Today, when there is heightened need for enhanced risk management tools, some entities are unable to employ sophisticated mechanisms due to limited data availability. Moreover, from the Basel Committee on Banking Supervision’s point of view via Basel II and Basel III, the internal ratings- based (IRB) approach requires that institutions have some reliable estimates of default probabilities of default for each rating grade. Taking the work of previous researches a step further, this paper intends to propose a new dynamic mechanism to for the risk management industry for to calculateing probabilities of default (PD). Through these estimates for the core model, we generate implied probability of default (PD) through actuarial estimation tools and different probability distributions. This mechanism is specialized to work best for low- defa ult portfolios (LDPs). Furthermore, scenario testing is adopted to validate the model against any model- specific bias

Description: This paper demonstrates that extreme value theory (EVT) can be used as a tool to model policyholder behavior in the extreme tail. This paper applies EVT to the study of variable annuity dynamic lapse behavior in the extreme tail. It illustrates a process whereby a company can fully model policyholder behavior, including the extreme tail, with existing data. No judgment about the extremal behavior is necessary.

Description: This abstract describes a paper that proposes an integer-valued autoregressive process with dynamic heterogeneity for claim counts to reflect the stochastic effect of past count variables as well as the fluctuation and correlation of the time varying heterogeneity.

Description: This abstract describes a paper that improves upon current multivariate statistical models for predicting the pre-payment rate of reverse mortgages, which are heavily data-driven. The prosposed model extends a semi-Markovian joint-life mortality model to incorporate three main termination modes of reverse mortgages: death, long-term care LTC entry, and non-health related termination.

Description: This abstract is for a paper that explains how to construct the semi-static hedging portfolios with numerical examples

Description: This abstract is for a paper on an insurance company using diffusion approximation to find the optimal dynamic reinsurance retention together with the optimal dynamic investment strategy, to maximize the expected exponential utility at a fixed terminal time or to minimize the ruin probability.

Description: This abstract is for a paper on the study of issues and recent extensions of the classical Lee-Carter model for mortality forecasting, and the application of the Lee-Carter model to life insurance mortality models in the Nordic countries.

Description: This is the abstract of a paper that considers the pricing of equity-indexed annuities using risk measures and presents dynamic hedging strategies underlying these valuations. Since these products involve mortality as well as financial risks, the authors combine the actuarial and financial approaches to protect insurance companies against the unhedgeable mortality risk.

Description: This paper develops the binomial version of the Lee-Carter model and provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort frameworks.

Description: This paper presents recent trends in obesity prevalence in significant population segments, including overall effects by age, gender and certain racial and ethnic groups, and discusses the ways in which obesity can influence mortality in each of these segments. It provides a synthesis of reported mortality experience relating to these behaviors by risk factors and diseases that will affect any mortality projection.

Description: Abstracts from all presentations at the 41st Actuarial Research Conference.

Description: In this article, the author presents a case for using a Risk Return On Capital approach as a way to integrate desirable properties of the Economic Value Added approach and the Return On Risk-Adjusted Capital approach. The EVA approach has a shortcoming in that is does not reflect rating agency capital. The RORAC is computed as the ratio of expected total underwriting return to allocated risk capital, and represents the expected return for both benign and potentially consumptive usage of capital. The RROC approach measures returns after reflecting the mean rental cost of rating agency capital. Returns that are a reward for exposing capital to risk of loss are measured after reflecting the cost of carrying capital to support premium written and loss reserves.

Description: The abstract for the paper Diversification Benefits of the Variable Annuities and Equity-Indexed Annuities Mixture.

Description: The abstract for a paper that describes the history of traditional topics like actuarial cost methods and assumptions, the history of past inquiries into the dynamic and stochastic nature of pension costs, and the perceptions and concerns of pension actuaries of the past. Presented at The Future of Pension Plan Funding and Disclosure symposium held July 14-15, 2005 in Washington, DC.

Description: A case study on starting the actuarial profession in a new location - in this case Kazakhstan.

Description: This is the abstract of a paper about developing a model that will provide insight into the true inherent value of a property-liability insurance company from a market perspective.

Description: This abstract describes research related to Optional Coupon Reinvestment Bonds