Description: A recent study sheds light on the measurement and implications of the relationship between increased morbidity and declining disability. The results were not consistent across all populations. This study of the compression of morbidity is part of a wider project called the M-project, led by the four authors, which aims to explore the demographic factors leading to an increase in the adult longevity, investigate the phenomenon called the compression of mortality and develop a new methodological approach to longevity analysis with focus on the modal age at death M.

Description: The abstract for the paper Rationalizing the Security and Ultimate Delivery of Promised Private Retirement Plan Benefits: The Missing Asset

Description: A frustrating aspect of pension funding rules for U.S. plan sponsors is that contribution requirements are adversely correlated with business cycles. For example, not only did plan sponsors get hit with large contribution requirements in the perfect storm of the early 2000s, but many sponsors were prohibited from contributing in the late 1990s boom due to full funding limitations. This is the abstract of a paper that proposes that plan sponsors be allowed to contribute the normal cost as a deductible contribution each year. In hindsight, this would have allowed plan sponsors to pay for benefits as they accrued in the late 1990s and ultimately mitigated some of the crash of the early 2000s. The authors aim to demonstrate that a contribution policy allowing contributions to be at least equal to the normal cost will result in less volatility of contributions and improve the funded status over time.

Description: This is the abstract of the paper 'Pricing of Credit Derivatives'. This talk will give an overview of current pricing techniques. We first show how to build a credit curve. A credit curve gives the instantaneous default probability of a party at any time in the future. It is as important to credit derivative pricing as the yield curve is to fixed income derivative pricing.

Description: Diverse Risks 2016 Call for Essays

Description: This is the abstract of the paper 'A Stochastic Definition of Future Shares'. The traditional definition of actuarial future values and stochastic definition of Ramsay are discussed. A modification of Ramsay's definition is proposed and an application to life insurance reserves is presented.

Description: The abstract for the paper A Comprehensive Defined Benefit Pension Plan Reform Proposal

Description: These are the abstract and reference of the paper 'Bounds on Multiple Contingent Claims'. Lo considered the problem on bounding a European option on a single asset. He obtained an upper bound on the payoff of the European call in terms of the mean and variance of the underlying asset. In this talk, we extend Lo's result to the multi-asset case. Unlike the one asset case, the correlations between the assets play an important role and have to be taken into consideration.

Description: This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical Finance. This paper introduces and illustrates a new version of the Monte Carl method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations.

Description: This is the abstract of the paper Minimum Quadratic Distance Estimators for the Zeta Parametric Family. In this paper, we propose a new estimator, based on quadratic distance, asymptotically fully efficient for parameter values greater than 2 and highly efficient for smaller values, but computationally more appealing than the maximum likelihood estimator we compare its asymptotic variance with that of the moment estimator and an estimator proposed by Seal, based on the ratio of the observed frequencies of the first two classes. We also discuss a goodness-of-fit test and a test to discriminate between the zeta distribution and the Poisson distribution truncated at 0.