Description: This paper demonstrates the calculation of the moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that each record represents an independent Bernoulli trial with its own known probability of a claim, q. Continuous distributions matching the first three or four moments are identified.

Description: Abstract for the 2008 ERM Monograph paper, “Estimating Mortality Risk Using Predictive Modeling”

Description: SOA Taxation Section membership trends and 2018 Survey Results

Description: Article recapping prizes for the five best presentations given by graduate students at the 43rd annual ARC.

Description: Expert discussion of three previous papers: Makeham-Type Mortality Models Mumpar-Victoria, An Extreme Value Analysis of Advanced Age Mortality Data Robertson, and Living to 100 and Beyond: An Extreme Value Study Han. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: As a life reinsurer, understanding mortality risk is mission critical. Superior models of mortality risk lead to more competitive pricing in profitable market segments and more efficient use of capital. Surprisingly, modern statistical tools such as predictive modeling have not previously been used to model mortality data to gain this edge. In this paper, we present the use of a predictive modeling technique called projection pursuit regression PPR to model mortality data. We first describe the process of creating a PPR model using inter-company mortality data collected by the Individual Life Experience Committee of the Society of Actuaries, and present the resulting model. We then discuss the process of using this model as a starting point for creating a more detailed PPR model of internal company mortality data.

Description: This is the abstract of a paper in which the authors develop sixteen separate mortality models based on the current SOA mortality data being used for the preferred life study. The models are constructed using projection pursuit regression. The sixteen models arise from all combinations of sex, smoker status, select and ultimate status, and per life vs. per dollar mortality rates. In general the models confirm the following four facts: 1 Mortality rates increase as attained age increases. 2 Mortality rates increase as duration increases. 3 Mortality rates decrease as Face Amount Bands increase. 4. Mortality rates decrease if preferred underwriting is present.

Description: This abstract describes a paper that demonstrates the calculation of parameters for a Gamma-Exponential Mix distribution with moments matching the first three moments of the expected claims by amount for an arbitrary portfolio of life insurance policies.

Description: Full version of Risks and Rewards Newsletter, October 2003, Issue No. 43.

Description: Chairperson's column for the October 2020 issue of Taxing Times with thoughts on the effects of COVID-19 on the Taxation Section.