Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: The results obtained during the last one-third of the research project and the project at whole are presented. The report only contains brief descriptions of the results which are placed in addendums and which are in reality copies of papers and a chapter of a book submitted for publication. Some theoretical and applied problems induced by the research are discussed.

Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: This is a report on Phase 2 of a research project on the role of automated systems in life insurance underwriting. This paper discusses: 1. How and why companies are using automation to make underwriting decisions. 2. Its impact upon operational efficiency, sales, and retention. 3. The quality of risk selection produced by automated systems. 4. Cultural acceptance of increased automation in underwriting. 5. Challenges insurers must overcome to implement and maintain automated underwriting.

Description: This paper reports on the findings of a working group established in 1999 by the SOA's Finance Practice Area to look at how the insurance industry measures and monitors risk through risk position reporting. Also the working group established industry standard practices in risk position reporting and reported on a number of areas for possible improvement in such reporting.

Description: The Society of Actuaries' Pension Section and Health Section Research teams commissioned Professor Thomas E. Getzen of Temple University to construct a resource model for the projection of long term healthcare cost trends. The motivation for creation of the model was driven by its potential usage as a resource for the estimation of reportable liabilities for retiree healthcare benefits as specified under FAS 106 and GASB 45 accounting statements. This model, programmed in Microsoft Excel [xlsx format], projects per-person expenditures and growth rates through 2099 using a set of equations and assumptions developed by Professor Getzen with assistance from the Society of Actuaries Project Oversight Group appointed to oversee the effort. The model includes baseline assumptions as well as flexibility for user–inputted alternative assumptions.

Description: The Group Life Insurance Experience Committee of the Society of Actuaries has completed the 2005 Group Term Life Waiver Reserve Table Report. There were several compelling reasons to develop a new experience study and table, not the least of which was that 35 years is a long interval for any study. This is the excel Calculation Spreadsheet for Reserve Factors for Group Term Waiver of Premium [NAIC version]. Please see the SOA website for the Report of the Group Life Experience Committee for March 2006.

Description: This research report examines the ban of the use of genetic testing information in life insurance mortality.

Description: This literature review provides insights on emerging technologies that interact with the actuarial profession within the space of microinsurance for the purpose of establishing a frame of reference for actuaries to use in their work. Furthermore, it intends to spark readers’ interest in, and create a vision for, how microinsurance and its associated technologies may impact the actuarial industry in the future.