Description: “Many commentators have suggested that firms need to do stress tests to examine their vulnerability to adverse situations that are not within the data set used to parameterize their risk models. We suggest the adop¬tion of a terminology to describe stress tests and also a meth¬odology that can be adopted by any risk model user to test and communicate a test of the stability of model results.”

Description: David shares his thoughts on using Microsoft's High Performance Computing Server, or HPCS, to cluster computer resources, improve timely performance, and reduce actuarial modeling costs.

Description: This paper discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including Lundberg's fundamental equation.

Description: Using data from the Mexican Social Security Institute for labor risks, this paper classifies the severity of sequels in three categories: mild, moderate and high, and attempts to relate this level with the characteristics of the worker and his activities at work. Toward this goal, a model was built using a multilogistic regression, which allowed predicting the severity of physical sequels caused by a labor risk. From Actuarial Research Clearing House, 2006.

Description: This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized linear mixed model GLMM. It shows how credibility depends on the sample size, the distribution of covariates, and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.

Description: This paper critiques and supplements Professor Schuette's 'Linear Programming Approach to Graduation.' The main points are: 1. The graduation is a problem of estimating the mean vector of a multivariate variable under certain assumptions. Schuette and other discussants emphasized the robustness property of their proposed estimation. This paper points out their mistake and suggests some correcting directions based on Bayesian theory. 2. This paper provides a more complete theoretical rationale for the parameter choosing in the graduation problem. 3. This paper points out the incompleteness of a theorem's proof in Schuette's paper and supplements some interpretations and mathematical details for the proof of some other theorems from a different viewpoint.

Description: This presentation shows that, if the options or guarantees are exercisable only at the moment of death of the policyholder, the mathematics simplifies to an elementary calculus exercise.

Description: This article provides an overview of the commonly used structural credit risk modeling approach that is less familiar to the actuarial community.

Description: This article talks about the role that models played in the subprime meltdown and the subsequent crisis in the financial markets in general. The models failed to provide information about the magnitude of potential 'black swans'. Extreme Value Theory [EVT] is described as a potential solution to this error.

Description: The Delphi Method is discussed in detail. The method attempts to filter out the consensus bias that can result from societal forces by employing a technique whereby an anonymous collection of opinions is used, supplemented by feedback loops that can be used to influence outcomes.