Description: This is the abstract for the presentation on optimal allocation between fixed and variable subaccounts in variable annuities.

Description: This is the abstract for the presentation on modeling joint lifetimes.

Description: This is the abstract for the presentation on an empirical-based approach to optimal reinsurance.

Description: This abstract describes a paper that develops a method to estimate the two parameters of the discrete stable distribution.

Description: This is an abstract for a research paper that compares the generalized linear array model [GLAM] and Lee-Carter models by fitting them to Swedish mortality data. GLAM is presented as an alternative to Lee-Carter for modeling mortality by age and calendar year.

Description: Reinsurance reduces the required capital of the primary insurer but increases that of the reinsurer. Capital is costly. All capital costs, including that of the insurer and the reinsurer, are ultimately borne by primary policyholders. Reducing the total capital of insurers and reinsurers brings down the total capital cost and the total primary policy premium. A reinsurance arrangement is considered optimal—if it minimizes the total required capital. This optimal reinsurance is an attracting equilibrium under price competition. Evidence suggests an inverse relationship between the total required capital and the correlation between the losses held by different insurers and reinsurers. Examples are constructed to examine this and other properties of the optimal reinsurance.

Description: Ways for management to measure, integrate and use Enterprise Risk Management (ERM) information to analyze, compare, discuss, and monitor risks such that appropriate risk management decisions can be made.

Description: Financial regulators, rating agencies and many commentators have blamed weak Risk Culture for many of the large losses and financial company failures of the past decade. But their exposition regarding a strong Risk Culture only goes as far as describing a few of the risk management practices of an organization and falls far short of describing the beliefs and motivations that are at the heart of any culture. This discussion will present thinking about how the fundamental beliefs of Neo Classical Economics clash with the recommended risk practices and how the beliefs that underpin Enterprise Risk Management are fundamentally consistent with the recommended risk management practices but differ significantly from Neo Classical Economics beliefs.

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: 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.