Description: This report looks at identifying drivers of systemic risk to China’s insurance industry and develops a measurement method for systemic risk as well as systemic risk dependence between the insurance industry and other industries.

Description: 2022 Generally Recognized Expense Table (GRET) recommendations.

Description: This report discusses management decision making practices and the need for actuaries to build the appropriate level of variability for management actions in stochastic models to achieve a more realistic range of future experience among the stochastic scenarios.

Description: This report summarizes available data from the research Mortality by Socioeconomic Category in the United States.

Description: 2023 Generally Recognized Expense Table (GRET) recommendations.

Description: This paper represents a brief progress report on research, being sponsored by the Casualty Actuarial Society and the Society of Actuaries, in the area of modeling of economic series. In particular, research is being undertaken to provide a foundation for the actuarial community’s modeling of a variety of economic variables, including interest rates, equity returns, inflation, unemployment rates, and real estate price levels. The specific objectives of this research are to provide a summary of the literature in the area of economic scenario modeling, identify data sources and methodologies in this area useful to the actuarial profession, and produce working software for economic modeling, including appropriate documentation, to be made available to the general actuarial community in order to allow actuaries to use and build upon this research. From Actuarial Research Clearing House 2004, Vol. 1.

Description: This paper studies a smoothing spline Poisson regression model for the analysis of mortality data. From Actuarial Research Clearing House 2006, Vol. 1.

Description: In the context of reinsurance, this paper addresses finding the quota share retention level and the retention limit, with a diffusion process being added to the claim process, that maximizes the adjustment coefficient in the Sparre Anderson model. From Actuarial Research Clearing House, 2006.

Description: This paper discusses a natural and convenient statistic, the nested L-statistic, investigates its performance using a simulation study, and considers an example involving the comparison of risk measure values where the risks of interest are those associated with tornado damage in different time periods and different regions. From the Actuarial Research Clearing House, 2008, Vol.1.

Description: This is the abstract of a paper that presents an iterative procedure for computing the lower approximation of the Snell envelope - a value process of the American option. The method produces an increasing sequence of approximations of the Snell envelope from below, which coincide with the Snell envelope in discrete time after finite steps. Advantages of this method compared with other well-known traditional approaches are discussed first. Then, elaborate algorithm details associated with theoretical proofs are discussed. An example of constructing the lower approximation is available with numerical results, which are demonstrated in figures. Some characteristics of the implementation in the computational environment and an improvement are mentioned at the end.