Description: In many countries, insurers and banks are separately regulated. In some countries, banks and insurers are not allowed to be part of the same conglomerate and share capital. This raises questions about the efficient use of capital and return on equity to shareholders. This is the abstract of an empirical study that views economic capital from a solvency perspective with the focus on downside risk. The key question addressed is 'What efficiencies, if any, are gained by allowing banks and insurers of different types to merge and thus share capital.' We examine to what degree bank and insurer performances have been correlated historically, especially in the downside tail. This case study is based on Canadian banks, life insurers and property-casualty insurers.

Description: Most discussions of actuarial education focus on 'what actuaries need to know'– the knowledge content. This is akin to discussing say mortality by considering just one relevant factor [perhaps age]. Reflecting on more than a quarter of a century teaching thousands of actuarial students in eight countries across many cultures suggests that a curriculum is much more than a list of syllabus topics and that a realistic model of student learning needs to acknowledge many more factors than just the knowledge content and the 'ability' of the student. This paper summarises what the author has learned about learning. From that basis it identifies some challenges for actuarial educators, especially in the areas of the development of students’ skills, the assessment of students’ learning and the 'shape' of actuarial education. The relationship between universities and actuarial bodies is also discussed.

Description: This abstract summarizes the background for a presentation at the Actuarial Research Conference that describes summer actuarial science programs for minority high school students and the role they have in the profession's diversity efforts. Expanding the number of such programs is explored.

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 abstract describes a paper that presents an analysis of the capital needs, needed return on capital, and optimal reinsurance retention for insurance companies, all within the context of the compound Poisson distribution.

Description: This abstract describes a paper that derives a simple explicit solution for an efficient portfolio with positive weights.

Description: This paper proposes a combinatoric approach to express higher moments of the quadratic variation process in terms of higher order variations of the original process and autocorrelations of the original process.

Description: This abstract describes a paper that implements a lifetime utility model including both GMDB options and term life insurance and allowing the policyholder to optimize both consumption and fund allocation decisions.

Description: This abstract describes a paper that generalizes the Poisson process to a renewal process, especially Erlang (n) renewal processes.

Description: This abstract describes a presentation that shows a study on a long-term disability insurance portfolio under stochastic interest rates.