Description: This paper discusses stochastic treatments for insured Long Term Disability [LTD] benefits under a group insurance policy.

Description: The problem of finding the distribution of sums of lognormally distributed random variables is discussed. References going back to the 1930’s are given, as well as some possible solutions. A formula for the characteristic function of one lognormal is stated, and then the moments and distribution of the logarithm of sums of lognormals are considered.

Description: This is an abstract for research that uses change-points to calibrate a regime-switching, scenario generator for the total return of the S&P 500.

Description: This is the agenda for the 43rd Annual Actuarial Research Conference held in Regina, Saskatchewan, August 14-16, 2008.

Description: What is the 'best' post-retirement financial strategy for a particular participant of a defined contribution plan? The answer to this question must accommodate a number of risks, the most obvious of which are related to longevity, inflation, investment, and health. Moreover, what makes this question especially intriguing is that its solution must be molded to the wealth, features and agenda of a particular individual and/or family. Many of the constraints and goals are qualitative, and standard market and population metrics may have limited significance. This is the abstract of a paper that deals with implementation issues, qualitative goals and constraints, and tailor-made solutions.

Description: This is an abstract for research that extends the ideas of C. A. Ball, W. N. Torous and P. M. Lindholdt to the problem of estimating covariance of two geometric Brownian motions, on the basis of the high, low and closing values for each.

Description: This is the abstract of the research on the importance of dispersion modeling for claims reversing: application of the double GLM theory presented at the actuarial research conference.

Description: This is the abstract for the research on robust and efficient fitting of claim severity distributions.

Description: On October 30, 2006, the UK government's Stern Review on the Economics of Climate Change made startling claims about the present value today of climate change effects predicted to emerge primarily 150 years or more in the future. The ensuing debate included challenges to and defenses of the particular methodology used and parameter values selected to perform the discounting of future values. Noticing an overlooked faux pas in the Stern Review, this presentation uncovers the likely motivation for choosing the most mystifying of the parameters values, and provides a lesson on the underpinnings of the basic tool of actuarial science.

Description: This is the abstract for the presentation on the distribution of the total dividend payments in the MAP risk model with multi-threshold dividend strategy.