Description: Presented at August 2011 46th Actuarial Research Conference. Discussion of research in progress which examines and validates the use of PRIDIT as a hospital quality measure. PRIDIT is an unsupervised learning technique developed as a fraud detection method.

Description: This was a presentation of ACO efforts around the U.S. with great website links to resources, geared to actuarial consultants for employers. From May 2012.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: This presentation discusses the use of Conditional Tail Expectation CTE as an alternative to other pension valuation methods.

Description: Presentation at the 41st Actuarial Research Conference held on August 10-12, 2006 in Montreal, QC. This paper considers the problem of extending regime-switching models for asset returns to the situation with multiple asset markets. The conditional tail expectation CTE is highly sensitive to the assumed dependence structure between the regime models for the different markets. A Monte Carlo simulation is used to illustrate the cost of misspecification. The authors find that the model most commonly used by practitioners is worse than all of the alternatives that they investigate.

Description: This session will serve as a guide on how to implement a factor-based optimization in the Strategic Asset Allocation process. The session will review a factor-based investing approach and cover the top-down macroeconomic drivers of risk and return for various asset classes. We will then illustrate implementation of this investing approach and determination of an optimal Strategic Asset Allocation through a pension fund case study. There will be an interactive element to the session as the factor sensitivities of various portfolios can be examined in real-time.

Description: Why Actuaries Should Welcome Automation

Description: From the 41st ARC: a presentation focusing on risk management of a pension plan whose benefit is the greater of a defined benefit DB and a defined contribution DC plan. Hedging strategies are derived and illustrated, recognizing that the DB guarantee is like an option.

Description: In this session, panelists will lift the curtain on the main features of investment grade (IG) private placement bonds and below investment grade (BIG) private debt and compare them with available public bond and bank loan alternatives. The panel will examine the motivations for insurance companies and pension funds to invest in private debt and the legal, diligence and operational requirements to maintain a private debt portfolio. We will also conduct a 2017 private placement market review and look forward to 2018’s likely new USD and non-USD issuance and which industry sectors are likely to issue. This session will also cover their risk and reward characteristics, and the structural intricacies of the various IG and BIG debt types and whether there is sufficient compensation for illiquidity and other risks.

Description: Editorial and issue introduction