Description: Expert discussion of two previously presented papers: Trajectories of Disability and Mortality among the U.S. Elderly Population: Evidence from the 1984-1999 NLTCS Stallard and The Interdependency of Increasing Life Expectancy and Driving Life Expectancy of Elderly Populations Leng and Wen. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: This paper evaluates the quality of International Database on Longevity IDL data according to several criteria, such as the country of residence or the validation process undertaken, and then provides an estimation of the mortality trajectory up to age 114. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: Mortality in general, and especially amongst the oldest old, is known to be partially shaped by seasons: winter is classically characterized by excess mortality. We therefore put forward the use of season-related life tables to study the mortality trajectories of the oldest old. This approach can be used to explore the plasticity of longevity, by opposing winter and summer trajectories. Furthermore, summerrelated life tables summarize the best conditions of mortality, i.e., the lowest values and the least fluctuating pattern. Results are presented for Switzerland, where season-related life tables have been computed until age 110.

Description: Paper examines the existence of select birth cohorts of unusually high longevity improvement, their geographic locations, and their effect on retirement annuities. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: Insurance company issues that do not necessarily arise in banks are identified and utilized to develop insurer ERM modeling approaches that start from the work done for banks but respond to insurance-specific matters. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This paper describes a current approach to capital allocation, tail contribution analysis TCA, and then compares it to an alternate method called economic profit analysis, EPA. The advantages of EPA over TCA are then outlined. From 2006 Enterprise risk Management Symposium, M-AS06-1.

Description: Shareholders provide capital and receive the insurance profit. This paper demonstrates than an optimal capital level exists that generates the highest return for the shareholders of an insurance company. This result is derived using a risk capital model by Perold. The no-arbitrage argument, developed by Modigliani and Miller, is used throughout the paper and puts the discussion on a solid economic footing. From 2006 Enterprise Risk Management Symposium, M-AS06-1.

Description: This paper introduces a re-rating formula which calculates proposed rates directly by means of fully developed and trended loss costs and current class differentials. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: Abstract for the 2008 ERM Monograph paper, ” Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation”

Description: This paper examines the fundamental principles underlying the theory of rate change. The proposed approach shows improved accuracy as compared to current methods, with particular significance for a non-static book of business.