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.

Description: This abstract describes a paper that proposes the use of the Co Conditional Tail Expectation 'CoCTE' to measure systemic risk and endogenizes the pro-cyclicality of capital requirements.

Description: This abstract describes a paper that considers a general risk model in which both the claim and income gain arrivals follow Poisson processes.

Description: This abstract describes a paper that investigates the effect of ambiguity on the market for insurance when preferences are ordered by comparison of Choquet expected utilities.

Description: This abstract describes a presentation that gives an in-depth look at genetic algorithms - what they are, why they are important for actuaries, when to use them, and how to create them.

Description: This paper considers a dependent classical risk model with diffusion, in which the premium rate is determined by the amount of the previous claim. From the Actuarial Research Clearing House, 2008, Vol.1.

Description: This abstract describes a paper that investigates how to apply a stochastic mortality model in the presence of missing data, using 'multiple imputation'.