Description: Spreadsheet of sample calculations and extreme value theory.

Description: This is the accompanying spreadsheet for the 2001-02 U.S. Individual Life Persistency Update report. Please see the SOA website experience studies for the full report.

Description: Response to Life Insurance 2020 Foresight – A Call for Essays. An essay stating the author’s vision for the future of the life insurance sector. Focus is on the long term guarantee embedded in the basic life insurance contract to pay the death benefit.

Description: Presented at Living to 100 symposium, January 2002. This paper presents data on the mortality, and mortality improvement trends, for retired U.S. Civil Service employees and their survivors, and analyzes the relationship to such factors as: Indexed final salary, Amount of indexed annuity, Total service at retirement, Duration on the Annuity Rolls, Retiree vs. beneficiary, Disability vs. non-disability.

Description: This paper attempts to gather information regarding various components of the Canadian retirement income system, and to quantify the impact on the system of unanticipated morality improvements, particularly at age 65 and over, and of lower than expected equity returns. From 2005 Living to 100 and Beyond Monograph, M-LI05-1.

Description: This paper shows how the results of copula based capital aggregation models can always be locally approximated by relatively simple formulas. The paper defines the concepts of diversification factor and tail correlation matrix and describes methods for estimating these quantities from simulated data. We show how these ideas can be put into practice as both computational shortcuts and presentation tools.

Description: The paper will focus on two broad areas, integration of insurance products with investment products to mitigate the risk of outliving one’s assets in post-retirement financial planning. Modeling and pricing for the longevity risk in the secondary market in insurance.

Description: This paper presents a different approach to measuring Health Expectancy, especially as it relates to the elderly population. This new actuarial approach is described and numerous examples are given.

Description: 2011 Enterprise Risk Management Symposium, Chicago. This is the abstract of the entitled paper.

Description: 2011 Enterprise Risk Management Symposium, Chicago. The stated goal of this paper is to describe the general idea of risk appetite, its implementation framework and the process to set it within a bank with a strong focus on the interactions with other processes such as planning and control, performance evaluation and communication.