Description: The abstract for the paper The Great Debate on the Outlook for Human Longevity: Exposition and Evaluation of Two Divergent Views.

Description: The abstract for the paper The Effects of Advanced Age Mortality Improvement on the Valuation of Variable Annuities with Guaranteed Death Benefits.

Description: The abstract on the paper Extending ERM to Multi-Employer Pension Plans.

Description: In a well-designed enterprise risk management (ERM) program, the firm integrates risk management into the strategic planning process, addressing strategic risk, financial risk, operational risk and hazard risk under a single overarching process. This is particularly important to large financial firms, such as property and casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document a significant product line and geographic diversification discount relative to more focused competitors, our analysis suggests that firms with effective ERM programs exhibit a performance premium. Using the Standard and Poor’s (S&P) ERM ratings from 2006 to 2012, we find that product line diversification has a significant positive effect on value for more diversified firms with well-implemented ERM programs, as compared to those with weak ERM.

Description: Mexico substituted its defined benefit system [IMSS] of the formal sector by a defined contribution system in 1997. The initial plan called for buying single premium annuities for the widows and disabled workers under the new system. In the first three years, this market came to occupy a significant part of the insurance sector. Then, the number of workers getting benefits started to fall dramatically. This is the abstract of a paper that shows that such a fall has been a direct result of how the IMSS authorizes the issuance of single premium annuities. The paper analyses the rationale behind such a dramatic change in policy, analyzes various possible scenarios of IMSS strategies, and examines the problem to see if it brings in any long-term benefits to IMSS.

Description: This abstract describes a paper that proposes a quantitative framework which jointly considers the endowment spending policy and the asset allocation decision a-la Markowitz.

Description: This abstract describes a paper that reverses the sequence of the Euler (or gradient) allocation technique by calculating the marginal costs of risk exposures for a profit maximizing financial institution with risk averse counterparties, and then identifying a closed-form solution for the risk measure whose gradient delivers the correct marginal costs.

Description: This abstract describes a paper that shows that by modeling the time series of mortality rate changes rather than mortality rate levels, human mortality can be better modeled.

Description: This abstract describes a paper that investigates how to best choose a model from a flexible set of regime-switching models where the individual regimes are not constrained to be from the same distributional family.

Description: This abstract describes study that simulated claims data under different environmental changes and applied a chain-ladder and a micro-level model to each simulated data set.