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.

Description: This abstract describes a paper that uses delay equations to derive a formula for the price of an option used for the pricing of corporate debt and adopts this approach to the valuation of government loan guarantees for companies in financial distress.

Description: This abstract describes a paper that proposes a new model for the loss given default (LGD), which takes the depth of default into consideration.

Description: This abstract describes a paper that produces a high-resolution, 100-member simulation of surface atmospheric temperature over North America for 1979–2015.

Description: This abstract describes a paper that proposes a change to the variable annuity fee structure that would lower fee rates without reducing the insurer's profit.

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.