Description: This presentation develops an integrated approach that addresses simultaneously guaranteed annuity option (GAO)’s pricing and capital requirement calculation.

Description: This presentation describes a comprehensive risk analysis of participating life insurance products with a particular focus on the impact of product design.

Description: This is a presentation From 38th Annual Actuarial Research Conference 8/9/2003, University of Michigan, Ann Arbor, Michigan. Pricing health insurance presents numerous statistical problems. This paper develops a non-parametric method for handling these problems. This method involves kernel density estimation of the charge level distribution and also kernel smoothing between the reimbursement function derivatives. It derives some properties of the estimates so obtained. It illustrates the method with some dental data and compares the results to some other simpler estimation techniques.

Description: Presented at August 2011 Actuarial Research Conference. Summarizes the Heston model, discusses hedging equity indexed annuities, and provides numerical results of the Black-Scholes and Heston hedging strategies.

Description: This paper uses the estimated unreported deaths in earlier periods to adjust the current policies in force and produces unreported values that are more consistent with the actual number of unreported deaths.

Description: This presentation describes the Technology Enhanced Learning (TEL) Project for Actuarial Science Education, which aims to help budding actuaries solve actuarial examination questions and master classroom material.

Description: Presentation from the 41st Actuarial Research Conference with the main topic of analyzing the life insurance industry.

Description: This presentation discusses a technique to reduce the bias from using Monte Carlo simulation to value American options.

Description: Regime switching models have become a popular tool in econometric time series modeling since their introduction in Hamilton [1989].These models have been widely applied for equity-returns for investment guarantees. A prominent risk management challenge is hedging these guarantees, given the equity regime switching process. This presentation develops some methodologies for regime-switching portfolio replication and use real world data to demonstrate and evaluate their effects. A Bayesian approach for regime switching model fitting is used, which allows for the examination of the robustness of each of the optimization methods when parameter uncertainty is present.