Description: This abstract describes a paper that considers a Bayesian approach for parameter estimation under a specific PH aging model framework.

Description: This abstract describes a paper that, using data from a major insurer, compares and contrasts several different models for risk assessment, including GLMs, GLMMs, and GAMs.

Description: This abstract describes a paper that demonstrates that option values generally considered to be strictly positive as they provide the holder with the right – but not the obligation – to execute a transaction, may not be true within personal savings products.

Description: This abstract describes a study that implements a micro-level model on a portfolio of workers compensation claims from a large U.S. P&C insurer.

Description: This is an abstract of presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa City, Iowa. In this talk, we examine the modeling of insurance losses resulting from natural catastrophes, particularly losses to residential and commercial structures as a result of earthquakes. The model proposed can also be used for other types of natural catastrophes such as floods and hurricanes.

Description: Using data from 12,571 publicly traded U.S. industrial firms spanning 1980 to 2004 for which quarterly firm specific financial variables and macroeconomic variables are available, this is the abstract of a paper that estimates the probability of bankruptcy/merger for each company and hence a prediction of bankruptcy/merger in the next quarter.

Description: There is a large literature on claims reserving. However most of the stochastic models are too complex and end up being a black box for practitioners. They also tend to be over parameterized, which has the effect that they tend to model historical observations very accurately, but they do not necessarily perform well when predicting future claims. This paper applies a Bayesian method that was developed for forecasting very short series with stable [seasonal] patterns. It is constructed on basic Bayesian concepts and leads to very simple prediction formulas. It is then compared with several other methods as to their predictive effectiveness. In so doing, it departs from the traditional ‘triangle-shaped’ framework for development data.

Description: Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of max[S K,0] also arises in excess-of-loss of stop-loss insurance. This is the abstract of a paper that shows that Fourier methods may be used to compute them. The authors take the idea of using Parseval’s theorem further: 1. formulas requiring weaker assumptions, 2. relationship with classical inversion theorems for probability distributions, 3. formulas for pay-offs which occur in insurance. Numerical examples are provided.

Description: This is an abstract article about using Actuarial Science functions in the classroom. ARCH 2008, Issue 1