Description: When fitting a model to any data, there is some uncertainty about which model is best. Green [1995] quantifies this uncertainty through the Reversible Jump Markov Chain Monte Carlo [RJMCMC] method. When using the RJMCMC method in a regime-switching situation, the chain determines the optimal number of regimes by jumping between various possibilities. This method gives each model its posterior probability of being the best. After an overview of the methodology, the authors apply it to various datasets and discuss the applications in modern actuarial science.

Description: This paper addresses the fuzziness in regression models. The goal is to present a test procedure to explicitly examine whether an independent variable has a clear functional relationship with the dependent variable in a specific regression model, or whether their relationship is fuzzy. To this end, the authors interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the corresponding independent variable and the dependent variable. They then derive test distributions based on the null hypothesis that such spreads could have been obtained with data generated by a classical regression model with random errors. The analysis is presented in conceptual rather than technical terms.

Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: This study is designed to analyze new planning approaches and strategies that combine SPIAs with other techniques to create retirement income synergies. Using historical scenarios, it evaluates how different retirement income strategies hypothetically would have met four separate client goals: sustainable income, liquidity, accessibility and legacy. This report summarizes study findings and includes “planning points” to help readers interpret the study data.

Description: This paper proposes weighted fund style analysis as a better method to hedge market risks of variable annuities.

Description: Proposes setting premiums such that inflation and age could change the premium over time, rather than prefunding. The value may be to change the approach to pricing LTC and improve the risk.

Description: The results obtained during the last one-third of the research project and the project at whole are presented. The report only contains brief descriptions of the results which are placed in addendums and which are in reality copies of papers and a chapter of a book submitted for publication. Some theoretical and applied problems induced by the research are discussed.

Description: In this paper, we propose measures of the risk that the value of the liabilities becomes larger than the value of the assets, and this especially for insurance companies. We study probabilities of mismatching and a degree of mismatching in unsegmented and multidimensional models of the balance, in which we stress the influence of interest rates on the active and passive side of the balance.

Description: This article describes the development of the uninsured pensioner, UP-94 Mortality Table, including a comparison with other tables and description of projection methodologies using Projection Scale AA.

Description: This paper studies the statistical theory underlying minimum surplus required to protect a group insurer from the insurance, or C2, risk. Followed by 2 submitted discussion papers