ARCH Table of Contents 2010.1

University of Wisconsin–Madison
Madison, Wisconsin
July 30–August 1, 2009

Distribution sponsored by The Education and Research Section of the Society of Actuaries

All rights reserved by the respective authors and by the Society of Actuaries. The Society of Actuaries assumes no responsibility for the statements made or opinions expressed in the articles, criticisms and discussions published in ARCH.

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Table of Contents

Topic/Title/Author(s)

Claim Modeling
A Hierarchical Model for Microlevel Stochastic Loss Reserving
K. Antonio, E. Frees, E. Valdez (Abstract) (Presentation)
Bayesian Nonparametric Regression for Diabetes Deaths
B. Hartman, D. Dahl (Complete Article)
Model Frequency with Binomial Distribution for Claims Made Policies
B. Zhang, P. Wang (Abstract Only)
On the Importance of Dispersion Modeling for Claims Reserving: Application of the Double GLM Theory
J. Boucher, D. Davidov (Abstract) (Presentation)
Prediction Uncertainty in the Bornhuetter–Ferguson Reserving Method
D. Alai, M. Merz and M. Wuthrich (Abstract) (Presentation)
Robust and Efficient Fitting of Claim Severity Distributions
V. Brazauskas, B. Jones, R. Zitikis (Abstract) (Presentation)
Robust Regression Credibility Models for Heavy–Tailed Claims
H. Dornheim, V. Brazauskas (Abstract Only)
Securitizations of Motor Insurance Loss
T. Bae, C. Kim, R. Kulperger (Abstract Only)
The Actuarial CTE Risk Measure for Heavy–Tailed Losses: A New Estimator and Confidence Intervals
A. Necir, A. Rassoul, R. Zitikis (Abstract) (Presentation)
The Application of Discounted PH–renewal Sums
Y.F. Wang, J. Garrido, G. Leveille (Abstract Only)
Education
Undergraduate Research in Actuarial Science and Financial Mathematics At the University of Illinois
R. Gorvett (Complete Article)
What the Student does: Reflections on a Quarter Century of Teaching Actuarial Students
J. Shepherd (Abstract) (Presentation)
Ethics
How Do You Create an Ethical Organization?
D. Collins (Abstract Only)
Health
A Demographic Approach to Forcasting Groups Covered by Employer Health Insurance
H. Kintner, D. Swanson (Abstract) (Poster)
Exploring Stakeholder Perspectives on What Is Affordable Health Care
M. Rosenberg, P. Johnson, Jr, I. Duncan (Abstract Only)
Health and Longevity Insurance: Interaction between Incomplete Market and Imperfect Information
L. Lavoie (Abstract Only)
Queueing Analysis of a Priority–based Claim Processing System
B. Ibrahim, S. Drekic (Abstract Only)
Insurance
Dependent Multi–Peril Ratemaking Models
E. Frees, G. Meyers, D. Cummings (Abstract Only)
Optimal Reinsurance Retentions under Joint Survivorship of Both Insurer and Reinsurer
K. Li, K. Tan (Abstract Only)
Optimal Risk Retention under Reciprocal Reinsurance with Exponential Utility Functions
Y. Zhong, J. Cai (Abstract Only)
Weather–Indexed Crop Insurance
J. Brown, J. Falzone, P. Persons, H. Youn (Complete Article)
Investment
A Cautionary Note on Pricing Longevity Index Swaps
R. Zhou, J. Li (Abstract) (Presentation)
Implementation of Intensity Model Approach to CMCDS Pricing
O. Kim (Complete Article)
On the Application of Esscher Transform to the Regime Switching Model
Q. Chao, M. Hardy, J. Kim (Abstract Only)
Regime–Switching Portfolio Replication
M. Till, M. Hardy and K. Freeland (Abstract) (Presentation)
Pricing and Hedging Synthetic CDO Tranche Spread Risks
J. Ding, M. Sherris (Abstract) (Presentation)
Safety Mean–Variance Hedging–Systematic Introducing of Convex Duality Method
D. Zhu, A. Heunis (Abstract Only)
Stochastic Annuities: An Exploration of Black–Scholes Model from an Actuarial Perspective
R. Feng (Abstract Only)
Investment and Corporate Finance
A Multi–Name Structural Credit Risk Model with a Reduced–Form Default Trigger
M. Boudreault, G. Gauthier (Abstract Only)
Applying the Cost of Capital Method to Extrapolate an Implied Volatility Surface
J. Manistre (Abstract) (Presentation)
Beta–Gamma Algebra, Discounted Cash–Flows, And Barnes's Lemmas
D. Dufresne (Abstract) (Presentation)
Capital Adequacy Requirements for Life Insurers under the Canadian, US and the proposed EU Solvency II regulatory frameworks
I. Sharara (Abstract Only)
On the Determination of Capital Charges in a Discounted Cash Flow Model
E. Ulm (Abstract) (Presentation)
Optimal Assets Allocation and Annuitization Timing Post–retirement
H. Huang, Y. Li, Y. Hsu (Abstract Only)
Option Pricing With Stochastic Volatility: Applying Parseval's Theorem
D. Dufresne, S. Chin (Abstract) (Presentation)
The Distribution of the Total Dividend Payments in a MAP Risk Model with Multi–Threshold Dividend Strategy
J. Chen, Y. Lu (Abstract) (Presentation)
What are the Vital Features of an Economic Scenario Generator
J. Fairchild, C. Madsen, H. Pedersen, R. Urbach (Abstract Only)
Investment and Credit
Credit Risk Simulation Study
S. Christiansen (Abstract Only)
International Investment Model for Asset Allocation in Life Insurance and Pension Fund Management
K. Moutanabbir, P. Gaillardetz, E. Marceau (Abstract Only)
The Effect of Global Warming On Discounting Methodology
J. Bridgeman (Abstract) (Presentation)
Life and Annuities
Household's Life Insurance Demand–a Multivariate Two Parts Model
E. Frees, Y. Sun (Abstract) (Presentation)
Optimal Allocation between Fixed and Variable Subaccounts in Variable Annuities
J. Gao, E. Ulm (Abstract Only)
Optimal Insurance under Behavioral Theory
Y. Shang, C. Bernard (Abstract Only)
Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
T. Wang, V. Young (Abstract Only)
Static Hedging Strategies for Guaranteed Minimum Income Benefits (GMIBs)
C. Marshall, M. Hardy, D. Saunders (Abstract Only)
Mortality and Retirement
A Decision–Tree Approach for a Comprehensive Cost Comparison of Newborn Screening Strategies
J. Wells, M. Rosenberg, G. Hoffman, M. Anstead, P. Farrell (Abstract Only)
Beyond Whitaker–Henderson: Generalized Additive Models and Mortality Modeling
P. Adams (Abstract Only)
Disability Income Insurance in a Declining Life Expectancy (The Impact of H.I.V in Sub–Saharan Africa)
S. Wekullo (Abstract) (Presentation)
IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans
Y. Fujisawa, J. Li (Complete Article)
Modeling Joint Lifetimes
B. Jones (Abstract Only)
Pricing Mortality–linked Securities with Dependent Lives under the Multivariate Threshold Life Table
H. Chen, S. Cox, J. Wen (Abstract Only)
Property and Casualty
An empirical–based approach to optimal reinsurance
C. Weng, K. Tan (Abstract) (Presentation)
Long–tail Longitudinal Modeling of Insurance Company Expenses
P. Shi, E. Frees (Abstract) (Presentation)
On Nonparametric Estimation of the CTE
N. Shyamalkumar, B. Ko, R. Russo (Abstract Only)
Truncated distributions for the modeling of solvency in non–life insurance
E. Flores, V. Leiva, C. Castro–Kuriss, (Abstract Only)
Research Presentations
Role of Research in Industry
J. Grana (Presentation)
Role of Research in Industry–A View from Consulting
J. Guszcza (Presentation)
The Role of Research at ISO
G. Meyers (Presentation)
Statistical Method
Copula Regression
R. Parsa, S. Klugman, (Abstract)
Risk Models Based on Time Series for Count Random Variables
H. Cossette, E. Marceau, F. Toureille (Abstract Only)
The Fuzziness in Regression Models
A. Shapiro, T. Berry–Stolzle, M. Koissi ( Abstract) (Complete Article)

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