ARCH Table of Contents 2013.1

University of Manitoba
Winnipeg, MB, Canada
August 1-4, 2012

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

Feature Sessions

Complexity Science – What it is and Why You Want to Know About It
D. Snell
View Abstract

Divided by a Common Language: Communicating Applied Research in Actuarial Science
M. Hardy
View Abstract

Ethics and Professionalism in Actuarial Practice
C. Pazdor
View Abstract

Open Forum for MLC Teachers
E. Shiu, A. Tenenbein, H. Youn
View Abstract

The Canadian Institute of Actuaries’ University Accreditation Program
R. Stapleford
View Abstract
View Presentation

The Shape of the Insurance Marketplace in 2020
L. Golden
View Abstract

Usage Based Insurance and the Evolving Analytics Environment
G. Wang
View Abstract

Actuarial Education

Society of Actuaries Education Update
S. Klugman
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Technology Enhanced Learning Project for Actuarial Science Education
D. Bujakowski
View Abstract
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The Society of Actuaries’ New Research Strategy
S. Teppema
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Variance of a Single Deferred Annuity – A Simpler Way
C. Bilodeau
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What Do You Want Your Students to Know? What Are You Doing?
M. Maxwell
View Abstract

Agricultural Risk Management

A Framework for Developing Livestock Insurance
M. Boyd, J. Pai, L. Porth
View Abstract

An Actuarial Framework for Modeling Loss Cost Ratio’s in Crop Insurance: Trend Testing, Data Detrending, and Pricing, using an Erlang Mixture Distribution
W. Zhu, L. Porth, K. S. Tan
View Abstract

Factors Affecting the Use of Futures Hedging by Commodity Producing
Firms: A Multifactor Risk Management Approach
C. Grant
View Abstract

Modeling Spatial Dependence and Optimal Retention for a Reinsurance Decision Model Under a Copula Framework
L. Porth, M. Boyd, J. Pai
View Abstract

Casualty

A Renewal Model for Medical Malpractice
G. Leveille, E. Hamel
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An Experience Rating Approach to Insurer Projected Loss Ratios
M. Desrosiers
Complete Paper

Experience Rating in Motor Insurance
P. Baylan-Irven, J. Pai
View Abstract

Insurance Ratemaking and a Gini Index
E. Frees, G. Meyers, A. Cummings
View Abstract

Micro-Level Loss Reserving Models for P&C Insurance
X. Jin
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Enterprise Risk Management

Economic Capital Approaches and Solvency of UK Annuity Portfolios
M. Gayen
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Estimating the Required Surplus, Benchmark Proﬁt, and Optimal Reinsurance Retention for an Insurance Enterprise using the Compound Poisson Distribution
J. Boor
View Abstract

Loss Given Default in the Presence of Multivariate Regular Variation
Part 1: Introduction
Q. Tang, Z. Yuan
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Loss Given Default in the Presence of Multivariate Regular Variation Part 2: Main Results
Q. Tang, Z. Yuan
View Abstract

The Marginal Cost of Risk, Risk Measures, and Capital Allocation
D. Bauer, G. Zanjani
View Abstract

Finance

A Comonotonicity-based Valuation Method for Annuity-linked Contracts
X. Liu, R. Mamon, H. Gao
View Abstract

Analytic Solution for Ratchet Guaranteed Minimum Death Beneﬁt Options Under a Variety of Mortality Laws
E. Ulm
View Abstract

Capital Asset Pricing model with Fuzzy Returns and Hypothesis Testing
M. Mbairadjim, J. Kamdem, A. Shapiro, M. Terraza
View Abstract

Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process
J. Bridgeman
Complete Paper

Estimation and Pricing with a Diffusion Model with JumpsC. Bilodeau, A. Luong
View Abstract

Hyperbolic Discounting: Implications for Actuarial Science and Financial Risk Management
R. Gorvett
View Abstract

Market Dependent Fees for GMMB and GMDB Riders
A. MacKay, C. Bernard, M. Hardy
View Abstract

Modeling Trades in the Life Market as Nash Bargaining Problems
R. Zhou, J. Li, K. S. Tan
View Abstract

Model Selection in Regime-switching Models of Various TypesB. Hartman, C. Groendyke
View Abstract

Optimal Allocation and Consumption with Guaranteed Minimum Death Beneﬁts with Labor Income and Term Life Insurance
J. Gao, E. Ulm
View Abstract

Positive Weights on the Efﬁcient Frontier
P. Boyle
View Abstract

Pricing and Hedging GMWBs in a Binomial Model
M. Wenger, C. Hyndman
View Abstract

Pricing of Debt and Loan Guarantees using Stochastic Delay Differential Equations
E. Kemajou
View Abstract

Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities
T. Moenig, D. Bauer
View Abstract

Risk Analysis of Annuity Conversion Options in a Stochastic Mortality Environment
A. Kling, J. Russ, K. Schilling
View Abstract

Genetic Algorithms

Genetic Algorithms - What they are and How to Apply Them to Actuarial Problems
D. Snell
View Abstract

How to be a CAE?

Being or Becoming a Society of Actuaries Center of Actuarial Excellence: Challenges and Opportunities
S. Broverman, R. Gebhardtsbauer, W. Luckner, K. Presler
View Abstract

Insurance Claims

Incurred but Unreported Deaths in Life Settlements
D. Behan
Complete Paper

Paid Claims Projection and Cash Flow Testing Models. Illustrative Approach
N. Humphreys
Complete Paper

Mortality

Assessing Systematic Bias in Mortality Prediction of the Lee-Carter Model
D. Wu, X. Liu, Y. Hao
View Abstract
View Presentation

Dynamic Population Structure with Stochastic Mortality and Fertility Rates
Y. Lin, X. Liu
View Abstract

Forward Transition Rates in a Multi-state Model
M. Christiansen, A. Niemeyer
View Abstract

Investigating Causal Mortality using the Multinomial Logistic Model
D. Alai, S. Gaille, M. Sherris
View Abstract

Longitudinal Analysis of Mortality Risk Factors
D. Alai, M. Sherris
View Abstract

Modeling and Forecasting Mortality Rates
P. Brockett, D. Mitchell, R. Mendoza-Arriaga, K. Muthuraman
View Abstract

Pensions

Mortality Improvement for Canadian Pensioners: Proposed Projection Scales
L. Adam
View Abstract
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On the Impact of Raising the Full Retirement Age in the Social Security Program
K. Testfu
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The Impact of Investment Strategy of DC Pension Plan on Retirement Age Distribution
M. Lu, X. Liu, Y. Hao
Complete Paper

Risk Theory

Analysis of a Bivariate Risk Model
J. Chen, J. Ren
View Abstract

Analysis of Disability Insurance Portfolios with Stochastic Interest Rates
Y. Xia
View Abstract

Credibility Theory in a Fuzzy Environment
A. Shapiro, M. Koissi
Complete Paper

Default risk of a jump-diffusion model subject to Chapter 7 and Chapter 11 Bankruptcy Codes
B. Li, Q. Tang, X. Zhou
View Abstract

First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks
F. Yang
Complete Paper

Optimal Asset Allocation for Endowment Management
R. Ashkenazi, S. Paterlini, F. Pattarin
View Abstract

The Application of the Number of IBNR Claims for Erlang (n) Inter-arrival Times
D. Landriault, Y. F. Wang, G. Willmot
View Abstract

Ultimate Ruin Probability with Correlation
E. Thompson, R. Ambagaspitiya
Complete Paper

VaR and Ruin Probabilities for the Geometric Brownian Motion with Jump Model
Y. Zhao, J. Ren
View Abstract

Statistical Methods

A Multivariate Analysis of Intercompany Loss Triangles
P. Shi
View Abstract

An Introduction to Causal Analysis on Observational Data using Propensity Scores
M. Rosenberg, B. Hartman, S. Lane
View Abstract

Approximate Copula Regression
P. Ferrara, R. Parsa
View Abstract

Implementing Fuzzy Random Variables
A. Shapiro
Complete Paper

Log-Folded-t Models for Insurance Loss Data
V. Brazauskas, A. Kleefeld
View Abstract

Predictive Modeling in Healthcare Costs using Regression Techniques
M. Loginov, E. Marlow, V. Potruch
View Abstract
View Presentation

Small Sample Stochastic Tail Modeling: Tackling Sampling Errors andSampling Bias by Pivot-Distance Sampling and Parametric Curve Fitting Techniques
Y. Chueh, P. Johnson, Y. Qi
Complete Paper

Future Actuaries

Major Meetings

Major Meetings

Major Meetings