Description: This abstract describes a paper that studies Gerber-Shiu functions and dividend payments in an insurance risk model driven by a spectrally negative Levy process of bounded variation.

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: Presented at August 2011 46th Actuarial Research Conference. Compression methods improve model run time. This talk discusses compression features, trade-offs, validation, and recommended practice.

Description: discussion of the ongoing developments in reserving and risk-based capital RBC requirements for variable annuities including stochastic scenario projections

Description: Technical paper on how to efficiently perform scenario testing for principle-based approaches.

Description: Summary of SOA research report "Optimizing Risk Retention" which applies parametric survival models and Monte Carlo simulation to a block of term life business.

Description: This article discussed modeling the P&C reinsurance market using an Agent Based Model to provide insights into the market. The characteristics of this marketplace provide credibility to this type of modeling. Specifically, the P&C reinsurance market has few major players, very little product differentiation, and low barriers to entry. In addition established competitors are volume-constrained due to prior business and capacity decisions made based on estimated product costs and prices.

Description: This article discusses the pending book entitled 'Dynamic Risk Modeling Handbook.' The proposed scope and outline of the book is reviewed. This is a revision of the 'DFA Handbook' which was published in 1995.

Description: This abstract describes a paper that considers an alternative way of estimating distribution parameters for nonnegative random variables.

Description: We ask whether we can find support for the previously reported upper limit of the force of mortality of 0.7, i.e. about the probability of tossing a fair coin.