44th Actuarial Research Conference - 2009

All conference presenters were required to submit an abstract and title of their presentation. Presenters were also invited to submit a paper, presentation and other supporting materials (such as data, spreadsheet calculations, program code).

Titles and abstracts were sent to Yunjie (Winnie) Sun, ysun@bus.wisc.edu, along with supporting materials such as the paper, poster, presentation and so forth. In an effort to communicate your research to conference participants, we posted submitted materials on the conference web site. (Please note that the conference web site was not only for conference participants but was available for others to view.)

Presentation and supporting materials were posted here as they became available.

1. Jack Jie Ding and Michael Sherris. The University of New South Wales, Australian School of Business. Pricing and Hedging Synthetic CDO Tranche Spread Risks(Paper) (Presentation)

2. Ohoe Kim. Towson University, Department of Mathematics. Implementation of Intensity Model Approach to CMCDS Pricing (Abstract) (Paper)

3. Mathieu Boudreault, UQAM and HEC Montréal and Geneviève Gauthier, HEC Montréal. A multi-name structural credit risk model with a reduced-form default trigger (Abstract)

4. Edward W. (Jed) Frees, University of Wisconsin and Insurance Services Office, Glenn Meyers, Insurance Services Office, and Dave Cummings, Insurance Services Office. Dependent Multi-Peril Ratemaking Models (Abstract) *Poster

5.Daniel Alai, ETH Zürich, Finanzkompetenzzentrum RiskLab. Prediction Uncertainty in the Bornhuetter-Ferguson Reserving Method (Abstract) (Presentation)

6.Daniel Dufresne and Stephen Chin. University of Melbourne, Centre for Actuarial Studies. Option Pricing With Stochastic Volatility: Applying Parseval's Theorem(Abstract) (Presentation)

7.Daniel Dufresne. University of Melbourne, Centre for Actuarial Studies. Beta-Gamma Algebra, Discounted Cash-Flows, And Barnes's Lemmas (Abstract) (Presentation)

8.Hélène Cossette, École d'actuariat, Université Laval, Étienne Marceau,École d'actuariat, Université Laval and Florent Toureille, Universite de Lyon. Risk models based on time series for count random variables (Abstract)

9.Hua Chen, Temple University, Department of Risk, Insurance and Healthcare Management, Samuel H. Cox, University of Manitoba, Warren Centre for Actuarial Studies and Research, and Jian Wen, Chinese Academy of Finance and Development and Central University of Finance and Economics. Pricing Mortality-linked Securities with Dependent Lives under the Multivariate Threshold Life Table(Abstract)

10. Katrien Antonio, Universiteit van Amsterdam, Amsterdam School of Economics, Edward W. (Jed) Frees, University of Wisconsin-Madison, School of Business, and Emiliano A. Valdez, University of Connecticut, Department of Mathematics. A hierarchical model for micro–level stochastic loss reserving (Abstract) (Presentation)

11. Symprose Wekullo, Actuarial Society of Kenya. Disability Income Insurance in a Declining Life Expectancy. (The Impact of H.I.V in Sub-Saharan Africa) (Abstract) (Poster) *Poster

12. Rahul A. Parsa and Stuart A. Klugman, Drake University ,College of Business and Public Administration. Copula Regression (Abstract)

13. Vytaras Brazauskas, University of Wisconsin-Milwaukee, Bruce Jones, University of Western Ontario, Ricardas Zitikis, University of Western Ontario. Robust and Efficient Fitting of Claim Severity Distributions (Abstract) (Presentation)

14. James G. Bridgeman, University of Connecticut. The Effect of Global Warming On Discounting Methodology (Abstract) (Presentation)

15. Denis Collins, Edgewood College, Madison, Wisconsin. How Do You Create an Ethical Organization? (Abstract)

16. Sarah L.M. Christiansen, SMC Actuarial Consultants, Inc. Credit Risk Simulation Study (Abstract)

17. Eric R. Ulm, Georgia State University. On the Determination of Capital Charges in a Discounted Cash Flow Model (Abstract) (Presentation)

18. Harald Dornheim and Vytaras Brazauskas, University of Wisconsin-Milwaukee.Robust Regression Credibility Models for Heavy-Tailed Claims (Abstract)

19. Jared Brown, Justin Falzone, Patrick Persons, and Heekyung Youn, University of St. Thomas. Crop Insurance (Abstract) *Poster

20. Patrice Gaillardetz, Departement of Mathematics and Statistics, Concordia University, Étienne Marceau, École d'actuariat, Université Laval and Khouzeima Moutanabbir, École d'actuariat, Université Laval. International Investment Model for Asset Allocation in Life
Insurance and Pension Fund Management 
(Abstract)

21. Jean-Philippe Boucher, Danaïl Davidov, Département de mathématiques
Université du Québec à Montréal. On the Importance of Dispersion Modelling for Claims Reserving: Application of the Double GLM Theory (Abstract) (Presentation)

22. Arnold F. Shapiro, Smeal College of Business, Penn State University, Thomas R. Berry-Stölzle, Terry College of Business, University of Georgia, Marie-Claire Koissi, Department of Mathematics, Western Illinois University. The Fuzziness in Regression Models (Abstract)

23. Abdelhakim Necir, Mohamed Khider University of Biskra, Algeria, Abdelaziz Rassoul, Ecole Nationale Superieure d’Hydraulique, Algeria, and Ricardas Zitikis, University of Western Ontario, Canada. The actuarial CTE risk measure for heavy-tailed losses: A new estimator and confidence intervals (Paper) (Presentation)

24. Brian M. Hartman and David B. Dahl, Texas A&M University. Bayesian Nonparametric Regression for Counts of Insurance Claims (Abstract) (Presentation)

25. Claymore Marshall, Mary Hardy and David Saunders, University of Waterloo.Static hedging strategies for Guaranteed Minimum Income Benefits (GMIBs)(Abstract)

26. John Shepherd, Macquarie University. What the student does: Reflections on a quarter century of teaching actuarial students (Abstract) (Presentation)

27. Ting Wang and Virginia R. Young, Department of Mathematics, University of Michigan. Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin (Abstract)

28. Taehan Bae, Algorithmics Inc., Changki Kim, Actuarial Studies, Australian School of Business, The University of New South Wales and Reg. Kulperger, Statistics, University of Western Ontario. Securitizations of Motor Insurance Loss(Abstract)

29. Buyi Zhang and Ping Wang, School of Risk Management, St John’s University.Model Frequency with Binomial Distribution for Claims Made Policies (Abstract)

30. Edward (Jed) W. Frees and Yunjie (Winnie) Sun, University of Wisconsin –Madison, School of Business. Household's Life Insurance Demand - a Multivariate Two Parts Model (Abstract) (Presentation)

31. Marjorie A. Rosenberg, School of Business, University of Wisconsin-Madison, Paul H. Johnson, Jr., Department of Mathematics, University of Illinois at Urbana-Champaign and Ian G. Duncan, President, Solucia, Inc.. Exploring Stakeholder Perspectives on What Is Affordable Health Care (Abstract)

32. Runhuan Feng, Department of Mathematical Sciences, University of Wisconsin - Milwaukee. Stochastic annuities: an exploration of Black-Scholes model from an actuarial perspective (Abstract)

33. Rick Gorvett, University of Illinois at Urbana-Champaign. Undergraduate Research in Actuarial Science and Financial Mathematics At the University of Illinois (Abstract)

34. Esteban Flores, Departamento de Actuaría y Seguros, Instituto Tecnológico Autónomo de México, Mexico, Víctor Leiva, Departamento de Estadística, CIMFAV, Universidad de Valparaíso, Chile, and Claudia Castro-Kuriss, Departamento de Ciencias Físico Matemáticas, Instituto Tecnológico de Buenos Aires, Argentina.Truncated distributions for the modeling of solvency in non-life insurance(Abstract)

35. Ya Fang Wang, Concordia University, José Garrido, Concordia University, and Ghislain Léveillé, Université Laval. The Application of Discounted PH-renewal Sums (Abstract)

36. Bruce L. Jones, Department of Statistical and Actuarial Sciences, University of Western Ontario. Modelling Joint Lifetimes (Abstract)

37. Philip Adams, North American Biometrics Risk Management unit of Munich Re.Beyond Whitaker-Henderson: Generalized Additive Models and Mortality Modeling(Abstract)

38. Nariankadu D. Shyamalkumar, Bangwon Ko and Ralph P. Russo, The University of Iowa. On Nonparametric Estimation of the CTE (Abstract)

39. Jingyu Chen and Yi Lu, Department of Statistics and Actuarial Science, Simon Fraser University. The distribution of the total dividend payments in a MAP risk model with multi- threshold dividend strategy (Abstract) (Presentation)

40. J.M. Wells, University of Wisconsin Madison, School of Medicine and Public Health, M.A. Rosenberg, University of Wisconsin Madison School of Business and University of Wisconsin Madison School of Medicine and Public Health, G. Hoffman, Wisconsin State Laboratory of Hygiene, M.I. Anstead, University of Kentucky, and P.M. Farrell, University of Wisconsin Madison, School of Medicine and Public Health. A Decision-Tree Approach for a Comprehensive Cost Comparison of Newborn Screening Strategies (Abstract) *Poster

41. Jin Gao and Eric R. Ulm, Georgia State University. Optimal Allocation between Fixed and Variable Subaccounts in Variable Annuities(Abstract) *Poster

42. Basil Ibrahim and Steve Drekic, University of Waterloo. Queueing Analysis of a Priority-based Claim Processing System (Abstract)

43. Yosuke Fujisawa and Johnny Siu-Hang Li, University of Waterloo. IFRS Convergence: The Role of Stochastic Mortality Models in the Disclosure of Longevity Risk for Defined Benefit Plans (Abstract) (Presentation)

44. Ying Shang and Carole Bernard, University of Waterloo. Optimal Insurance Under Behavioral Theory (Abstract)

45. Rui Zhou and Johnny Siu-Hang Li, University of Waterloo. A Cautionary Note on Pricing Longevity Index Swaps (Abstract) (Presentation)

46. Dian Zhu and Andrew Heunis, University of Waterloo. Safety Mean-Variance Hedging - Systematic Introducing of Convex Duality Method (Abstract)

47. Matthew Till, University of Waterloo. Regime-Switching Portfolio Replication(Abstract) (Presentation)

48. Ishmael Sharara, University of Waterloo. Capital Adequacy Requirements for Life Insurers under the Canadian, US and the proposed EU Solvency II regulatory frameworks (Abstract)

49. Qiu Chao, Mary Hardy, Joseph Kim, University of Waterloo. On the Application of Esscher Transform to the Regime Switching Model (Abstract)

50. Ying Zhong and Jun Cai, University of Waterloo. Optimal Risk Retention under Reciprocal Reinsurance with Exponential Utility Functions (Abstract) *Poster

51. Kai Li, Central University of Finance and Economics, China and Ken Seng Tan, University of Waterloo. Optimal reinsurance retentions under joint survivorship of both insurer and reinsurer (Abstract) *Poster

52. Chengguo Weng and Ken Seng Tan, University of Waterloo. An empirical-based approach to optimal reinsurance (Abstract) (Presentation)

53. Peng Shi and Edward W. Frees, University of Wisconsin - Madison, School of Business. Long-tail Longitudinal Modeling of Insurance Company Expenses(Abstract) (Presentation)

54.Hallie J. Kintner, University of Michigan and David A. Swanson, University of California Riverside. A Demographic Approach to Forcasting Groups Covered by Employer Health Insurance (Abstract) (Poster) *Poster

55. Louise Lavoie, Department of Economics, Université du Québec à Montréal.Health and Longevity Insurance: Interaction between Incomplete Market and Imperfect Information (Abstract)

56. Joe Fairchild, Department of Finance, University of Kansas, Chris K. Madsen, AEGON N.V., Hal Pedersen, Faculty of Management, University of Manitoba, and Richard Urbach, DFA Capital Management Inc. What are the Vital Features of an Economic Scenario Generator? (Abstract)

57. Peng Shi and Edward W. Frees, University of Wisconsin - Madison. Multivariate Longitudinal Modeling Using Copulas with its Application to Insurance Company Expenses (Abstract) *Poster

58. Hong-Chih Huang, Yung-Tsung Li and Yi-Ping Hsu, Department of Risk Management and Insurance, The University of Taiwan, National Chengchi University.Optimal Assets Allocation and Annuitization Timing Post-retirement (Abstract)

59. John Manistre, AEGON NV. Applying the Cost of Capital Method to Extrapolate an Implied Volatility Surface (Abstract) (Presentation)

60. Curtis E. Huntington. Professionalism in Practice (Presentation)

61. James R. Grana, Assurant, Inc. Role of Research in Industry (Presentation)

62. Jim Guszcza, Deloitte. Role of Research in Industry-A view from consulting(Presentation)

63. Glenn Meyers, ISO. The Role of Research at ISO (Presentation)