ARCH Table of Contents 2009.1 Table of Contents

ARCH Table of Contents 2009.1

• 2008 Actuarial Research Conference Proceedings
• University of Regina
• Regina, Saskatchewan, Canada
• August 14–16, 2008

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

Copyright © 2009 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.

• Society of Actuaries
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• Schaumburg, IL 60173–2226
•  
• Editorial direction by:
•  
• Charles S. Fuhrer
• The Segal Company
• 1920 'N' Street NW, Ste. 500
• Washington, DC 20036
•  
• Arnold F. Shapiro
• Pennsylvania State University
• Smeal College of Business
• 359 Business Building
• University Park, PA 16802
•  
• Editor's Comments
• List of Participants
• Program
• Sponsors

Table of Contents

 

Topic/Title/Author(s)

Invited Talk

• The Role of Research in Health System Reform
• G. Marchildon (Complete Article)
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Actuarial and Statistical Models

• Sums of Lognormals
• D. Dufresne (Complete Article)
•  
• The Distribution of Discounted Compound Renewal Sums
• G. Léveillé, J. Garrido, Y. Wang (Abstract) (Presentation)
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• An Approximation to the Distribution of Number of Renewals in Markov Arrival Processes
• J. Ren (Abstract Only)

Education

• Accrediting University Actuarial Programs
• S. Klugman (Abstract Only)
•  

Finance

• A Model for Corporate Credit Migration: Multi–period Ordinal Logistic Regression with Serial Dependence
• T. Bae, R. J. Kulperger (Abstract Only)
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• Illustrations of a Regime–Switching Stochastic Interest Rate Model with Randomized Regimes
• J. Bridgeman (Abstract Only)
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• Some Results on Unique Relationship Between Structure Functions and Credibility Expressions
• E. Gomez–Deniz, E. Calderin–Ojeda (Complete Article)
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• Change Points and a Regime–Switching, Scenario Generator with Continuous Parameter Distributions for Mean and Volatility
• M. Modisett (Abstract Only)
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• Fuzzy Regression and the Term Structure of Interest Rates–A Least Squares Approach
• A. Shapiro, M. Koiss (Complete Article)
•  
• Using High, Low, and Closing Data to Estimate Covariance
• J.G. Wade, C.L. Zirbel (Abstract Only)
•  

Health

• Stochastic Treatments for Insured Long Term Disability Benefits Under a Group Insurance Policy
• P. Douglas (Complete Article)
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• The Effect of Benefit Plan Reimbursement Provisions on Health Care Cost
• C. Fuhrer (Abstract Only)
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• Modeling Individual and Small Group Health Insurance
• A. Wei (Complete Article)
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Life Insurance

• Semi–Static Hedging the Guaranteed Minimum Withdrawal Benefits (GMWBs)
• Y. Liu (Abstract Only)
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• Implementing the Market Cost of Capital Method for Fair Value Margins
• J. Manistre (Abstract Only)
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• Risk–Neutral Valuation of a Guaranteed Minimum Income Benefit Rider Offered in Practice
• C. Marshall (Abstract Only)
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• Stochastic Life Insurance Benefit and Annuity Modeling Using Kolmogorov Backward Equation
• J. Zhuang, M. Pang–Rey, I. Suan, P. Sy (Abstract Only)
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Modeling

• Improvements in Scenario Selection Methods
• C. Clark (Abstract Only)
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• Using Reversible Jump MCMC to Account for Model Uncertainty
• B. Hartman, J. Hart (Complete Article)
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• A Loss Reserving Model within the Framework of Generalized Linear Models
• J. Zhou, J. Garrido (Complete Article)
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Mortality Models

• Extensions of the Lee–Carter Method and Applications to Life Insurance Mortality Models
• M. Koissi, A. Shapiro (Complete Article)
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Pensions and Retirement Issues

• Pension Funding and Smoothing of Contributions
• D. Gomez, S. Haberman, I. Owadally (Abstract Only)
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• Phased Retirement
• P. Mignault, C. Bilodeau (Abstract Only)
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• Post–Retirement Financial Strategies for a Defined Contribution Plan Participant
• A. Shapiro (Abstract Only)
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Property/Casualty Insurance

• A Multilevel Analysis of Intercompany Claim Counts
• K. Antonio, E. Frees. E. Valdez (Complete Article)
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• Robust and Efficient Methods for Credibility When Claims Are Approximately Gamma–Distributed
• H. Dornheim, V. Brazauskas (Abstract Only)
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Reinsurance

• Optimality of General Reinsurance Contracts under CTE Risk Measure
• K. Tan, C. Weng, Y. Zhang (Abstract Only)
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• Optimal Investment Policies and Optimal Reinsurance for an Insurer
• S. Wu, J. Cai (Abstract Only)
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Risk and Risk Management

• Discounted Claims in a Renewal Risk Model
• D. Dufresne (Complete Article)
•  
• Weighted Pricing Functionals
• E. Furman, R. Zitikis (Complete Article)
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• A Capital Allocation Based on a Solvency Exchange Option
• J. Kim (Abstract Only)
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• Optimal Investment Allocation in a Jump Diffusion Risk Model withInvestment: A Numerical Analysis of Several Examples
• B. Laubis, J. Lin (Complete Article)