Description: This is the abstract for the presentation on an empirical-based approach to optimal reinsurance.

Description: This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. Quasi-Monte Carlo methods use deterministic sequences that are quasi-random sequences that result in better convergence and deterministic error bounds.

Description: This abstract describes a study that reviews by simulation the current tools available for testing trends in time series and constructs and compares alternative probability distribution models, using a unique and comprehensive data set that represents the entire crop insurance sector of Canada.

Description: The theme of this presentation relates to solving portfolio selection problems using linear and fractional programming. Two key contributions: 1. Generalization of the CVaR linear optimization framework. 2. Equivalences among four formulations of Coherent Distortion Risk Mearures optimization problems. From Actuarial Research Clearing House, 2012, Vol. 1.

Description: Article from Risk Management Newsletter, July 2006, Issue 8 announces the SunGard/IAFE Financial Engineer of the Year for 2005. This award acknowledges Dr. Boyle’s lifetime contributions and accomplishments in the field of financial engineering. Not only is Dr. Boyle a financial engineer and a professor at the University of Waterloo, he is also an actuary— FIA, FCIA, Hon. FSAI. While Dr. Boyle is best known for pioneering the Monte Carlo methods in quantitative finance, he has also made significant contributions in other areas including actuarial science and insurance.

Description: This is the abstract of the paper Quasi-Monte Carlo Methods in Numerical Finance. This paper introduces and illustrates a new version of the Monte Carl method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations.

Description: This is an abstract article about equity release mechanisms by Siu Hang Li, Mary Hardy and Ken Seng Tan. ARCH 2008, Issue 1.

Description: It is well-known that reinsurance can be an effective risk management technique for an insurer. An appropriate use of reinsurance reduces the adverse risk exposure of an insurer and improves the overall viability of the underlying business. The use of reinsurance, on the other hand, incurs additional cost to the insurer in the form of reinsurance premium. This implies that an insurer is faced with a classic tradeoff between risk spreading and risk retaining. The thrust of my research is to propose some reinsurance designs that are optimal from the perspective of an insurer. This presentation describes an empirical approach to optimal reinsurance designs. This new method has the advantage that it does not need to make any explicit assumptions on the distribution of the underling risk. More importantly, it provides a simple and yet practical way of obtaining solution on a wide range of optimal reinsurance models.

Description: This paper reports on a detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives. It considers mortality improvement in the context of life insurance -as opposed to annuities - where any allowance for improvement represents a less prudent approach than assuming current mortality rates continue.

Description: Article from Risk Management Newsletter, July 2005, Issue 5 that highlights a new frontier for actuaries unfolding in the insurance industry called Enterprise Risk Management.