Description: A detailed statistical analysis of mortality improvement for the Canadian population and for the Canadian insured lives conducted by the Institute for Quantitative Finance and Insurance.

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 abstract is for a paper that addresses the problem of optimal reinsurance design using the criterion of minimizing the Conditional Tail Expectation (CTE) risk measure of the insurer's total risk.

Description: This is the abstract on the paper on optimal reinsurance retentions under joint survivorship of both insurer and reinsurer.

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: This report predicts farm-level crop yield distributions in the absence of farm-level yield data.

Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.

Description: This presentation provides evidence that a decline in interest rates in the negative interest rate environment produces a much more serious consequence on life insurers than that in the positive interest rate environment.

Description: This report proposes a methodology to isolate crop yield improvement due to technological change and favorable and unfavorable weather.