Description: This is the abstract of a paper that complements the existing research on optimal reinsurance by proposing another model for the determination of the optimal reinsurance design.

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: 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: This is the abstract of a paper that deals with a recent modification of the Monte Carlo method known as quasi random Monte Carlo. Under this approach, one uses specially selected deterministic sequences rather than random sequences as in Monte Carlo. These special sequences are known as low discrepancy sequences and have the property that they tend to be evenly dispersed throughout the unit cube. For many applications in finance, the use of low discrepancy sequences seems to provide more accurate answer than random sequences.

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: This abstract describes a paper that considers the pricing in a non-competitive market and models the pricing process as a bargaining game.

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

Description: This report focuses on analyzing and managing climate change and carbon risk in the equity investment portfolios of insurance company and pension fund assets.

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.