Current Research Activities

Completed Research

chronological listing | alphabetical listing | researchers listing

The Optimal Allocation of Aggregate Mortality Risk

Anthony Webb, Boston College, has received a grant from the AERF Committee of TAF and the CKER of the SOA to study the aggregate mortality risk faced by annuity insurers.

Impact of Co-payments and Deductibles on Long-Run Health Insurance Claims: Empirical Evidences

Antonio Westenberger, University of Sao Paolo, has been awarded a grant from the AERF Committee of TAF and the CKER of the SOA. He will investigate the effects of preventive care and provide guidance for optimal modeling in health care products.

Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems?

The AERF Committee of TAF has awarded a grant to Doug Andrews, University of Waterloo, to expand the current body of knowledge on social security by identifying factors of financial markets, economics, and demographics necessary to enable a move from a defined benefit to defined contribution social security system, where both systems are partially or fully funded, including characteristics of financial markets necessary to support payments to retirees.

Estimating the Actuarial Cost Function of Financial Distress

Shaun Wang, Georgia State University, has received a grant from the AERF Committee of TAF and the CKER of the SOA to derive an analytical framework and perform empirical estimations of the actuarial cost function of financial distress.

Actuarial and Financial Applications of Integral Functionals of Levy Processes

Using a grant from the AERF, Daniel Dufresne, University of Melbourne, is researching integral exponential functionals in Probability Theory and their applications to actuarial financial problems. This project will yield new explicit results in Actuarial Science and Finance. Analytical results would be of immediate practical use.

Aspects of Insurance Markets in Mexico: Past, Present and Future

A research team led by Tapen Sinha, Instituto Tecnologico Autonomo de Mexico, is studying various aspects of the Mexican insurance market: past, present and future.

Empirical Estimation of Dependence in a Portfolio of Insurance Claims

AERF and the Casualty Actuarial Society (CAS) have awarded Emiliano Valdez and Andrew Chernih, University of New South Wales, a grant to investigate the presence of dependencies in individual claims in a portfolio of insurance policies.

Workers' Compensation Ratemaking: A Textbook for the Practicing Actuary

Sholom Feldblum, Liberty Mutual, with a grant from the AERF and the CAS, is creating a textbook covering workers compensation classification ratemaking, experience rating, and retrospective rating geared to two groups: practicing actuaries for workers compensation carriers and actuarial candidates for CAS Exams 5 and 9.

Dependence Modeling for Economic Capital Allocation with Financial Conglomerates

Rob Kaas and Roger J.A. Laeven, University of Amsterdam, are considering the modeling of dependence between constituents of a financial conglomerate and assess the influence of the dependence structure on the capital allocation within the conglomerate.

Programs