completed research by researcher

The Research Committee of The Actuarial Foundation (TAF), the Casualty Actuarial Society (CAS) and the Committee on Knowledge Extension Research (CKER) of the Society of Actuaries support the advancement of knowledge in actuarial science through its support of research. Below is a list of completed research projects:

by Andrews, George
Actuarial Projections for the Old-Age, Survivors, and Disability Insurance Program of Social Security in the US

by Bartlett, Dwight editor
Corporate Book Reserving for Postretirement Health Care Benefits

by Bayer, Gary
Gain and Loss Characteristics of Average Fair Market Value Asset Valuation Methods

by Beekman, John
* Actuarial Projections for the Old-Age, Survivors, and Disability Insurance Program of Social Security in the US
* Mathematical Models for Active Life Expectancy
* Projections of Active Life Expectancies and Their Applications to Long-Term Care Coverages

by Boyle, Phelim
Bounds on Prices of Insurance Contracts and Complex Options

by Brazauskas, Vytaras
* Robust and Efficient Estimation of the Tail Index of a One-Parameter Pareto
* Robust and Efficient Methods for Estimation of Reinsurance Parameters

by Brockett, Patrick
* Biological and Psycho-behavioral Correlates of Risk Taking, Credit Scores, and Automobile Insurance Losses: Toward an Explication of Why Credit Scoring Works
* Ethics, Economics and Actuarial Considerations of Genetic Testing
* Information Theoretic Approach to Actuarial Science: A Unification and Extension of Relevant Theory and Applications

by Broffit, James
Fine Tuning a Whittaker-Henderson Graduation

by Broverman, Samuel
Textbook on Mathematics of Investment and Credit

by Brown, Robert L.
Distance Learning for Actuarial Students

by Carlin, Bradley
A Monte-Carlo Approach to the Analysis of Nonlinear and Non-Gaussian Actuarial Time Series

by Case, Daniel
Explaining US GAAP Reports in Mutual Life Insurance Companies

by Chan, Wai-Sum
Some Nonlinear Time Series Models for Actuarial Use

by Cossette, Helene
Modeling Catastrophes and Their Impact on Insurance Portfolios

by D’Arcy, Stephen
* On Applications of Finance Theory to Property-Liability Insurance Pricing
* The Profit Provision in the Ratemaking Formula

by Doherty, Neil
On Applications of Finance Theory to Property-Liability
Insurance Pricing

by Dowd, Bryan
Premium Death Spirals: Theory and Empirical Evidence

by Duchesne, Thierry
Modeling Catastrophes and Their Impact on Insurance Portfolios

by Dufresne, Daniel
* Actuarial Gains and Losses: A Martingale Approach
* Fluctuations of Pension Fund Contributions and Fund Levels

by Dufresne, Francois
Risky Business-An Education Software for Risk Theory

by Dyer, Michael
The Profit Provision in the Ratemaking Formula

by Feldman, Roger
Premium Death Spirals: Theory and Empirical Evidence

by Frees, Edward (Jed)
Modeling Life and Health Insurance Operations with Solvency Considerations

by Friesen, Geoffrey
An Empirical Examination of Jump Risks in U.S. Equity and Bond Markets

by Gerber, Hans U
Risky Business-An Education Software for Risk Theory

by Haberman, Steven
Pricing of Guaranteed Annuity Conversion Options
Simulation Based Investigation of Optimal Funding for Defined-Benefit Schemes

by Hardy, Mary
* The Bootstrap Method for Calibrating Equity Models
* Stock Return Models for Financial Guarantees with Applications to Investment Guarantees in Insurance Products

by Hicks, E.L.
* Accounting Standards Board’s Preliminary Views and Exposure Draft
* Employer Accounting for Pensions: An Analysis of Financial

by Hogg, Robert
Loss Distributions

by Klugman, Stuart
* Bayesian Credibility
* Empirical Bayesian Credibility for Workers’ Compensation Classification Ratemaking

by Landsman, Zinoviy
Sequential Quasi-Linear Credibility

by Lin, X. Sheldon
* Approximations for Aggregate Claims and Ruin Probabilities
* Bounds on Prices of Insurance Contracts and Complex Options

by London, Richard
Survival Models and Their Estimation

by Makov, Udi
Sequential Quasi-Linear Credibility

by Marceau, Etienne
Modeling Catastrophes and Their Impact on Insurance Portfolios

by Meyers, Glenn
* A Stochastic Approach to Workers Compensation Pension Reserves
* An Analysis of the Capital Structure of an Insurance Company
* An Introduction to the Competitive Market Equilibrium Risk Load Formula
* Empirical Bayesian Credibility for Workers' Compensation Classification Ratemaking

by Milgrom, Paul R.
Measuring The Interest Rate Risk

by Ostaszewski, Krzysztof
* An Alternative Look at Returns of High-Yield Securities and at Risk Classification
* Asset-Liability Integration
* Parametric and Non-Parametric Bootstrap in Actuarial Practice

by Owadally, Iqbal
Simulation Based Investigation of Optimal Funding for Defined-Benefit Schemes

by Panjer, Harry
Insurance Risk Models

by Parker, Gary
Interest and Mortality Randomness: Solvency Considerations

by Promislow, S David
* Credibility and Equity
* Measurement of Relative Equity and Yaari’s Theory of Risk

by Rempala, Grzegorz
Parametric and Non-Parametric Bootstrap in Actuarial Practice

by Reuter, Robert
Life Insurance Account

by Scollnik, David
* Actuarial Modeling with MCMC and BUGS
* Bayesian Reserving Methods Inspired by Chain Ladder Methods and Implemented Using WinBUGS

by Seah, Eric
Educational Software for Actuarial Mathematics and Demography

by Serfling, Robert
Robust and Efficient Estimation of the Tail Index of a One-Parameter Pareto

by Shapiro, Arnold
Operations Research Applications in Actuarial Science and Insurance

by Sinha, Tapen
Retrospective and Prospective Analysis of the Privatized Mandatory Pension System in Mexico

by Sutton, Harry
Premium Death Spirals: Theory and Empirical Evidence

by Trowbridge, C.L.
* Employer Accounting for Pensions: An Analysis of Financial Accounting Standards Board’s Preliminary Views and Exposure Draft
* Fundamental Concepts of Actuarial Science

by Van Slyke, Editor
Actuarial Considerations Regarding Risk and Return in Property-Casualty Insurance

by Wang, Shuan
Insurance Pricing: Theory and Applications, and Insurance Ratemaking: Risk and Reward

by Willmot, Gordon
* Approximations for Aggregate Claims and Ruin Probabilities
* Insurance Risk Models

by Young, Virginia
* Credibility and Equity
* Measurement of Relative Equity and Yaari’s Theory of Risk
* Pricing Life Insurance Under Stochastic Mortality via the Instantaneous Sharpe Ratio