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AERF Announces Grant Award Recipients
The Actuarial Education and Research Fund (AERF) has awarded several grants in conjunction with its 2000 Individual Grants Competition.
- Robust and Efficient Methods for Estimation of Reinsurance Parameters—Vytaras Brazauskas of the University of Wisconsin-Milwaukee will compare empirical nonparametric and robust parametric estimators of different reinsurance premiums on the basis of two criteria: efficiency and robustness. The asymptotic variance of the estimator will be used as an efficiency criterion, and the breakdown point of the estimator will be used as a robustness criterion.
Effective Statistical Methods for Group Insurance—Nanak Chand of CNS Actuarial Services will develop and illustrate simple and practical statistical methods for actuarial applications pertaining to group insurance. The resulting analytical techniques will help in the process of estimating claim costs, margins, risk charges, contingency reserves, and other pricing and reserve factors. The SOA Health Section is cosponsoring this research.
Stock Return Models for Financial Guarantees—Mary Hardy of the University of Waterloo will collate and extend the current research in equity-linked life insurance. The emphasis of the applications in the report will be Canadian segregated fund contracts. However, the techniques will also be applicable to variable annuity contracts in the U.S., to guaranteed annuity rate options in the U.K., and to equity-linked insurance in many other countries.
The Grand Pension Experiment in Mexico—Tapen Sinha of ITAM will analyze the effectiveness of the privatization of the pension system in Mexico. Several aspects of the system will be explored.
Premium Death Spirals: Theory and Empirical Evidence—The research team, including Harry Sutton of Allianz Life, and Bryan Dowd and Roger Feldman of the University of Minnesota, will analyze high and low health-risk consumers' preference for premiums and benefits. The researchers will also evaluate whether a competitive health insurance market can sustain health plans that appeal to high risks. This project is being cosponsored by the SOA Health Section.
Upon completion, the results of the projects are expected to be submitted for publication to journals such as the CAS Forum and North American Actuarial Journal.