AERF Awards Grants

The Actuarial Education and Research Fund (AERF), affiliated with The Actuarial Foundation, has awarded three grants in conjunction with its 2001 Individual Grants Competition.

• Some Nonlinear Time Series Models for Actuarial Use—Wai Sum Chan and Albert C. S. Wong, University of Hong Kong, have been awarded a grant to study advanced nonlinear time series techniques that might be useful in building stochastic models for pricing and reserving. The techniques will be illustrated so that they are applicable to practicing actuaries.

• The Bayesian Implementation and Analysis of Various Chain Ladder Models Using Markov Chain Monte Carlo Simulation Methods via WinBUGS—David Scollnik, University of Calgary, will examine how a number of existing and new models for outstanding liabilities (i.e., loss development triangle models) can be implemented in accordance with the principles of Bayesian statistics using Markov Chain Monte Carlo simulation methods via the WinBUGS software program.

• Calculating Insurance Premiums Using Dependent Risk Models and Catastrophe Databases—Thierry Duchesne, University of Toronto, and Etienne Marceau and Helene Cossette, Laval University, will study the calculation of insurance premiums using dependent risk models and catastrophe databases. The purpose of this project is to derive systematic methods for calculating insurance premiums when natural disasters induce dependence in the risks. The researchers plan to develop individual and collective risk models, incorporating simulation results and catastrophe archive data. The Actuarial Education and Research Fund and the Casualty Actuarial Society are jointly funding this project.