2006 Winter Forum
Including the Data Management Call Papers and Reports of CAS Research Working Parties Correlations and Dependencies Among All Risk Sources, and Risk Transfer Testing
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Table of Contents
Data Management Call Papers
Distinguishing the Forest from the TREES: A Comparison of Tree Based Data Mining Methods
by Richard Derrig, Ph. D. and Louise Francis, FCAS, MAAA
Taming Text: An Introduction to Text Mining
by Louise A. Francis, FCAS, MAAA
Variable Reduction for Predictive Modeling with Clustering
by Robert Sanche, and Kevin Lonergan, FCAS
CAS Research Working Party Reports
The Report of the Research Working Party on Correlations and Dependencies Among All Risk Sources
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Introduction
Glenn Meyers, FCAS, MAAA, Ph.D
Part 1—Correlation and Aggregate Loss Distributions With an Emphasis on the Iman-Conover Method
Stephen J. Mildenhall
Part 2—Aggregating Bivariate Claim Severities With Numerical Fourier Inversion
David L. Homer, FCAS
Part 3—The Common Shock Model for Correlated Insurance Losses
Glenn Meyers, FCAS, MAAA, Ph.D
Part 4—Serial Correlations of Interest and Inflation Rates
Hans E. Waszink AAG, MSc.
Risk Transfer Testing of Reinsurance Contracts: Analysis and Recommendations
by The CAS Research Working Party on Risk Transfer Testing
Additional Papers
Estimating Tail Developement Factors: What to do When the Triangle Runs Out
Joseph Boor, FCAS
A Database in 3-D
Alfred D. Commodore, ACAS
Reinsurance Involving Partial Risk Transfer: Addressing the Accounting Difficulties
Spencer M. Gluck, FCAS, MAAA
A Multivariate Bayesian Claim Count Developement Model With Closed Form Posterior and Predictive Distributions
Stephen Mildenhall, FCAS
Incorporating Systematic Risk into the RMK Framework
by Trent R. Vaughn, FCAS
A Portfolio Theory of Market Risk Load
by Yingjie Zhang, FCAS
