Casualty Actuarial Society

Research

Individual Grants Competition

The Actuarial Foundation of Canada, Casualty Actuarial Society and Society of Actuaries’ Committee on Knowledge Extension Research together support the Individual Grants Competition to add to the advancement of knowledge in actuarial science.

Recently completed research projects are listed below.

Research Projects

2016

October 2016, Accepted by the North American Actuarial Journal (NAAJ) – Lian Hong, Ryan Martin,"A Flexible Bayesian Nonparametric Model for Predicting Future Insurance Claims"

August 2016, Accepted by the North American Actuarial Journal (NAAJ) – Lei Hua, Michelle Xia, Sanjib Basu, "Factor Copula Approaches for Assessing Spatially Dependent High-Dimensional Risks"

February 2016, Accepted by Variance – Maochao Xu, "TMV-based Capital Allocation for Multivariate Risks"

January 2016, Accepted by Variance – Michael Baron, Rui Xu, "Sequential Testing for Full Credibility"

2015

November 2015, Accepted by North American Actuarial Journal (NAAJ) – Andreas Milidonis, "An Empirical Investigation of CDS Spreads using a Regime Switching Default Risk Model"

September 2015, Accepted by Variance – Helene Cossette, David Landriault, Etienne Marceau, Khouzeima Moutanabbir, "Moment–Based Approximation with Mixed Erlang Distributions"

September 2015, Accepted by North American Actuarial Journal (NAAJ) – Brian M. Hartman, Ph.D., Nathan R. Lally, "Predictive Modeling in Long Term Care Insurance

August 2015, Accepted by Variance – Sam Efromovich, "What Actuaries Should Know about Nonparametric Regression with Missing Data"

August 2015, Accepted by Insurance: Mathematics and Economics – Larry Hua, "Tail Negative Dependence and Its Applications for Aggregate Loss Modeling"

July 2015, Accepted by Variance – Robert Howley, Robert Storer, Juan Vera, Luis Zuluaga, "Computing Semiparametric Bounds on the Expected Payments of Insurance Instruments via Column Generation"

June 2015, Accepted by North American Actuarial Journal (NAAJ) –Peng Shi, Ph.D., "Credibility in Loss Reserving"

June 2015, Accepted by Variance – Robert Erhardt, "Spatial Dependence and Climate Change Impacts on Weather Risk Pricing"

May 2015, Accepted by North American Actuarial Journal (NAAJ) – Vytaras Brazauskas, Ph.D., ASA, "Modeling Severity and Measuring Tail Risk: Statistical Methods, Tools, Perspectives"

April 2015, Accepted by North American Actuarial Journal (NAAJ) – Dr. Yi Lu and Jimmy Poon, "A Spatial Cross–Sectional Credibility Model with Dependence Among Risks"

March 2015, Accepted by Variance – Paul Gregory Ferrara, Rahul A Parsa, Bryce A Weaver, "A Linear Approximation to Copula Regression"

2014

June 2014, Accepted by Variance – Liang Peng and Jingpeng Yang, "Interval Estimation for Bivariate T–copulas"

April 2014, Accepted by North American Actuarial Journal (NAAJ) – Dr. Runhuan Feng, "Alternative Computational Methods for Risk Capitals of Variable Annuity Guaranteed Benefits"

March 2014, Accepted by the European Actuarial Journal (EAJ) –Emiliano A. Valdez, PhD, FSA, "Empirical Investigation of Insurance Claim Dependencies Using Mixture Models"

2013

September 2013, Accepted by the North American Actuarial Journal (NAAJ) – Peng Shi, Wei Zhang, "Managed Care and Health Care Utilization: Specification of Bivariate Models Using Copulas"

September 2013, Accepted by the Actuarial Research Clearing House (ARCH) – Tapen Sinha, "Insurance Business in Mexico: A Summary"

August 2013, Accepted by the Actuarial Research Clearing House (ARCH) – Douglas Andrews, "Is the Cost Method of the Canada Pension Plan Suitable for Adoption by Other Countries?"

July 2013, Accepted by the the North American Actuarial Journal (NAAJ) – Qihe Tang, Zhongyi Yuan "Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation"

July 2013, Accepted by Statistics and Operations Research Transactions (SORT) – Jaap Spreeuw, Jens Perch Nielsen and Søren Fiig Jarnert, "A nonparametric visual test of mixed hazard models"

June 2013, Accepted by the North American Actuarial Journal (NAAJ) – Brian Hartman and Chris Groendyke, "Model Selection and Averaging in Financial Risk Management"

2012

December 2012, Accepted by the Scandinavian Actuarial Journal – Katrien Antonio and Richard Plat, "Micro–level Stochastic Loss Reserving for General Insurance"

June 2012, Accepted by Insurance: Mathematics and Economics – Runhuan Feng and Hans W. Volkmer, "Modeling Credit Value Adjustment With Downgrade–Triggered Termination Clause Using a Ruin theoretic Approach"

June 2012, Accepted by the Journal of Insurance Issues – Ping Wang, "Risk Modeling of Multi–year, Multi–line Reinsurance Using Copulas"

May 2012, Accepted by the North American Actuarial Journal (NAAJ) – Qihe Tang and Zhongyi Yuan, "A Hybrid Estimate for the Finite–time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization"

May 2012, Accepted by the North American Actuarial Journal (NAAJ) –Claymore Marshall, Mary Hardy, and David Saunders, "Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit"

March 2012, Accepted by the Scandinavian Actuarial Journal – Mark Bebbington, Rebecca Green, Chin–Diew Lai and Riĉardas Zitikis, "Beyond the Gompertz Law: Exploring the Late–life Mortality Deceleration Phenomenon"

2011

December 2011, Accepted by the North American Actuarial Journal (NAAJ) – Carole Bernard, Michael Ludkovski, "Impact of Counterparty Risk on the Reinsurance Market"

September 2011, Accepted by the North American Actuarial Journal (NAAJ) – Joseph H. T. Kim, Mary R. Hardy, "Capital Allocation Using the Bootstrap"

June 2011, Accepted by the North American Actuarial Journal (NAAJ) – Nariankadu D. Shyamalkumar, "Large Sample Behavior of the CTE and VaR Estimators Under Importance Sampling"

May 2011, Accepted by Variance – Stephen P. D’Arcy, "Capital Allocation in the Property–Liability Insurance Industry"

April 2011, Accepted by the Insurance: Mathematics and Economics Journal – Erhan Bayraktar, Xueying Hu, Virginia Young, "Minimizing the Probability of Lifetime Ruin Under Stochastic Volatility"

March 2011, Accepted by the European Actuarial Journal – Philippe Artzner, "Multiperiod Insurance Supervision: Top–down Models"

2010

November 2010, Posted two papers on SOA Website – Mary Hardy, David Saunders, Ishmaeal Sharara,"A Comparative Analysis of U.S., Canadian and Solvency II Capital Adequacy Requirements in Life Insurance" and "Regulatory Capital Standards for Property and Casualty Insurers under the U.S., Canadian and Proposed Solvency II (Standard) Formulas"

October 2010, Accepted by the North American Actuarial Journal (NAAJ) – Steven Vanduffel, "Improving the Design of Financial Products in a Multidimesional Black–Scholes Market"

September 2010, Accepted by Variance – Luyang Fu, C. K. ‘Stan’ Khury, "Optimal Layers for Catastrophe Reinsurance"

May 2010, Accepted by the North American Actuarial Journal (NAAJ) – Dr. Laura Ballotta, "Efficient Pricing of Rachet Equity Indexed Annuities in a VG Economy"

February 2010, Accepted by Variance – Samuel H. Cox, Yijia Lin, Ruilin Tian, Luis F. Zuluaga, "Bounds for Probabilities of Extreme Events Defined by Two Random Variables"

January 2010, Accepted by the Journal of the American Statistical Association – Sam Efromovich, "Dimension Reduction and Adaption in Conditional Density Estimation"

January 2010, Accepted by the North American Actuarial Journal (NAAJ) – Nariankadu D. Shyamalkumar, "An Asymptopic Analysis of the Bootstrap Bias Correction for the Empirical CTE"

2009

August 2009, Accepted by the North American Actuarial Journal (NAAJ) – Eric Ulm, "the Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits"

July 2009, Accepted by the North American Actuarial Journal (NAAJ) – Sheldon Lin, Ken Seng Tan, "Pricing Annuity Guarantees Under a Regime–Switching Model"

May 2009, Accepted by the North American Actuarial Journal (NAAJ) – Vytaras Brazauskas, "Robust and Efficient Fitting of Loss Models: Diagnostic Tools and Insights"

March 2009, Accepted by the North American Actuarial Journal (NAAJ) – Doug Andrews, "Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems?"

2008

December 2008, Accepted by Variance – Dr. Stephen D’Arcy, Alfred Au, Liang Zhang, "Property Liability Insurance Loss Reserve Ranges Based on Economic Value"