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Research Projects

Research Projects in CKER

Learn about the research activity of the SOA's Committee on Knowledge Extension Research.

• Edward A. Lew Modeling Project

• Completed CKER Projects
• Estimating the Probability of a Rare Event via Elliptical Copulas
• Liang Peng, Ph.D.
• The researcher modeled and predicted multi–dimensional rare events by combining volatility models and tail copulas.
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• Estimating the Actuarial Cost Function of Financial Distress
• Shaun Wang, Ph.D., ASA, FCAS and Andreas Milidonis, Ph.D.
• The researchers derived an analytical framework and performed empirical estimations of the actuarial cost function of financial distress, expressed as a function of the distance–to–default.
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• Markov Mortality Models and Their Applications in Actuarial Science
• Sheldon Lin, Ph.D., A.S.A. and Xiaoming Liu
• The researchers describe the relationship between mortality and physiological variables by using finite–state Markov processes with one absorbing state to model an underlying dynamic aging process.
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• Robust and Efficient Methods for Credibility

  Vytaras Brazauskas, Ph.D.

  The researcher developed an ensemble of improved data–analysis procedures, which offer various trade–offs between robustness and efficiency. Practical guidelines regarding the choice of appropriate robustness–efficiency trade–off in applications were established.

• The Distribution of the Sum of Lognormals
  Daniel Dufresne, Ph.D., FSA
  The researcher priced lognormals with a particular emphasis on the numerical application of the theoretical results to the pricing of Asian and basket options. The project resulted in two papers: "Stochastic Life Annuities", which will be published in the North American Actuarial Journal, Januray 200y, Vol. 11, Issue 1, and "Fitting Combinations of Exponentials to Probability Distributions", which will be published in Applied Stochastic Models in Business and Industry."

• Levy Processes in Risk Theory
  Jose Garrido, Ph.D., Dip., B.Sc., ASA and Manuel Morales
  The researchers investigated general risk models based on Levy Processes. The paper is published in the North American Actuarial Journal, October 2006, Vol. 10, Issue 4.

• Mortality Improvement Cohorts and the Effect on the Annuities Market and Social Security System in the United States
  Krzysztof Ostaszewski, Ph.D., M.S., MAAA, FSA
  In response to mortality improvement, the researcher studied special cohorts and correlations among them in various countries and their effect on prices of retirement instruments.

• Analysis of Mortality Data Using Smooth Spline Poisson Regression
  N.D. Shyamal Kumar, Ph.D., M.Stat and Manuel Mendoza, Ph.D.
  The researchers survey Bayesian models for mortality data and related frequentist models. The paper is published in ARCH 2006.1.

• Pricing of Guaranteed Annuity Conversion Options
  Steven Haberman, FIA, ASA
  The researcher presents a theoretical model (consistent with financial economics theory) for the pricing of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in the UK. The paper will be published in Insurance: Mathematics and Economics, Vol. 38.

• Toward a Unified Approach to Fitting Loss Models
  Stuart Klugman, Ph.D., FSA and Jacques Rioux, Ph.D., ASA
  The researchers extended the results of Clive Keatinge’s paper, “ Modeling Losses with the Mixed Exponential Distribution”. The paper is published in the North American Actuarial Journal, January 2006, Vol. 10, Issue 1.

• Transferring the Financial Risks of Retirement
  William Leslie, FSA, MAAA
  The researcher developed an educational model that conveys the risks and rewards of various strategies concerning asset performance and longevity. The project resulted in a Beta version of the Retirement Income Calculator software.

• Mathematical Models and Software for Financial Organizations at Risky Markets
  Vladimir Morozov, Ph.D. and Alexander Vasin, Ph.D.
  The researchers developed mathematical methods and software for accumulation of the capital and investment portfolio management problems under specific conditions of the Russian financial markets. The paper was accepted for publication by the International Journal of Mathematics, Game Theory and Algebra.

• Real Longevity Insurance with a Deductible: An Introduction to Advanced–Life Delayed Annuities
  Moshe Milevsky, Ph.D.
  The researcher developed a better understanding of the economic pricing, efficiency and long–term evolution of the Canadian life annuity market, employing the modeling paradigm of continuous–time finance theory. The paper is published in the October 2005 NAAJ.

• Application of Quasi–Monte Carlo Methods to Actuarial Science
  Phelim Boyle, FCIA, Ph.D. and Ken Seng Tan, ASA, Ph.D.
  The project resulted in two research publications: “Pricing Options Using Lattice Rules” is published in the July 2005 NAAJ, and
  “Valuation of the Reset Options Embedded in Some Equity–Linked Insurance” is published in the July 2001 NAAJ.

• Credibility Using Copulas
  Edward(Jed) Frees, FSA, MAAA, Ph.D. and Ping Wang, Ph.D.
  The researchers developed a direct link between credibility and loss distributions through the notion of a copula, a tool for understanding relationships among multivariate outcomes. The paper was published in the April 2005 NAAJ.

• Valuation of Equity–Indexed Annuities under Stochastic Interest Rates
  X. Sheldon Lin, ASA and Dr. Ken Seng Tan, ASA
  This paper considers the pricing of equity–indexed annuities. It was published in the October 2003 NAAJ.

• Contaminated Expotential Dispersion Loss Models
  Professor Udi E. Makov and Professor Zinoviy Landsman
  The research develops families of contaminated exponential dispersion loss models and examined their theoretical properties and applicability to real heavy tailed loss data. It was published in the April 2003 NAAJ.

• Actuarial Aspects of Dependencies in Insurance Portfolios
  Dr. J. Dhaene, Dr. M. Denurt, Dr. M. Goovaerts, R. Kaas and D. Vyncke
  The researchers studied the consequences of the introduction of dependency relations in actuarial models considering the problem at the portfolio level and the individual risk level. The following two papers were published in Insurance: Mathematics and Economics: The Concept of Comonotonicity in Actuarial Science and Finance: Theory, Volume 31, Issue 1, August 2002

  The Concept of Conomotonicity in Actuarial Science and Finance: Applications, Volume 31, Issue 2, October 2002.

• Robust and Efficient Fitting of Loss Models
  Dr. Robert Serfling
  The researcher developed estimators which are both efficient and robust. The results are published in the October 2002 NAAJ.

• Modern Modeling Technologies for Pension Actuaries
  Dr. Arnold F. Shaprio, EA, FSA, MAAA, MSPA
  Several articles published in ARCH were a result of the research which investigated the role of modern modeling technologies for the pension actuary.

• Adaptive Nonlinear Models

• The Inner Workings of Neural Networks and Genetic Algorithms

• Technologies Used in Modeling

• Soft Computing Applications in Actuarial Science

• Generalized Cox, Ingersoll and Ross Model: Statistics and Valuation of Interest Rate Derivatives
  Dr. Wojciech Szatazchneider
  Dr. Szatazchneider presents a simple construction of the extended Cox, Ingersoll and Ross model for term structure of interest rate, and a simple way of pricing general interest rate derivatives with this model. The paper was published in the Mexican Journal of Economics and Finance, Volume 1, Number 4, 2002.

• The Cost of Mismatch in Stochastic Interest Rate Models
  Dr. Michel Jacques, ASA
  Evaluated the cost of mismatch by a percentile of the cash flow distribution when interest rates follow a stochastic model.

• Credibility and Equity
  Dr. Virginia Young, FSA and Dr. S. David Promislow, FCIA, FSA
  Investigated the relationship between credibility and equity and answered such questions as, "How does an actuary, faced with unkown risks, use claim data to arrive at the most equitable premiums?" The paper was published in the Scandinavian Actuarial Journal, Volume 2000, Number 2/September 2000.

• Inflation–Parameter Family of Discrete Probability Distributions and their Application in Analysis of Over–and–Under Dispersed Insurance Data
  Dr. Nikolai Kolev, Ledi Minkova and Plamen Neytchev
  The project focused on constructing a new family of discrete probability distributions which appear as an extension to the family of generalized power series distributions. The paper was published in ARCH, Volume 2000.1.

• Tight Approximation of Basic Characteristics of Classical and Non–classical Surplus Processes
  Vladimir Kalashnikov and Gurami Tsitsiashvili
  The paper proposes asymptotically correct two–sided bounds for random sums (where the number of summands has an arbitrary distribution) which can be viewed as ruin probabilities or accumulated claim sizes in various risk processes. The paper was published in ARCH, Volume 2000.1

• Asymptotic Behavior of Non-homogeneous Risk Processes and Ruin Probabilities
  Dr. Victor Korolev
  The researcher investigated the asymptotic properties of generalized risk processes in which the process of insurance claims is not a homogeneous Poission process as it is assumed in the classical theory. The research resulted in several papers, "The Asymptotic Expansion for Qualities of Compound Cox Processes and their Applications to Some Problems of Insurance and Financial Mathematics," published in Theory of Probability and its Application, Volume 45, No. 1. It also produced "Generalized Risk Processes."

• Pricing Practices for Joint Last Survivor Insurance
  Dr. Heekyung Youn
  Based on a Hougaard copula function and using data from a large insurance company constructed a parametric model for joint survival function. The paper was published in ARCH, Volume 2001.1.

• Statistical Methods for Monitoring Health Care Process Measurements
  Dr. Marjorie Rosenberg, FSA, MAAA
  Discusses the first step of quality control to monitor health care data. The article was published in the October 2001 NAAJ.

• Credibility Using a Loss Function From Spline Theory: Practical Considerations
  Dr. Virginia Young, FSA
  Reviews and expands previous research by developing ways to use results to calculate expected claims. The paper was published in the January 1998 NAAJ.

• Bounding and Asymptotic Behavior of Ruin Probabilities in Collective Risk Theory
  Dr. Vladimir Kalashnikov
  In "Bounding and Asymptotic Behavior of Ruin Probabilities in Collective Risk Theory: Final Report III," ARCH 1998.1, the results of the whole project are summarized along with the results on the last 1/3 of the research. Also in that article the other outcomes and locations from his research are listed.

  The paper, "Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison," proposes upper and lower bonds of ruin probabilities for the S. Anderson model with large claims and compares them. It was published in the October 1999 NAAJ.

• An Actuarial Index of the Right–Tail Risk
  Dr. Shuan Wang, ASA
  The paper measures right tail risk by defining the right–tail deviation and the right tail index. The paper was published in the October 1998 NAAJ

• Is Social Security a Regressive System?
  Dr. Robert L. Brown, ACAS, FCIA, FSA
  This paper analyzes both the Old–Age, Survivors, and Disability Insurance (OASDI) system of the US and Canada/Quebec Pension Plans (C/QPP) to determine whether these systems are "a good deal" and whether they are regressive or progressive. The paper was published in the October 1998 NAAJ.

• The 1996 Accidental Death Mortality Table: A Comprehensive Analysis of Recent Accidental Death Experience
  Jay Jaffe, FCIA, FSA, MAAA
  The researcher considers recent death mortality experience applicable to both life policies and other accident products and presents a possible new valuation accident death benefit mortality table of US business. The information appears in the SOA's 1997–98 TSA Reports.

• Interaction Between Asset Liability Management and Risk Theory
  Dr. Jacques Janssen
  The resulting paper, which was published in ARCH, measures risks when the value of the liabilities becomes larger than the value of the assets.

• Random Mortality Rates and the Analysis of Selective Lapsation
  Dr. Bruce Jones, FCIA, FSA
  Studies models involving random mortality rates and assesses their suitability in analyzing insured life mortality and to develop ideas for modeling relationships between mortality rates and lapse rates. The paper was published in the January 1998 NAAJ.

• Statistical Methods of Combining Multiple Sets of Count Data
  Dr. H. Dennis Tolley, ASA and Dr. Gilbert Fellingham
  The purpose was to examine statisical methods of estimating lapsation rates as they apply to guaranteed issue health insurance policies. One of the resulting papers, published in the July 1999 NAAJ, "Combining Life Table Data," uses maximum likelihood methods to illustrate a method for combining tables of count data.

  Another paper published in the Scandinavian Actuarial Journal, Volume 2000, Number 2, September 2000, "Likelihood Methods for Combining Tables of Data" presents similar data by presenting likelihood methods of combining tables of data from several sources.

• A Stochastic Model of the Asset Liability Management
  Dr. Lijia Guo, ASA
  The research addresses the stochastic modeling for managing the asset liability process. The paper was published in ARCH, 1996.1

• The Analysis of CCRC Data
  Dr. Bruce Jones, FCIA, FSA
  Because continuing care retirement communities (CCRC) pose an interesting challenge to actuaries the researcher presents an approach to analyzing CCRC data and demonstrates the methodology by using data from a CCRC. The paper was published in the October 1997 NAAJ.

• Pricing Decisions in Insurance: A Fuzzy Logic Approach
  Dr. Virginia Young, FSA
  The project researches how an actuary can use fuzzy logic to make pricing decisions that consistently consider supplementary data. Dr. Young's results can be found in the following two papers: "Adjusting Indicated Insurance Rates: Fuzzy Rules that Consider Both Experience and Auxiliary Data," Proceedings, Volume LXXXIV, 1997, Casualty Actuarial Society and "Insurance Rate Changing: A Fuzzy Logic Approach," Journal of Risk and Insurance, September 1996, Volume 63, Number 3.

• Methodology to Deal with Dependencies on Multi–Life Risks
  Dr. Edward (Jed) Frees, FSA, Dr. Jacques Carriere, ASA and Dr. Emiliano Valdez, FSA
  By discussing a broad class of parametric models using a copula the paper, "Annuity Valuation with Dependent Mortality," which was published in ARCH, 1995.1, investigates the use of models of dependent mortality for determining annuity values.

• Study of Public Financial Guarantee Programs
  The monograph by Price Waterhouse LLP for the Society of Actuaries presents the results of a study of Public Financial Guarantee Programs in the United States and Canada.

• Public Employees Retirement Systems
  Michael Samet, EA, FCA, FSA, MAAA, Timothy Peach, EA, FSA, MAAA and W. Paul Zorn
  The monograph published by the Society of Actuaries is the first comprehensive study and review of actuarial methods used by public employees retirement systems (PERS).

• Applications of Operations Research Methods to Solve Problems of Importance in Actuarial Science and Insurance Management
  Dr. Patrick Brockett
  The research develops and documents the applicability of operations research methodologies for improved global decision making in actuarial science and insurance management and to extend the theory and applications to insurance company management. The paper was published in the Transactions, 1995, Volume 47, Society of Actuaries.

• Edward A. Lew Award
  Ed Lew was the 1973–74 president of The Society of Actuaries and a longtime supporter of SOA efforts. He was an active member and chairperson emeritus of the Committee on Life Insurance Research at the time of his death in 1996. He was a founding member of the Actuarial Research Conference (ARC) and the Actuarial Reserach Clearing House (ARCH) publication.

  He had a longtime interest in modeling research and was instrumental in providing the motivation for the beginning of the Society of Actuaries modeling conferences.

  CKER administers this award program to advance knowledge in actuarial modeling. The first awards were presented in 1998.

• The Management of De–Accumulation Risks in a Defined–Contribution Environment (2002)
  Russell Gerrard, Ph.D., Steven Haberman, FIA, Ph.D., and Elena Vigna, Ph.D.
  To provide a tool for finding the optimal investment and/or consumption choices in defined–contribution pension schemes in the decumulation phase, when the income drawdown option is taken by the pensioner. The paper was published in the North American Actuarial Journal, January 2006, Volume 10, No. 1.

• Development of Educational Material Related to Actuarial Modeling (2000)
  Bruce Jones, FSA, Ph.D.
  The completed project, "Modeling Policyholder Outcomes under a Disability Income–Type Long–Term Care Insurance Policy," was an extension of An Introduction to Actuarial Models and Modeling: An Interactive Approach (IAMM) and has been incorporated on the SOA Course 7 syllabus.

• Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation (1999)
  Hans U. Gerber, ASA, Ph.D. and Elias S. Shiu, ASA, Ph.D.
  Published in the April 2000 NAAJ.

• A Longitudinal Data Analysis Interpretation of Credibility Models (1998)
  Edward A. Frees, FSA, Ph.D., Yu Luo, ASA and Virginia R. Young, FSA, Ph.D.
  Published in Insurance: Mathematics and Economics, Volume 24, Issue 3 (28, May 1999)

• Forecasting Social Security Actuarial Assumptions (1998)
  Edward A. Frees, FSA, Ph.D., Yueh–Chuan Kung, Ph.D., Siu–Wan Lan, ASA, Ph.D. Marjorie A. Rosenberg, FSA, Ph.D. and Virginia R. Young, FSA, Ph.D.
  Published in the October 1997 NAAJ.

• Understanding Relationships Using Copulas (1998)
  Edward A. Frees, FSA, Ph.D., Emiliano Andreas P. Valdez, Ph.D.
  Published in the January 1998 NAAJ.

• CKER Travel Grant Opportunity for 42nd Actuarial Research Conference
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• Combining Life Table Data
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