Abstracts

Operational Risk Capital Provisions for Banks and Insurance Companies
Edoh Fofo Afambo, Georgia State University

Rainfall insurance
Edgard Baqueiro, ByC Servifin; Tapen Sinha, ITAM

Modeling natural catastrophe risk: an application to earthquakes and hurricanes
Mathieu Boudreault, Hélène Cossette, Étienne Marceau, Université Laval

The Valuation of hybrid pension plan
Kai Chen, University of Waterloo

A Comparison of Methods for Modeling an Aggregate Life Insurance Claims Distribution
Sarah Christiansen, Tom Edwalds, Munich American Reassurance

Ruin Measures in Risk Models with Time Dependent Claim Amounts
Hélène Cossette, Mathieu Boudreault, David Landriault, Etienne Marceau, Université Laval

A Dynamic Programming Approach to Valuing Reload Executive Stock Options
Palahuela W. Dayandanda, St Thomas University

Claims Reserving When There Are Negative Values in the Runoff Triangle: Bayesian analysis using the three-parameter lognormal distribution
Enrique de Alba, Marco Ramirez Corzo, ITAM

Four-Part Models with Correlation between Inpatient and Outpatient Health Care Expenditures
Jie Gao, University of Wisconsin-Madison

A Comparative Study of IBNR Methodologies for the Colombian Pension System
Luis Gutierrez, University of Nebraska-Lincoln; Andres-Felipe Ochoa, Angela Correa, Suramericana de Seguros

A joined-up syllabus for technical actuarial education
Mary Hardy, University of Waterloo

Topics in Lump Sum Payments from Defined Benefit Pension Plans
Kyle Hays, University of Iowa

Tail Index Estimation for Partitioned Insurance Losses
John Henry, III, Ping-Hung Hsieh, Oregon State University

Applications of Capture-Recapture Methods
Thomas N. Herzog, FHA/HUD

An Interpolation Method to Produce Continuous Force of Mortality
Syed A. Hossain, University of Nebraska – Kearney

On Indifference Pricing for Double-Trigger Reinsurance Products
Sebastian Jaimungal, University of Toronto; Suhas Nayak, Stanford University

Catastrophe Options with Stochastic Interest Rates and Compound Poisson Losses
Sebastian Jaimungal, University of Toronto; Tao Wang, University of Toronto

A Better Defined Benefit Contribution Policy: Contribute No Less than the Normal Cost
David Kausch, University of Michigan

Bootstrap estimation of the conditional tail expectation (CTE)
HyunTae Kim, University of Waterloo

Pricing American options on exponential Levy processes
Adam Kolkiewicz, University of Waterloo

Study of Variance Reduction Techniques for American Option Pricing
Jennie La, Christiane Lemieux, University of Calgary

Analysis of the discounted penalty function in a discrete-time risk model with dependence
David Landriault, University of Waterloo

Projecting the Mortality Experience of Canadian Assured Lives
Johnny Siu-hang Li, The University of Waterloo

Phase-type law of mortality
X. Sheldon Lin, Xiaoming Liu, University of Toronto

The Compound Poisson Risk Model with a Threshold Dividend Strategy
X. Sheldon Lin, University of Toronto; Kristina P. Pavlova, University of Western Ontario

Long Term Deferred Annuity Products
Yan Liu, University of Waterloo

The Work of the SOA Accreditation Implementation Task Force: A Status Report and Opportunity for Feedback Warren Luckner, University of Nebraska-Lincoln

Insurance Capital as a Shared Asset
Donald Mango, GE Insurance Solutions

On the Expected Discounted Penalty Function for Generalized Risk Lévy Processes
Manuel Morales, York University; Jose Garrido, Concordia University

Factors Affecting Labour Risks Severity
Nadia Paulina Pérez Guerrero, HSBC; Angeles Yánez, ITAM

Mortality under Standard Individually Life Insurance Between 1999 and 2002 Anniversaries
Jorge Rendón, ITAM

The Cost of Pension Guarantee
Alejandro Renteria, Tapen Sinha, ITAM

Pricing of Guaranteed Products for Defined Benefit Pension Funds
Mark Saxonov, New York Life

Provisions for Adverse Deviations: The Margin Based Approach for Setting Assumptions for Pension Plans
Kevin Shand, University of Manitoba

Fuzzy Regression Models and the Term Structure of Interest Rates
Arnold F. Shapiro, Penn State University

Mistakes? We’ve seen a few
John Shepherd, Macquarie University

Bancassurance: Who Ties the Knot and Why
Tapen Sinha, ITAM

A Poisson Regression Model for Mortality Data
N. D. Shyamalkumar, The University of Iowa

CTE and Capital Allocation under the Skew Elliptical Distributions
Ken Seng Tan, University of Waterloo

Longitudinal Modeling of Singapore Automobile Insurance
Emiliano Valdez, University of New South; Wales Edward W. Frees, University of Wisconsin-Madison

Useful properties of the three-parameter Burr XII distribution
Yao Wang, Roosevelt University

The adjustment coefficient with QS and XL reinsurance
Li Zhi, University of Waterloo

Risk Management at a Leading Canadian Bank: An Actuarial Science Graduate's View
Yu Zhou, TD Bank Financial Group