recently completed research

The Actuarial Foundation’s Research Committee, 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.

View recently completed research projects below or click here to view an archive of research projects.

Research Projects

May 2012, Accepted NAAJ –Claymore Marshall, Mary Hardy, and David Saunders, Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit

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

December 2011, Accepted NAAJ - Carole Bernard, Michael Ludkovski, Impact of Counterparty Risk on the Reinsurance Market

September 2011, Accepted NAAJ - Joseph H. T. Kim, Mary R. Hardy, Capital Allocation Using the Bootstrap

June 2011, Accepted NAAJ - Nariankadu D. Shyamalkumar, Confidence Intervals for the CTE: In Search for Improved Small Sample Performance

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

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

March 2011, Accepted European Actuarial Journal  - Philippe Artzner, Multiperiod Insurance Supervision: Top-down Models

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 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 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 NAAJ - Nariankadu D. Shyamalkumar, An Asymptopic Analysis of the Bootstrap Bias Correction for the Empirical CTE

August 2009, Accepted by NAAJ - Eric Ulm, The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits

July 2009, Accepted by NAAJ - Sheldon Lin, Ken Seng Tan, Valuation of Variable Annuities

May 2009, Accepted by NAAJ - Vytaras Brazauskas, Robust and Efficient Fitting of Loss Models: Diagnostic Tools and Insights

March 2009, Accepted by NAAJ - Doug Andrews, Is Defined Contribution a Panacea for Defined Benefit Social Security Funding Problems?

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