Non Life Insurance Projects by ylw11217

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									  CURRENT SOA RESEARCH PROJECT INVENTORY LIST (January 2011)


[Note: If projects are referred to as complete, additional information or
resulting reports can be found under the Research tab on the home page of
the SOA website.]


FINANCE PROJECTS

The Subprime Mortgage Crisis and Lessons for Insurers (FP161) – Report 2
– The projects will evaluate and gauge the impact of the subprime mortgage crisis
on insurers and what can be learned from it for future financial and risk
management. (Contact: John Nigh)

Insurance Company Investment Strategies in an Economic Downturn
(FP162) – The project will assess investment strategies that insurance companies
can adopt to deal with a contracting economy. Researcher: Max Rudolph.
(Contact: Steven Siegel)

Survey on Market Risk Best Practices for Life Insurance Companies (FP163)
– The researchers will issue a survey that explores market risk best practices.
The survey is to be completed by individuals within life insurance companies
responsible for managing market risk. Researcher: PricewaterhouseCoopers.
(Contact: Steven Siegel)

The Impact of Severe Inflation and Deflation on North American Financial
Security Systems (FP164) – The NAAC Collaborative Research Group has
initiated this project to explore the impact of inflation and deflation on North
American financial security systems. Researchers: Stephen D’Arcy and Kevin
Ahlgrim. (Contact: Steven Siegel)

RISK MANAGEMENT PROJECTS

Determinants of Insurer’s Reputational Loss: Operational Loss Event Study
(ERM106) — The research team will identify key factors affecting reputational
loss arising from operational loss events experienced by US domiciled insurers.

This project is now complete and will be removed from future reports.
Researchers: Shinichi Kamiya, Joan Schmit and Marjorie Rosenberg, U of WI.
(Contact: Steven Siegel)

Operational Risk Characteristics & Risk-Return Trade-Off (ERM111) – This
project presents operational risk models and their use in corporate settings.
Researcher: Dr. Madhu Acharyya. (Contact: Steven Siegel)




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Reflecting Risk in Pricing Survey RFP (ERM112) - Update to the Risk
Management Task Force's Reflecting Risk in Pricing Survey.

This project is now complete and will be removed from future reports.
(Contact: Steven Siegel)

A Study of International Solvency Regimes (ERM113) – This project compares
and contrasts the frameworks provided by RBC vs. Solvency 2.

This project is now complete and will be removed from future reports.
Researchers: Mary Hardy and Ishmael Sharara. (Contact: Steven Siegel)

Actuarial Climate Change Volatility Index (ACVI) (ERM115) - This is a joint
project of the CIA, CAS, SOA, and AAA to develop an index to help raise
awareness of the potential risks associated with climate change and the risk
management implications within North America and globally. Researchers: To
Be Determined. Partners: CAS, CIA, AAA. (Contact: Caterina Lindman)

Actuarial Methods for Valuing Illiquid Assets (ERM119) – This project will
explore actuarial methods and models to value illiquid assets. Researcher: Doug
Andrews. (Contact: Steven Siegel)

Variable Annuity Guarantee Product Risk Evaluation Approaches (ERM121)
– The researchers will develop a quantification framework for better evaluation of
the risks associated with VA Guarantees. Researcher: PolySystems. (Contact:
Steven Siegel)

2011 ERM Symposium CFP (ERM122) – This call for papers was issued in
conjunction with the 2011 ERM Symposium to expand knowledge in this area.
(Contact: Steven Siegel)

Emerging Risks Survey 2010 (ERM123) – This survey incorporates a set of
Emerging Risks defined by the World Economic Forum and describes and
compares results from previous years. Researcher: Max Rudolph. (Contact:
Steven Siegel)

Link Risk Appetite and Strategic Planning (ERM124) – This project will explore
the linkage between risk appetite and strategic planning that will help practitioners
understand the current state of this linkage and future trends towards it. (Contact:
Steven Siegel)

Operational Risk Follow-Up – ERM Taxonomy (ERM125) – This project will
develop a logical, consistent and comprehensive ERM architecture/taxonomy that
will be applicable across all industries and risk types. (Contact: Steven Siegel)




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HEALTH PROJECTS

Data Mining Based Risk Adjustment Techniques (HP154) — The objective of
this project is to develop new techniques using knowledge management and data
mining tools applied to predictive modeling.

This project has been cancelled and will be removed from future reports.
Researcher: Yair Babad. (Contact: Steven Siegel)

Model-Based Analysis of Factors That Drive Long-Term Disability
Submitted Incidence Rates (HP166) – The objective of this project is to model
Social Security incidence rates using Auto-Regressive Integrated Moving
Average (ARIMA) modeling. Researcher: Bruce Andrews, University of
Southern Maine. (Contact: Steven Siegel)

Quality Initiative Review and Analysis (HP167) – This project consists of two
parts. Part one is looking at organizations and published items as related to the
quality and efficiency of health care. Part two is expanding on the Part one
findings from a more in-depth actuarial perspective. Researcher: Ian Duncan
and Greger Vigen. (Contact: Joan Barrett)

Stop Loss Data Analysis – 2009 (HP169) - This project entails preparation of
data collected by the Academy’s Stop Loss Work Group for creation of a new
stop loss probability model. Researcher: Steven Siegel. (Contact: Eric
Smithback)

Health Savings Accounts vs. HMOs and IRAs (HP170) – The research will
develop a set of tools to allow consumers, business, government, and the
actuaries serving these groups to better assess the merits of HSAs as both
health insurance and a savings vehicle. Researcher: Paul Hamilton. (Contact:
Steven Siegel)

LTC Morbidity Improvement Study (HP171) – This project analyzes the
changes in LTC morbidity and the impact of those changes on lifetime disability.
Researcher: Eric Stallard. (Contact: Steven Siegel)

The Relationship Between Health Costs and Non-Traditional Predictor
Variables (HP175) – This project will estimate the impact of non-traditional
predictor variables. Researcher: Wakely Consulting. (Contact: Steven Siegel)

End-of-Life Issues in Health Care (HP176) – This RFP is seeking proposals
related to end-of-life issues in health care. (Contact: Steven Siegel)




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Approaches for the Evaluation & Adoption of Medical Technologies
(HP177) – This project will identify the advantages and disadvantages of different
approaches used in the evaluation and adoption of medical technologies.
(Contact: Steven Siegel)

Quantifying Uncertainty in Healthcare Claim-Based Risk Assessment
(HP178) – This project will advance the knowledge of healthcare actuaries and
help them advance towards the goal of being recognized as leading risk
adjustment experts. Researcher: Syed Mehmud. (Contact: Steven Siegel)

LTC Product Hedge (HP180) – This project will quantify the natural hedge
between LTC and life linked products, including what pricing assumptions are
appropriate, what benefit combination maximizes value of the hedge, and what
impact there is on capital requirements. Researcher: Milliman. (Contact: Steven
Siegel)

LIFE INSURANCE PROJECTS

Living To 100 and Beyond Call For Papers and Symposium (LP140) — This
fourth international symposium, held January 5-7, 2011, brought together
actuaries, demographers, gerontologists and others interested in presenting
papers on advanced age survival and its implications to social, financial,
retirement and healthcare systems.

Partners: Committee on Knowledge Extension Research, Committee on Life
Insurance Research, International Section, Long Term Care Section, Pension
Section, Product Development Section, Reinsurance Section, The Actuarial
Foundation. (Contacts: Bob Johansen and Tim Harris)

Data Quality Tools For Life Insurers (LP147) – The purpose of this project is to
create a tool for life insurers to assist with data cleansing and validation of data
files for mortality and lapse experience studies. Researchers: LIMRA team led
by Elaine Tumicki. (Contact: Bud Ruth)

Effect of Obesity on Morbidity and Mortality (LP148) – The purpose of this
project is to examine the economic costs associated with obesity.

This project is now complete and will be removed from future reports.
Researchers: Don Behan and University of Manitoba team led by Sam Cox and
Hal Pedersen. (Contact: Ping Wang)




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Implications of Perceptions of Post Retirement Risks (LP163) - This project
is a literature review synthesizing the results on public perceptions of post
retirement risks to determine the public’s level of understanding of these risks
and its implications on life insurance product design and marketing strategies.
Researchers: Steve Cooperstein, Steve Cooperstein & Affiliates, Partners:
Product Development Section. (Contact: Tom Edwalds)

2008 Individual Life and Annuity Expense Study (LP165) – This is an annual
inter-company expense study of individual life and annuity products.
Researcher: Steven Siegel. (Contact: Sam Gutterman)

Structured Products (LP167) – This project examines the optimal design of
structured products in general with a focus on the optimality aspects of the
Constant Proportion Portfolio Insurance (CPPI) strategy.

This project is now complete and will be removed from future reports.
Researchers: Steven Vanduffel, Free University of Brussels. Partners: The
Actuarial Education and Research Fund of the Actuarial Foundation. (Contact:
Debbie McCormac)

2009 Individual Life and Annuity Expense Study (LP174) – This is an annual
inter-company expense study of individual life and annuity products.
Researcher: Steven Siegel. (Contact: Sam Gutterman)

Comparative Failure Experience in the Insurance and Banking Industry
(LP182) – This project will identify factors that have been effective for the
insurance and banking industries in reducing failure rates. Researchers: To be
Determined. Partners: Committee on Life Insurance Research, Financial
Reporting Section, American Academy of Actuaries. (Contact: Ronora Stryker)

REINSURANCE SECTION

Mortality Improvement in the US and Internationally (LP171) – This project
examines historical life insurance and annuity policyholder mortality improvement
trends and/or mortality improvement rates and how they compare to that of the
general US and international populations. Researchers: Towers Watson team
led by Marianne Purushotham. Partners: Financial Reporting Section, Product
Development Section and the Committee on Life Insurance Research. (Contact:
Kelly Levy)

Future of Reinsurance (LP172) – This call for essays (CFE) explores the future
of the life reinsurance industry.

This project is now complete and will be removed from future reports.
Researchers: To Be Determined. (Contact: Michael Shumrak)




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Access to Reinsurance by Smaller Insurers-Perils, Pitfalls and Solutions
(LP176) - This project will be a survey of all players in the reinsurance markets,
but not limited to various life reinsurers, and compare the experiences and
opinions between the direct writers and life reinsurers. Researchers: Mike
Reese of Hause Actuarial Solutions. Partners: Reinsurance Section and the
Committee on Life Insurance Research. (Contact: Karen Rudolph)

New Medical Markers (LP177) –This project will identify laboratory tests not
currently widely used in the life insurance industry, but may have a potential use
in the underwriting process. It is also to objectively determine the cost and
benefit of each test that is identified as potentially useful. Researchers: Milliman
team of Al Klein and Karen Rudolph. Partners: Reinsurance Section, the
Committee on Life Insurance Research, the Association of Home Office
Underwriters, Canadian Institute of Underwriters. (Contact: Jean-Marc Fix)

Mortality Comparison in the Older Age Financial Services Market (LP178) –
This project is designed to illustrate current-market mortality expectations for
multiple financial services products for at least an individual 65 years of age, both
individually underwritten products and guaranteed issue group products, and to
perform a limited analysis of each product’s susceptibility to mortality arbitrage.
Researchers: FACT Solutions led by Roger Freeman. Partners: Reinsurance
Section, Committee on Life Insurance Research, Pension Section. (Contact:
Clark Himmelberger)

PRODUCT DEVELOPMENT SECTION PROJECTS

Market Consistent Embedded Value (LP180) – This project reviews a MCEV
method to measure the inherent risk that insurance companies continually take to
quantify and qualify the risks that are being taken by writing the business they
issue. Researchers: To Be Determined. Partners: Product Development
Section, Committee on Life Insurance Research. (Contact: Mitch Katcher)

Premium Persistency Study of Flexible Premium Products (LP181) – This
project will perform a survey assumptions used by life insurers on their flexible
premium products and request data and interest to participate in an actual
premium persistency study. Researchers: To Be Determined. Partners:
Product Development Section, Financial Reporting Section. (Contact: Jeff
Beckley)




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FINANCIAL REPORTING SECTION

IASB Financial Reporting For Insurance Liabilities II (LP164) – This project is
an update of the project completed in February 2008 and examines the impact to
life insurance financial reporting of the upcoming IASB exposure draft on
accounting of insurance liabilities.

This project is now complete and will be removed from future reports.
Researchers: PwC team led by Sam Gutterman. (Contact: Tom Herget)

Stochastic Modeling Efficiency (LP175) – In collaboration with the AAA’s
Modeling Efficiency Work Group, this study investigates various modeling
efficiency methods as they might be applied to the required stochastic modeling
under a PBA framework for determining reserves and capital. Researchers:
Ernst & Young team led by Bruce Rosner. Partners: Financial Reporting Section
and Committee on Life Insurance Research. (Contact: Craig Reynolds)

MARKETING and DISTRIBUTION SECTION

Environmental Change on Products and Distribution (LP173) – This project
will investigate how environmental changes will affect consumer needs over the
next five years and the implications on products and distribution in the life
insurance industry. Researchers: LIMRA Team led by Richard Hekeler.
(Contact: Chuck Ritzke)

RETIREMENT SYSTEMS PROJECTS

Consumer Profiles (PRNR103) — The researchers will develop consumer
profiles that describe characteristics representing individuals who are
approaching or entering retirement and create strategies for each of the profile
situations.

This project is now complete and will be removed from future reports.
Researcher: Milliman, Inc. (Contact: Carol Bogosian)

Housing in Retirement Roundtable (PRNR105) – This roundtable will feature
an interactive discussion on housing issues in retirement.

This project is now complete and will be removed from future reports.
(Contact: Steven Siegel)

Retirement Security in the New Economy: Paradigm Shifts, New
Approaches, Holistic Strategies (PRNR106) – This CFP will expand thinking
on how to optimize retirement security in the new economic environment.
(Contact: Steven Siegel)




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Managing Retirement Decisions Issue Briefs (PRNR108) – Several issue
briefs related to retirement decisions will be written by the working group. Editor:
Linda Koco. (Contact: Steven Siegel)

Stock Options (RP156) — The objective of this study is to examine experience
on the exercise of stock options and apply it for valuation purposes.
Researchers: Nancy Wallace and Richard Stanton, U.C. Berkeley and Jennifer
Carpenter, New York University. (Contact: Terry Adamson)

Retirement Replacement Ratios & Drawdown of Retirement Savings
(RP166) – This request for proposals is seeking to conduct a literature search
related to retirement replacement ratios and the drawdown of retirement savings.
(Contact: lan Genno)

OPM Turnover (RP168) – This project employs graduate students to analyze
turnover data received from the U.S. Office of Personnel Management. (Contact:
Steven Siegel)

Funding Strategies Under PPA (RP170) – This call for papers is looking for
opinions and perspectives of actuaries on effective funding strategies under PPA.

This project is now complete and will be removed from future reports.
(Contact: Steven Siegel)

Embedded Options (RP172) – Project one of two: The purpose of this project is
to create reference material which will address and explore embedded options in
retirement plans. Researcher: PricewaterhouseCoopers. (Contact: Steven
Siegel)

Analysis of the Behavioral Consequences of DB & DC Systems (RP173) – A
project analyzing the behavioral consequences related to plan sponsor and
participant decision making within the contexts of both defined benefit and
defined contribution plans. Researchers: Behavioral Research Associates.
(Contact: Steven Siegel)

Valuation of Embedded Options in Pension Plans (RP174) – Project two of
two: The purpose of this second project is to create reference material which will
address and explore embedded options in retirement plans from a more technical
perspective. Researchers: Kailan Shang and Nelson Huang. (Contact: Steven
Siegel)




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LTC Section & ILTCI Conference Association Research Topics (RP175) –
The SOA LTC Section and ILTCI Conference Association are seeking proposals
on a variety of Long Term Care topics.

This project is now complete and will be removed from future reports.
(Contact: Steven Siegel)

Pension Assumption Matrix (RP176) - This project will identify the current rules
(and authority) associated with a matrix of purposes and plan. (Contact: Steven
Siegel)

Actuarial Smoothing CFP (Volatility Management in Pension & OPEB Plans)
(RP177) – This call for papers is seeking papers concerning volatility
management and actuarial smoothing techniques across a broad range of
issues. (Contact: Steven Siegel)

Equity-Based Risk Premium (RP178) – This RFP will help actuaries develop
forward thinking long-term estimates of future equity risk premiums. (Contact:
Steven Siegel)

Impact of Insufficient Retirement Savings on Workforce Management
(RP179) – (Contact: Steven Siegel)

Back Testing of Investment Portfolios (RP180) – (Contact: Steven Siegel)

ACTUARY of the FUTURE SECTION

Financial Advice to the Middle and Lower Income Markets (RP167) – This is
a two-phase project that will seek to address financial advice issues pertaining to
persons of moderate and low income markets.

This project is now complete and will be removed from future reports.
Researchers: Dan Iannicola, The Financial Literacy Group. Partners: Product
Development Section. (Contact: Janet Deskins)

Longer Term Projects—Books, Monographs

2009 Women’s Short Report (RX117) – This short report of the 2009 Survey
provides insight to Women’s issues.

This project is now complete and will be removed from future reports.
(Contact: Anna Rappaport)




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2009 Risk Management Short Report (RX118) –

This project is now complete and will be removed from future reports.
(Contact: Anna Rappaport)

2009 Economy Short Report (RX119) – (Contact: Anna Rappaport)

2011 Retirement Risk Survey (RX120) - This survey is the sixth in a bi-annual
series that assesses retired and near retired persons’ attitudes towards post-
retirement risk. Researcher: Mathew Greenwald and Associates. (Contact:
Anna Rappaport)

FINANCE EXPERIENCE STUDIES

2002-10 Private Placement Study (FX106) – This experience study is the next
phase of the ongoing analysis of characteristics of loss experience under private
placement bond investments. (Contact: Jim Stoltzfus)

GENERAL EXPERIENCE STUDIES

Experience Studies Oversight Group (GS106) – This group was formed to
help implement the recommendations of the Experience Studies Advisory Group
and provide oversight of Experience Studies at a high level. (Contact: Tom
Corcoran)

Table Manager POG (GS108) – The objective of this project to review the
current usage and demand of the Table Manager and implement any changes
that would better meet the needs of our members. (Contact: Cindy MacDonald)

HEALTH EXPERIENCE STUDIES

Long-Term Care Valuation Task Force (HC108) - This joint Society-Academy
Working Group is planning the development of standard tables for the valuation
of the many facets of this product. (Contact: Bob Yee)

Cancer Experience Study & Table Committee (HX119) - The objective of this
study is to perform an experience study that will lead to an update of the 1985
NAIC Cancer Claim Cost Tables. (Contact: Brad Spenney)

Analysis re Update to 1985 CIDA (HX121) - The objective of this work is to
develop a potential replacement for the 1985 CIDA Table from recently collected
individual disability income policy experience, if practical. (Contact: Bob Beal)

Group Long-Term Disability Study (HX124) - This study examines the
termination experience under group LTD claims. (Contact: Roger Martin)




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2005-07 Long-Term Care Study (HX125) - The objective of this study is to
compile long-term care data from carriers into an inter-company study. (Contact:
Roger Gagne)

Credit Life Mortality Study (HX126) - This committee is developing an
experience study for credit life insurance.

This study is now complete and will be removed from future reports.
(Contact: Chris Hause)

2009-11 Group Life Insurance Study (HX127) - This Committee is pursuing a
follow up to the 1999-2001 Group Life Insurance Experience Study, including the
establishment of a regular pattern for this study. (Contact: Bob Hardin)

LIFE EXPERIENCE STUDIES

Mortality & Morbidity Liaison Committee (LC102) - This joint committee of
actuaries, medical directors and underwriters investigates experience of various
facets of the insurance and disability underwriting process, especially those
reflecting extra mortality. (Contact: Dave Winsemius)

Committee on Mortality & Underwriting Surveys (LC109) - This Committee is
to oversee and conduct surveys on topics related to underwriting practices and
mortality experience on life insurance and annuities. (Contact: David Wylde)

      Mortality Improvement (LX180) – This survey will examine the use of
      mortality improvement in the life insurance product development process.
      (Contact: Gord Gibbins)

      Predictive Modeling (LX181) – This survey will examine the various
      aspects of predictive modeling. (Contact: Anna Hart)

      Improving the New Business Process (LX182) – This survey will review
      the new business process as it relates to fully underwritten life business.
      (Contact: Sharon Smith)

      Preferred Structures (LX183) – This survey will examine the various
      structures of preferred products. (Contact: Mike Choate)

International Experience Survey (LC111) - The broad objective of this work is
to develop experience studies for various countries of interest to members of the
Society. Initial work will be a high-level survey of readily available mortality
information. (Contact: Bill Horbatt)




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2000-04 Structured Settlement Study (LX157) – The broad objective of this
study is to study the mortality experience under structured settlement annuity
contracts. (Contact: Bill Albright)

Deferred Annuity Study (LX158) - This study would examine the mortality and
persistency experience under various forms of individual deferred annuities and
the effect that associated benefits have on these products. (Contact: Cindy
MacDonald)

Preferred Mortality POG (LX166) - This preferred life mortality experience study
will support industry leaders and the NAIC by developing valuation tables for
preferred life insurance products. (Contact: Mary Bahna-Nolan)

2005-08 Individual Payout Annuity Study (LX176) - This study will examine
the experience under various forms of individual payout annuities and develop a
database that can be used to create a new mortality table for such products.
(Contact: Bill Albright)

Payout Annuity Valuation Table (LX177) – This work will examine the recent
Payout Annuity Study results with the intention of developing a table to replace
the Annuity 2000 Table as a valuation standard. (Contact: Mary Bahna-Nolan)

Guaranteed/Simplified Issue Study (LX179) – This work is in support of the
principles-based reserving requirements of higher mortality products. (Contact:
Mary Bahna-Nolan)

Individual Life 2007-09 (LX184) – This study is the ongoing reporting of
mortality experience under standard, fully underwritten life insurance policies for
policy years 2007–09. (Contact: Rick Bergstrom)

2005-08 Structured Settlements Study (LX185) – The broad objective of this
study is to study the mortality experience under structured settlement annuity
contracts. (Contact: Bill Albright)

Experience Studies Oversight (PD Section Council) (LC112) – This oversight
group has been tasked with ensuring that all life experience study committees
and task forces are working in a complementary fashion and not overlapping one
another. (Contact: Cathy Bierschbach)

IAA Mortality Working Group (LX188) – Their purpose is to serve as a working
group within the IAA devoted to the study of mortality. (Contact: Dieter Gaubatz
and Al Klein)




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RETIREMENT EXPERIENCE STUDIES

Retirement Plans Experience Committee (RC103) - The mission of this
committee is to effect mortality and other studies of public and private pension
plan data. (Contact: Larry Pinzur)

Group Annuity 2003-04 (RX108) - This study is the next in the series studying
the mortality experience under group annuity contracts, primarily those in
payment status. (Contact: Rich Wong)

Group Annuity 2005-06 (RX110) - This study is the next in the series studying
the mortality experience under group annuity contracts, primarily those in
payment status. (Contact: Rich Wong)

Group Annuity 2007-08 (RX113) - This study is the next in the series studying
the mortality experience under group annuity contracts, primarily those in
payment status. (Contact: Rich Wong)

Pension Plan Mortality Study (RX115) - This study will examine private
pension plan data with an ultimate goal of replacing the RP-2000 Table for
pension plan calculations. (Contact: Larry Pinzur)

COMMITTEE ON KNOWLEDGE EXTENSION RESEARCH

Value Investing and ERM (KP101) – This will be a white paper discussing the
similarities between the value style of investing and enterprise risk management.
Researcher: Max Rudolph. (Contact: Steven Siegel)

Inverse Problems and Their Solutions in Actuarial Science (KP152) - Lijia
Guo, Ph.D., A.S.A., Genworth Financial, proposed to identify various types of
inverse problems in actuarial science and introduce regularization methods to
solve these inverse problems and compare them to the existing actuarial
treatments.

Multi-period Risk Measurement in Insurance (KP155) - Philippe Artzner,
University of Louis Pasteur, France, will attempt to examine the possibility and/or
necessity of having a component for future acceptability into the current capital
requirement dictated by a general risk measure.

Impact of Co-payments and Deductibles on Long-Run Health Insurance
Claims: Empirical Evidences (KP168) - Antonio Westenberger, University of
Sao Paulo, Brazil, aims his research at empirically investigating the effectiveness
and cost-effectiveness of preventive care services by using panel data analysis.




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Pricing and Hedging Equity-Indexed Annuities Using Iterated Conditional
Tail Expectation (KP180) - Patrice Gaillardetz, Concordia University, will
develop pricing and dynamic hedging techniques for equity-indexed annuities.

On Robust Testing and Modeling of Nonlinear Stochastic Return Processes
with Actuarial Applications (KP183) - Wai Sum Chan, The Chinese University
of Hong Kong, will derive the Schweppe-type of generalized-M (GM) procedures
for robust modeling (testing and estimation) of regime-switching processes.

Asset-Liability Management for Pension Funds in a Time-Varying Volatility
Environment (KP184) - Spyridon Vrontos, University of Aegean, will address the
issue of time-varying variances and co-variances of pension fund returns and
give focus on their potential impacts to pension fund portfolio construction and
risk measurement.

Pricing Multi-year, Multi-line Reinsurance Using Copulas (KP185) - Ping
Wang, St. John’s University, will use tools with which actuaries are familiar of
parametric modeling of the marginal distributions and to use copulas for
modeling the dependence structures of loss experiences across years or
business lines.

Stochastic Claims Reserving: Micro Models for Run-off, Incorporating
Expert Opinion, and the Interaction with Extreme Value Methodology
(KP186) (AP1172) - Katrien Antonio, Jan Beirlant, University Center for Statistics
KU, and Rob Kaas, University of Amsterdam, will put focus on the development
of three issues in stochastic reserving: micro models for run-off, incorporating
expert opinion in reserving techniques and the interaction of reserving techniques
with extreme value methodology.

Estimating Allocated Capital Using the Bootstrap (KP188) (AP1174) - Hyun-
Tae Joseph Kim & Mary Hardy (University of Waterloo) will review parametric
dependency modeling (or copula fitting) with a small-sized multivariate sample;
use the exact bootstrap (EB) method as an alternative to the parametric
approach to capital allocation; develop a method to estimate the variance of the
allocated capital; illustrate the EB method using a real/simulated data under
different allocation methods and loss models.

Copula Regression (KP191) - Rahul Parsa (Drake University) will present the
formulas and algorithms necessary for conducting a copula-regression analysis.

Actuarial Principles Underlying a Sound Funding Method for Partially
Funded Social Security Retirement Systems (KP192) - Douglas Andrews
(University of Southampton) will review relevant lit-funded SSRS and specify an
approach for determining if a funding method is sound.




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Health Services Utilization Under Conditions of Increasing Employee Cost
Sharing and Behavioral Health Benefit Changes (KP193) - Kyle Grazier
(University of Michigan) will attempt to understand the roles over time of
employment or retirement status, choice of type of health plan, benefit designs
and premium pricing (and sharing) on the use and cost of healthcare services by
an employed population.

Confidence Intervals for the CTE: In Search for Improved Small Sample
Performance (KP194) - N.D. Shyamalkumar (University of Iowa) will bring to
bear the state-of-the-art statistical theory upon the study and design of inference
procedures for the CTE.

Impact of Counterparty Risk on the Reinsurance Market (KP195) - Michael
Ludkovski (University of California) and Carole Bernard (University of Waterloo)
investigate the impact of dependencies on the insurance contract design and
optimal risk sharing in the reinsurance market.

An Actuarial Approach to Pricing Funeral (Burial) Micro-Insurance (KP196)
- Colin Ramsay (University of Nebraska-Lincoln) will provide a formal economic-
actuarial analysis of a practical approach to micro-insurance.

Capital Requirements with Implementation Delays (KP197) - David Landriault
(University of Waterloo) will provide a realistic assessment of an insurer’s
solvency risk.

Using the SAINT Model to Identify Mortality Trends for Several Frailty
Specifications (KP198) - Jaap Spreeuw (City University London) will identify
mortality trends and produce mortality projections with the baseline mortality in
accordance with the SAINT model and alternate frailty models.

Note: Since 1999, CKER projects are no longer managed by Project Oversight
Groups. Payment is contingent upon the final report being accepted for
publication in a refereed journal. Questions regarding CKER projects may be
directed to CKER chair, Curtis E. Huntington, or to SOA staff member, Erika
Schulty.




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