Coffee and Danish 8:30AM
Opening of Conference 9:00AM
Presidential Musings-Rob Brown (9:15-9:40)
Session 1: Annuities (9:40-10:20) (Professional Development -- 1 cr.)
Investment
Accumulation Guarantees: the Canadian Approach
Mary Hardy
Unit Linked
Life Insurance with Lapse Rates Depending on Economic Factors
Adam Kolkiewicz
Break 10:20-10:40
Session 2: Health Care (10:40-11:40) (Professional Development -- 1 cr.)
An
Introduction to Economic Evaluation of Health Care Programs
Marjorie A. Rosenberg
Individual
Lifetime Health Account
Richard Ullman
Ratemaking for
Plan Reimbursement Provisions that Affect Severity in Health Insurance
Chuck Fuhrer
Lunch 12:00-1:20
Session 3: Financial Mathematics -EA Credit (1:20-2:40) + (Professional Development -- 1 cr.)
Hedging for
Long-Term Derivative Securities
Yu Lin Cathy Zhou
Simulation of American Options
Saul Warhaft
Pricing
Dynamic Insurance Risks using the Principle of Equivalent Utility
Virginia R. Young
Pricing
Equity-Indexed Annuities with Partial Exotic Options
Lee Hangsuck
Break (2:40-3:00)
Session 4: Financial Mathematics (3:00-4:40) (Professional Development -- 1 cr.)
Pricing
Multifactor Path-dependent Options using Low-discrepancy Sequences
Ken Seng Tan
Quantile
Hedging and Insurance Securitization
Diego Hernandez Rangel
Options on
Mortality-Contingent Claims
David Promislow
Unifying
Structural Models with Reduced- Form Models
Cho-Jieh Chen
Pricing Formulas For Some
Popular Derivatives
Zhongxian Jerry Han
RECEPTION 6:30 MATH TOWER LOUNGE
Friday August 10, 2001
Coffee and Danish 8:00AM
Session 5:Pensions EA Credit (8:30-9:50)
Qualified
Pension Plans and Health Care for the Elderly: The Perfect Macroeconomic
Immunization Portfolio
Robert L. Brown
The Calculation of Expectation
and Variance of Annuity under Various Annuity Form using a Cashflow Approach
Louis Adam
A Cash-Flow
Approach to Pension Funding
Zaki Khorasanee
Application of
a Linear Regression Model to the Proactive Investment Strategy of a Pension
Fund
Kenneth G. Buffin
Break (9:50-10:10)
Session 6: Property and Casualty
(10:10-11:10) (Professional Development -- 1 cr.)
Another
View of the Property/Casualty Loss Reserving Process
Colin
Ramsay
Credibility
Using a Variable Parameter Regression Model
Jungsywan H. Sepanski
Multivariate Credibility for
Aggregate Loss Models
Edward W. Frees
Session 7: Education (11:10-11:50)
Training Future
Actuaries: A Dynamic Financial Analysis Case Study as an Educational Tool
Richard Gorvett
A "Loss
Models" Course for Undergraduate Students
Arnold Shapiro, Andreas Milidonis and Mindi Motko
Lunch (12:00-1:20)
Session 8: Econometrics-EA Credit (1:20-2:40) (Professional Development -- 1 cr.)
Measuring the
Risk of Bond Default
Emiliano A. Valdez
Modelling the
Nasdaq and S&P Indices
Boyang Liu
Notes on a
Bivariate Regime-Switching Model of US and Canadian Stock Returns
Anping Wang
Valuation of
Equity-Indexed Annuities under Stochastic Interest Rates
Sheldon Lin
Session 9: Monte Carlo Processing (2:40-3:20)
CLARA and the
Selection of Representative Scenarios
Steven Craighead
Generalized
Faure Sequences
Ou Wang
Break 3:20-3:40
Session 10: Education and Research Status (3:40-5:00)
Report on
Current Research
Bruce Iverson
New Actuarial Profession Video
Judy Yore
Various Education and Research
Discussions
BANQUET 6:30 OSU FACULTY CLUB
Saturday, August 11, 2001
Coffee and Danish 8:30AM
Session 11: Statistics and Ruin Theory (9:00-10:20) (Professional Development -- 1 cr.)
An XML Based
Standard for Representation of Mortality Tables: How and Why?
Jacques Rioux
Comparing Two
Models with Dependent Classes of Business
Kam C. Yuen
Estimation and
Testing of the Poisson Autoregression Model of Order 1
Keith Freeland and Brendan McCabe
Parametric
Empirical Bayes Estimation of the Net Premium with Right Censored Data
Mostafa Mashayekhi
Break (10:20-10:40)
Session 12: Statistics and Ruin Theory (10:40-11:40) (Professional Development -- 1 cr.)
Simulation of
Extreme Bivariate Values
Rafael Gonzalez
Data Mining
for Insurance Risk Analysis
Zeng Huang and Lijia Guo
Stochastic Analysis of Bonus
Malus Systems
Shelly Zacks and Benny Levikson
Close of Conference