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<div style="" id="mainheadings">
<h3 style="color: rgb(153, 51, 153); text-align: center;">45th
Actuarial Research Conference </h3>
<h4 style="color: rgb(153, 51, 153); text-align: center;">July 26 - 28,
2010 </h4>
<h1 style="font-size: 100%;"><a href="../index.html.1"><u>Back to Home</u>
</a></h1>
</div>
<div id="main">
<br>
<p
 style="text-align: center; font-weight: bold; font-family: Helvetica,Arial,sans-serif;"><big><big>Abstracts</big></big></p>
<br>
<div id="footer"><br>
<br>
<big style="font-weight: bold;"><big>(<a
 href="../ARC_abstracts_master2.pdf"><u>Book of
Abstracts</u></a>)</big></big><span style="font-style: italic;"><br>
<br>
<br>
<br>
Abstracts will be posted here as they
become available.</span><b><small><br>
<br>
<br>
</small></b><br>
Louis Adam, Universit&eacute; Laval<b><small><br>
<big><span style="font-weight: bold;">The Canadian Pensioners Mortality
Table: some results on mortality level and trends (<a
 href="../abstracts2/louis_adam.pdf">abstract</a>)</span></big></small></b><br>
<small><big><br>
Ping An, China Institute for Actuarial Science, Central
University of Finance and Economics<span style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Forecasting Mortality in the Presence of Missing Data: An Application
to Chinese Population (<a
 href="../abstracts2/ping_an.pdf">abstract</a>)</span></big></small></b><br>
<br>
Maciej Augustyniak &amp; Louis G. Doray, Universit&eacute; de
Montr&eacute;al<b><small><br>
<big><span style="font-weight: bold;">Inference for a Family of
Statistical Distributions with Heavy Tails (<a
 href="../abstracts2/augustyniak_doray.pdf">abstract</a>)</span></big></small></b><br>
<br>
Beatriz Balb&aacute;s-Aparicio, Universidad Rey Juan Carlos<b><small><br>
<big><span style="font-weight: bold;">Optimal Reinsurance Problems
Involving Risk Measures (<a
 href="../abstracts2/beatriz_balbas.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Raquel Balb&aacute;s,&nbsp;
Complutense University of Madrid</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Compatibility Between Prices and Risks (<a
 href="../abstracts2/raquel_balbas.pdf">abstract</a>)</span></big></small></b><br>
<br>
Jianfa Cong &amp; Ken Seng Tan, University of Waterloo and Zhongfei
Li, Sun Yat-sen University<b><small><br>
<big><span style="font-weight: bold;">Optimal Multi-period Proportional
Reinsurance Strategy (<a
 href="../abstracts2/cong_li_tan.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>H&eacute;l&egrave;ne Cossette &amp; Etienne Marceau,
Universit&eacute; Laval. V&eacute;ronique Maume-Deschamps, ISFA Lyon 1.
Florent Toureille, Universit&eacute; Laval and ISFA Lyon 1<span
 style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Ruin Related Quantities in a Risk Model Based on Time Series for Count
Data (<a
 href="../abstracts2/cossette_marceau_deschamps_toureille.pdf">abstract</a>)</span></big></small></b><br>
<b><small><big><span style="font-weight: bold;"></span></big></small></b><br>
<small><big>Charmaine Dean, Simon Fraser University<span
 style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Spatio-Temporal Models for Rates and Survival Analysis (<a
 href="../abstracts2/charmaine_dean.pdf">abstract</a>)</span></big></small></b><br>
<br>
Louis G. Doray, Universit&eacute; de
Montr&eacute;al<b><small><br>
</small></b><b><small><big><span style="font-weight: bold;">Inference
for the Discrete Stable Distribution with the Probability Generating
Function (<a
 href="../abstracts2/louis_doray.pdf">abstract</a>)</span></big></small></b><br>
<br>
Daniel Dufresne &amp; Stephen Chin, University of Melbourne<b><small><br>
<big><span style="font-weight: bold;">Changes of Measure for the
Square-root Stochastic Volatility Process (<a
 href="../abstracts2/dufresne_chin.pdf">abstract</a>)</span></big></small></b><br>
<br>
Jill Falkenberg, Simon Fraser University<b><small><br>
<big><span style="font-weight: bold;"></span></big></small></b><b><small><big><span
 style="font-weight: bold;">Assessing Longevity Risk with Generalized
Linear Array Models (<a
 href="../abstracts2/jill_falkenberg.pdf">abstract</a>)
</span></big></small></b><span
 style="font-style: italic; color: rgb(204, 0, 0);">(Poster)</span><br>
<b><small><big><span style="font-weight: bold;"></span></big></small></b><br>
<small><big>Jos&eacute; Garrido, Concordia University and </big></small><small><big>Ana
Deb&oacute;n,
Universidad
Politecnica
de
Valencia</big></small><b><small><big><span style="font-weight: bold;"><br>
Mortality Improvment: An Actuarial Perspective (<a
 href="../abstracts2/garrido_debon.pdf">abstract</a>)<br>
<br>
</span></big></small></b><small><big>Wu-Chyuan Gau, Kemper Insurance,
USA</big></small><b><small><big><span style="font-weight: bold;"><br>
Loss reserving with random selection (<a
 href="../abstracts2/wu_gau.pdf">abstract</a>)</span></big></small></b><br>
<b><small><big><span style="font-weight: bold;"><br>
</span></big></small></b><small><big>Brian Hartman, Texas A&amp;M
University, Department of
Statistics<span style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Bayesian Methods for Fitting Regime-switching Models (<a
 href="../abstracts2/brian_hartman.pdf">abstract</a>)</span></big></small></b><br>
<br>
Min Ji, University of Waterloo, Department of Statistics &amp;
Actuarial Science<b><small><br>
<big><span style="font-weight: bold;">A Multiple State Model for the
Joint-life Reverse Mortgage Termination Speed (<a
 href="../abstracts2/min_ji.pdf/index.html">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Richard Joss,&nbsp; Towers Watson</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Investment Forecasting Using Conditional Probabilities (<a
 href="../abstracts2/richard_joss.pdf">abstract</a>)<br>
<br>
</span></big></small></b><small><big>Joseph Kim, University of Waterloo
and Phelim Boyle</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Measuring and managing systemic risk (<a
 href="../abstracts2/kim_boyle.pdf">abstract</a>)</span></big></small></b><br>
<b><small><big><span style="font-weight: bold;"><br>
</span></big></small></b><small><big>Stuart Klugman,&nbsp; Society of
Actuaries - USA</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Society of Actuaries Education Update (<a
 href="../abstracts2/stuart_klugman.pdf">abstract</a>)</span></big></small></b><br>
<b><small><big><span style="font-weight: bold;"><br>
</span></big></small></b>David Landriault &amp; Jean-Fran&ccedil;ois
Renaud,
University of Waterloo and
Xiaowen Zhou, Concordia<b><small><br>
<big><span style="font-weight: bold;">Ruin Theory with Parisian Delays (<a
 href="../abstracts2/landriault_renaud_zhou.pdf">abstract</a>)</span></big></small></b><br>
<br>
Ghislain L&eacute;veill&eacute; &amp; Franck Ad&eacute;kambi,
Universit&eacute; Laval<b><small><br>
<big><span style="font-weight: bold;">Discounted Compound Renewal Sums
with a Stochastic Force of Interest (<a
 href="../abstracts2/leveille_adekambi.pdf/index.html">abstract</a>)</span></big></small></b><br>
<br>
Andrew Loach &amp; Eric Vaagen,
Insurance Corporation of British Columbia<b><small><br>
<big><span style="font-weight: bold;">Claim Forecasting Using
Econometric Stepwise Regression (<a
 href="../abstracts2/loach_vaagen.pdf/index.html">abstract</a>)</span></big></small></b><br>
<br>
Yi Lu, Simon Fraser University and Shuanming Li, University of Melbourne<b><small><br>
<big><span style="font-weight: bold;">The expected discounted penalty
at ruin for a risk model with two-sided jumps (<a
 href="../abstracts2/lu_li.pdf/index.html">abstract</a>)</span></big></small></b><br>
<br>
Etienne Marceau, H&eacute;l&egrave;ne Cossette and M&eacute;lina
Mailhot , Universit&eacute; Laval<b><small><br>
<big><span style="font-weight: bold;">TVaR-based Capital Allocation
with Dependence (<a
 href="../abstracts2/marceau_cossette_mailhot.pdf">abstract</a>)</span></big></small></b><br>
<br>
<b><small><big><span style="font-weight: bold;"></span></big></small></b><small><big>Mostafa
Mashayekhi,
University
of
Nebraska-Lincoln,
</big></small><small><big>Actuarial Science</big></small><b><small><big><span
 style="font-weight: bold;"><br>
A Note On Optimal Insurance Under Ambiguity (<a
 href="../abstracts2/mostafa_mashayekhi.pdf">abstract</a>)</span></big></small></b><br>
<br>
Barry McKeown, Towers Watson / Committee on Actuarial Diversity (COAD)<b><small><br>
<big><span style="font-weight: bold;">Diversity In The Actuarial
Profession - Why College Summer Programs For High School Students Can
Make A Difference</span></big></small></b><b><small><big><span
 style="font-weight: bold;"> (<a
 href="../abstracts2/barry_mckeown.pdf">abstract</a>)</span></big></small></b><br>
<br>
Glenn Meyers, ISO Innovative Analytics<b><small><br>
<big><span style="font-weight: bold;">The Technical Provisions in
Solvency II.&nbsp; What EU Insureres Could Do if They Had Schedule P (<a
 href="../abstracts2/glenn_meyers.pdf">abstract</a>)</span></big></small></b><small
 style="font-weight: normal;"><big><br>
<br>
Patrick
Mignault
&amp;
Claire Bilodeau, Universit&eacute; Laval, &Eacute;cole
d'actuariat</big></small><b><small><big><span style="font-weight: bold;"><br>
How Phased Retirement Affects Defined Benefits (<a
 href="../abstracts2/mignault_bilodeau.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Albina Orlando, National Research Council
(CNR).&nbsp;&nbsp; E. Di Lorenzo &amp; M. Copolla, University of
Naples.&nbsp;&nbsp; M. Sibillo, University of Salerno.<span
 style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Solvency appraisal for life annuities: demographic risk measures (<a
 href="../abstracts2/coppola_lorenzo_orlando_sibillo.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Jacques Rioux, Steven Major and Donald Erdman,&nbsp; SAS
Institute</big></small><b><small><big><span style="font-weight: bold;"><br>
Evaluation of Parameter Risk via First Order Approximation of
Distortion Risk Measures (<a
 href="../abstracts2/rioux_major_erdman.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Margie Rosenberg and Edward (Jed) Frees,&nbsp; University
of Wisconsin-Madison</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Technology Enhanced Learning for Actuarial Science Education (<a
 href="../abstracts2/rosenberg_frees.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Barbara Sanders, Simon Fraser University</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Analysis of Variable Benefit Plans (<a
 href="../abstracts2/barbara_sanders.pdf">abstract</a>)</span></big></small></b><br>
<br>
Arnold Shapiro,<span style="font-weight: bold;"> </span>Penn
State
University<b><small>, </small></b>Smeal College of Business<b><small><br>
<big><span style="font-weight: bold;">Fuzzy Post-Retirement Financial
Strategies (<a
 href="../abstracts2/arnold_shapiro.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Tianxiang Shi, David Landriault and Gord E. Willmot,
University of Waterloo, Department of Statistics &amp; Actuarial Science</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Finite-time ruin problems in Sparre Andersen models with arbitrary
interclaim times (<a
 href="../abstracts2/shi_landriault_willmot.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Jaap Spreeuw and Jens Perch Nielsen, City University
London, Cass Business School. S&oslash;ren Fiig Jarner, Danish Labour
Market Supplementary Pensions</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Estimation and Nonparametric Testing of Heterogeneous Life Data Models (<a
 href="../abstracts2/spreeuw_jarner_nielsen.pdf">abstract</a>)</span></big></small></b>
<span style="font-style: italic; color: rgb(204, 0, 0);"></span><br>
<br>
<small><big>David Swanson, University of California and </big></small><small><big>Lucky
M.
Tedrow,
Western
Washington
University</big></small><b><small><big><span style="font-weight: bold;"><br>
Using Cohort Change Ratios to Estimate Life Expectancy in Populations
Closed to Migration: A New Approach (<a
 href="../abstracts2/swanson_tedrow.pdf">abstract</a>)</span></big></small></b>
<span style="font-style: italic; color: rgb(204, 0, 0);">(Poster)</span><br>
<br>
<small><big>Ken Seng Tan, University of Waterloo and Xiaoqun Wang</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Pricing and hedging with discontinuous functions: quasi-Monte Carlo
methods and dimension reduction (<a
 href="../abstracts2/tan_wang.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Emmanuel Thompson and Dr. Rohana Ambagaspitiya, University
of Calgary, Department of Mathematics &amp; Statistics<span
 style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Valuation of Segregated Funds in India (<a
 href="../abstracts2/thompson_ambagas.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Cary Chi-Liang Tsai &amp; Chris Lingzhi Jiang, Simon Fraser
University<span style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Actuarial Applications of the Linear Hazard Transform in Mortality
Fitting and Prediction (<a
 href="../abstracts2/tsai_jiang.pdf">abstract</a>)</span></big></small></b><br>
<br>
Eric Vaagen, Insurance Corporation of British Columbia<b><small><br>
<big><span style="font-weight: bold;">Measuring Supplier Performance
Using Generalized Linear Modeling (<a
 href="../abstracts2/eric_vaagen.pdf">abstract</a>)</span></big></small></b><br>
<br>
Jay Vadiveloo, University of Connecticut &amp; Towers Watson<b><small><br>
<big><span style="font-weight: bold;">Replicated Stratified Sampling &#8211;
A Practical Approach to Financial Modeling (<a
 href="../abstracts2/jay_vadiveloo.pdf">abstract</a>)</span></big></small></b><br>
<br>
Zhong (Joan) Wan, Pacific Blue Cross<b><small><br>
<big><span style="font-weight: bold;">Modeling Investment Returns With
A Multivariate Ornstein-Uhlenbeck Process (<a
 href="../abstracts2/zhong_wan.pdf">abstract</a>)</span></big></small></b>
<span style="font-style: italic; color: rgb(204, 0, 0);">(Poster)</span><br>
<br>
<b><small><big><span style="font-weight: bold;"></span></big></small></b><b><small><big><span
 style="font-weight: bold;"></span></big></small></b><small><big>Ya
Fang Wang &amp; Jos&eacute; Garrido, Concordia
University and Ghislain L&eacute;veill&eacute;, Universit&eacute; Laval<span
 style="font-weight: bold;"> </span></big></small><b><small><big><span
 style="font-weight: bold;"><br>
Distribution of discounted compound sums when the mean of inter-arrival
time is small (<a
 href="../abstracts2/wang_garrido_leveille.pdf">abstract</a>)<br>
<br>
</span></big></small></b><small><big>Wei Wei, University of Waterloo</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Optimal Reinsurance Strategy in Two Dimensional Risk Model (<a
 href="../abstracts2/wei_wei.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Brant Wipperman and Eric Vaagen, </big></small><small><big>Insurance
Corporation
of
British
Columbia</big></small><b><small><big><span style="font-weight: bold;"><br>
Premium Forecasting Using Principal Components Analysis (<a
 href="../abstracts2/wipperman_vaagen.pdf">abstract</a>)</span></big></small></b><br>
<small><big><br>
</big></small><small><big>Dan R. Young, Law Offices of Dan R. Young</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Actuarial Accounting--A Cautionary Report (<a
 href="../abstracts2/dan_young.pdf">abstract</a>)</span></big></small></b><br>
<br>
<small><big>Ting Zhang and Yi Lu, Simon Fraser University</big></small><b><small><big><span
 style="font-weight: bold;"><br>
An INAR(1) model with dynamic heterogeneity for claim counts in
automobile insurance (<a
 href="../abstracts2/zhang_lu.pdf">abstract</a>)</span></big></small></b>
<span style="font-style: italic; color: rgb(204, 0, 0);">(Poster)</span><br>
<small><big><br>
Ruowei Zhou, Southwestern University of Finance and
Economics, School of Insurance</big></small><b><small><big><span
 style="font-weight: bold;"><br>
Actuarial and Financial Valuations of Guaranteed Annuity Options (<a
 href="../abstracts2/ruowei_zhou.pdf">abstract</a>)</span></big></small></b><br>
<br>
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