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A Regime-Switching Model of Long-Term Stock Returns
Abstract In this paper I first define the regime-switching lognormal model. Monthly data from the Standard and Poor’s 500 and the Toronto Stock Exchange 300 indices are used to fit the modelExpand
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Investment guarantees : modeling and risk management for equity-linked life insurance
Introduction. Investment Guarantees. Modeling Long-Term Stock Return. Maximum Likelihood Estimation for Stock Return Models. The Left-Tail Calibration Method. Markov Chain Monte Carlo (MCMC)Expand
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Actuarial Mathematics for Life Contingent Risks
Actuarial Mathematics for Life Contingent Risks, 2nd edition, is the sole required text for the Society of Actuaries Exam MLC Fall 2015 and Spring 2016. It covers the entire syllabus for the SOA ExamExpand
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Reserving for maturity guarantees: Two approaches
Abstract This paper examines the pricing of and reserving for certain guarantees that are associated with some insurance contracts. Specifically we deal with maturity guarantees, which provide aExpand
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A Synthesis of Risk Measures for Capital Adequacy
Abstract We discuss the concept of the risk measure as an expectation using a probability distortion, and classify the standard risk measures according to their associated distortion functions. UsingExpand
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Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach
Abstract Traditionally, actuaries have modeled mortality improvement using deterministic reduction factors, with little consideration of the associated uncertainty. As mortality improvement hasExpand
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The Iterated Cte
Abstract In this paper we present a method for defining a dynamic risk measure from a static risk measure, by backwards iteration. We apply the method to the conditional tail expectation (CTE) riskExpand
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A Semi-Markov Multiple State Model for Reverse Mortgage Terminations
Abstract Reverse mortgages provide a mechanism for seniors to release the equity that has been built up in their home. At termination, the mortgagors are usually guaranteed to owe no more than theExpand
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Markovian Approaches to Joint-Life Mortality
Abstract Many insurance products provide benefits that are contingent on the combined survival status of two lives. To value such benefits accurately, we require a statistical model for the impact ofExpand
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EDUCATION AND EXAMINATION COMMITTEE OF THE SOCIETY OF ACTUARIES CONSTRUCTION AND EVALUATION OF ACTUARIAL MODELS STUDY NOTE AN INTRODUCTION TO RISK MEASURES FOR ACTUARIAL APPLICATIONS
The Education and Examination Committee provides study notes to persons preparing for the examinations of the Society of Actuaries. They are intended to acquaint candidates with some of theExpand
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