Actuarial Science Seminar – Past Talks
The table below is of talks prior to Spring 2019.
Regime-Switching Interest Rate Models
James Bridgeman (University of Connecticut)
The Secondary Market for Life Insurance – Life Settlements
Sudath Ranasinghe/ Chris Macklem (Phoenix Life)
Local and Implied Volatilities
Yang Ho Choi (University of Connecticut)
Economic Capital – Recent Market Trends, and Role within Enterprise Risk Management
Hubert Mueller (Towers Perrin)
The Watson Wyatt – UConn Actuarial Center
Jeyaraj Vadiveloo (University of Connecticut)
A Principle-based Approach to the Impact of Credit Risk on the Capital Requirements of a Single Premium Deferred Annuity
David Liner/ Louis Lombardi (University of Connecticut)
Actuarial Applications of a Hierarchical Insurance Claims Model
Emiliano Valdez (University of Connecticut)
Actuarial Research in MetLife Auto and Home
David McMichael (MetLife Auto and Home)
The Effects of Global Warming on Discount Rates
James Bridgeman (University of Connecticut)
The Magic of Quantitative Hedge Funds: the Uncommon Denominator
Jeffrey Leitz, F.S.A. (Founder, Walbridge Capital Advisors, LLC)
A ”baby” introduction to copulas
Emiliano Valdez (University of Connecticut)
Using the R package copula for copula methods
Jun Yan (Department of Statistics, University of Connecticut)
Two talks: (1) implications of hedging on the insurer’s financial reporting; and (2) the roles of the SOA and the AAA to the actuarial profession
Ross Bowen (Phoenix Life Insurance Company)
The impact of rate regulation on claims: evidence from Massachusetts automobile insurance
Richard Derrig (OPAL Consulting)
THE SOA education system
Gail Hall (ACTEX Publications)
Illustrations of a regime-switching interest rate model with randomized regimes
James Bridgeman (University of Connecticut)
Principle-based initiative – modernization of life insurance statutory regulation
Tom Campbell (Hartford Life)
Distribution and Target Market Considerations in Product Design and Pricing
Craig Simms (Vantis Life Insurance Company)
Recent trends with market-consistent embedded value (MCEV)
Hubert Mueller (Towers Perrin)
Predictive modeling in insurance
Edward (Jed) Frees (University of Wisconsin – Madison)
Techniques to create efficiencies in the secondary market for life insurance
Hui Shan (University of Connecticut)
Fractional brownian motion
Yang Ho Choi (University of Connecticut)
Asset liability management and asset allocation for insurers
Benito (Jojo) Cuevo (Phoenix Life Insurance Company)
Two Things Every Actuary Should Know and Doesnít
James Bridgeman (University of Connecticut)
Enterprise Risk Management – Creating New Opportunities for Actuaries
Francis Sabatini (retired, formerly with Ernst & Young)
Waking Up to Retirement Risks ñ Seeking Guaranteed Income for Life
Gregory Smith (UConn/Conning Research & Consulting)
The Effect of PBA (Principle Based Approach to reserves and capital) on Actuarial Software
Charlie Linn (Milliman, Inc.)
Integrated Financial Planning
Jay Vadiveloo (UConn/Watson Wyatt)
Payout Annuity Reserving and Financial Reporting
Matthew Wininger (Hartford Life)
Monitoring Changes in Capital and Hedge Effectiveness Under Fair Value Accounting Principles
Louis Lombardi (University of Connecticut)
What My Company Knows That Yours Doesn’t
Michael Braunstein ()
Actuaries: Risk is Opportunity
Ken Guthrie and Jim Miles (Society of Actuaries)
Credit Risk: An Insurerís Perspective
Clayton Cutler and Paul Joss (HIMCO)
Overview of the Annuity Marketplace
Hubert Mueller (Towers Perrin)
An Analysis of the Embedded Options in a Variable Annuity Contract with Investment Guarantees – postponed for some other time
Tom Murawski (joint with Louis Lombardi) (University of Connecticut)
Time-inconsistent preferences in consumption, investment and life insurance models
Oriol Roch (Universitat de Barcelona)
The surface interpretation of the n-th moment
James Bridgeman (UConn)
Beyond the Numbers
Clifford Lange (Boston Mutual)
Predictive Modeling in P&C Insurance
Christopher J. Monsour (Travelers)
Introduction to Variable Annuities and Application of Market Consistent Pricing
Guillaume Briere-Giroux (Towers Watson)
Risk Based Valuation
David C. Shimko (Global Association of Risk Professionals)
Life Insurance Investments: The Industry Resets from 2008
Gregory Smith (UConn)
How insurance products perform in \tail events\””
Tom Kalmbach ()
Quality-Adjusted Life Years (QALYs)
Carlos Sanchez-Fuentes (Axiom Actuarial Consulting)
Enterprise Risk Managment (ERM) Modeling: Considerations/Issues
Connie Tang (Hartford Life)
Statistical Analysis of Life Insurance Policy Termination and Survivorship
Ushani Dias (UConn)
On the Distortion of a Copula and its Margins
Emiliano A. Valdez (UConn)
Title TBD
Jim Bridgeman (University of Connecticut)
Leveraging Your Math Skills by Adding People Dynamics and Awareness
Clifford Lange (Boston Mutual)
Analysis of enhanced multi-layer ruin models featuring interest and diffusion
Ilie Radu Mitric (University of Connecticut)
Application of predictive modeling techniques for forecasting policyholder behavior
Guillaume Briere-Giroux ()
Esscher Approximations for Maximum Likelihood Estimates
Jim Bridgeman (University of Connecticut)
On Two Generalizations of Axiomatic Risk Measures
Manuel Morales (Universite de Montreal)
Ruin Models Featuring Interest and Diffusion
Ilie-Radu Mitric (University of Connecticut)
Sounding the Alarm
John Robinson (International Association of Black Actuaries (IABA))
Finite Mixture Models with Insurance Applications
Matthew Flynn (Travelers)
Summarizing Insurance Scores Using a Gini Index
Edward W. (Jed) Frees ()
Enterprise Risk Management (ERM) for Small Businesses
Jay Vadiveloo (Towers Watson and UConn)
Variable Selection in GLM with Actuarial Applications
Wenyuan Zheng (University of Connecticut)
Accounting for Regime and Parameter Uncertainty in Regime-Switching Models
Brian Hartman (University of Connecticut)
Mortality Improvements: Historical Trends and Considerations for Developing Future Assumptions
Marianne Purushotham (Towers Watson)
Claim Cost Management
Asiri Gunathilaka (University of Connecticut)
Longitudinal Modeling of Insurance Claim Counts Using Jitters
Emiliano A. Valdez ( and demonstrate that the copula with \”jittering\” method outperforms standard count regression models.)
Stationary Immunization Theory
Jim Bridgeman (University of Connecticut)
Volatility Modeling: Impact on the Valuation and Hedging of Insurance Liabilities
Ed Perry (University of Connecticut)
Stationary Immunization Theory – Part II
Jim Bridgeman (University of Connecticut)
Understanding Behavioral Economics to be Better Actuaries
Brian Hartman (University of Connecticut)
ING U.S. Retirement Finance and Risk
Mark Kaye (ING)
Creativity and Business Sense in Response to Regulation and Other Barriers
Daniel Watt (The Hartford)
Credit Risk: A Risk Measures Approach
Jose Garrido (Concordia University)
What You Need to Know About Being an Actuary
Ethan Triplett (The Hartford)
Pricing the Insurance Product: The Convergence of Actuarial and Financial Perspectives
Richard Derrig (OPAL Consulting LLC/Temple University)
TBA (Apology – this talk has been cancelled!)
Louis Lombardi (PricewaterhouseCoopers)
The Classical Ruin Problem under Multivariate Risk Processes
Andrei Badescu (University of Toronto)
Replicated Stratified Sampling (RSS) for Sensitivity Analysis
Milanthi Sarukkali (ING Financial Services/University of Connecticut)
POSTPONED to 21 Sept
Jim Bridgeman (University of Connecticut)
Some Combinatorics That Arose In A Stochastic Problem
Jim Bridgeman (University of Connecticut)
Being a Professional: Lessons Learned over a 35 year Career as an Actuary
Brad Smith (Milliman/SOA)
What unemployment data can tell us about house prices: stabilizing a strong but unstable connection
Vladimir Ladyzhets (Lava Consulting Services LLC)
Life Insurance Purchasing to Reach a Bequest (joint work with Erhan Bayraktar)
Virginia (Jenny) Young (University of Michigan)
Workers Compensation Pension Claim Variability
David Mohrman (Towers Watson)
Valuation Models and a Generalized Approach to Reserve Calculation
Jeremy Johns (John Hancock Financial Services/University of Connecticut)
Property and Casualty Claim Cost Management
Asiri Gunathilaka (University of Connecticut)
Insider Trading – How to ruin your life with one phone call
Robert Boxwell (Opera Advisors)
A Multivariate Analysis of Intercompany Loss Triangles
Peng Shi (Northern Illinois University)
Health Care Issues and Reform: an informative discussion
Emil Valdez (University of Connecticut)
Life and Annuity Statutory Reserves and Risk-based Capital
Tom Campbell (The Hartford)
A Stochastic Delay Model in Corporate Finance
Isabelle Kemajou (University of Minnesota)
Using Model Selection and Prior Specification to Improve Regime-switching Asset Simulations
Brian Hartman (University of Connecticut)
The man with two watches doesnít know what time it is and other career lessons from a reasonably successful actuary
Greg Mateja (ING)
Economic Pricing of Mortality-Linked Securities: A Tatonnement Approach
Ken Seng Tan (University of Waterloo)
Overview of China’s Pension System: an informative discussion
Qingyao Wan (Shanghai Finance University)
TBA
Frank Ramsay (Towers Watson)
Calibration of a Regime-Switching Interest Rate Model
James Bridgeman (University of Connecticut)
TBD
Ira Kaplan (GenRE)
Building default models for subprime mortgages: Assessing the risk in a rapidly changing environment
Vladimir Ladyzhets ()
TBD – CANCELLED
Andrew Greenhalgh ()
A differential approach to reserves analysis
Jeremy Johns (John Hancock)
Economic Capital Modeling & its Applications
Chanho Lee (The Hartford)
Robust Claim Severity Models: Theory, Simulations, Examples
Vytaras Brazauskas (Univ. of Wisconsin – Milwaukee)
An Overview of Bayesian Spatial Generalized Linear Models
Candace Berrett (Brigham Young University)
Examples in Exploiting Space-time Correlations to Enhance Statistical Inference
Matthew Heaton (Brigham Young University)
Epidemiological and Financial Applications of Statistical Network Science
Chris Groendyke (Robert Morris University)
State-dependent fees for variable annuities
Anne MacKay (University of Waterloo)
Valuation of Large Variable Annuity Portfolios under Nested Simulation: A Functional Data Approach
Guojun Gan (University of Connecticut)
Structure of the CAPM Covariance Matrix
James Bridgeman (University of Connecticut)
Portfolio Choice with Life Annuities under Probability Distortion
Wenyuan Zhang ( the real world probability is subjectively distorted: people always overweight small probabilities and underweight large probabilities. In this talk)
Using Models to make Decisions: Advanced Analytics at Travelers Insurance
Chris Parks and Tiran Chen (Travelers)
Adverse Selection in Secondary Insurance Markets: Evidence from the Life Settlement Market
Daniel Bauer (Georgia State University)
How does the insurance company create value and make money
Jon Wu ()
The Earnings Engine
Jeremy Johns (John Hancock)
Prior Specification for Multivariate Regime-switching Asset Simulations
Brian Hartman (University of Connecticut)
Goldenson Center National Retirement Sustainability Index (NRSI)
Huili Tang and Jiatian Xu (University of Connecticut)
Fitting Erlang-Based Models to Left-Truncated Data with Application to Operational Risk Management
Sheldon Lin (University of Toronto)
Behavioral Effects of the Massachusetts Community Insurance Fraud Initiative (CIFI) on Medical Providers in Auto Insurance Claims
Richard Derrig (OPAL Consulting LLC and Temple University)
Regulatory Risk Based Capital ñ Origins and Recent Issues
Richard Marcks (Connecticut Insurance Department)
A Dual Version of Asset-Liability Risk Modeling – I
James Bridgeman (University of Connecticut)
A Dual Version of Asset-Liability Risk Modeling – II
James Bridgeman (University of Connecticut)
Creating Insights and Competitive Advantages at Travelers Insurance through Data and Analytics
Christopher Parks (Travelers)
Pension De-Risking: Buy-ins and Buy-outs
Tianxiang Shi (University of Nebraska-Lincoln)
Optimal Reinsurance Design: Expectile and Distortion Risk Measure Based Models
Chengguo Weng (University of Waterloo)
Territorial risk classification using spatially dependent frequency-severity models
Shi Peng (University of Wisconsin – Madison)
Multivariate Loss Frequency Regression Models
Emiliano Valdez (University of Connecticut)
Extreme Risks in Insurance and Finance with Multivariate Regular Variation
Qihe Tang (University of Iowa)
Uplift Modeling via Parametric Recursive Bivariate Probit Models
Matthew Flynn (AIG)
Robust bootstrap for claims reserving using GLM
Tim Verdonck (KU Leuven)
Claims Tracking and Monitoring
Jeyaraj Vadiveloo (University of Connecticut)
On Robust Risk Analysis
Jose Blanchet (Columbia University)
Efficient Valuation of Large Variable Annuity Portfolios
Emiliano Valdez (University of Connecticut)
Machine Learning Techniques to Detect Hierarchical Interactions in GLM’s for Insurance Premiums
Jose Garrido (Concordia University)
Inference for Mortality Models and Predictive Regressions
Liang Peng (Georgia State University)
Robust joint modeling of mean and dispersion for GLMs
Tim Verdonck (Katholieke Universiteit Leuven)
Generalized linear mixed model (GLMM)
Himchan Jeong (University of Connecticut)
National Retirement Sustainability Index
Huili Tang (University of Connecticut)
Advanced analytics in Travelers
Tiran Chen (Travelers)
Optimal Equilibrium for Time-Inconsistent Stopping Problems
Zhou Zhou (University of Michigan)
Measuring the effectiveness of volatility auctions
Carlos Castro (Universidad del Rosario)
Modelling of Large Insurance Claims and Occurrence Data
Dipak Dey (University of Connecticut)
Quantile-based risk sharing, market equilibria, and heterogeneous beliefs
Ruodu Wang (University of Waterloo)
Modelling of Loss Model using Copula and its Application to A Posteriori Ratemaking in Insurance
Jaeyoun Ahn (Ewha Womans University)
Joint Modeling of Customer Loyalty and Risk in Personal Insurance
Emiliano Valdez (University of Connecticut)
Robust Inference and Modeling of Mean and Dispersion for Generalized Linear Models
Pieter Segaert (Katholieke Universiteit Leuven)
Dimension Reduction in Quantitative Finance
Kai Liu (University of Prince Edward Island)
Travelers Case Competition
Tiran Chen (Travelers)
Quantitative Fundamental Investing: Theory and Practice
John McDermott (Fairfield University and Symmetry Partners)
Ratemaking application of Bayesian LASSO with conjugate hyperprior
Emiliano Valdez (University of Connecticut)
Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces
Steven Vanduffel (Vrije Universiteit Brussel)
TBD
Zhiyu Quan (University of Connecticut)
Application of Bayesian sensitivity analysis in compound risk model with random effects
Himchan Jeong (University of Connecticut)
Application of Bayesian sensitivity analysis in compound risk model with random effects
Himchan Jeong (University of Connecticut)