Breakout Sessions

Monday, July 14 next

Flying A

State Street


Breakout Sessions 1:30 - 3:05

A1 - Optimal Investments
Chaired by Jean-Pierre Fouque

B1 - Enterprise Risk Management
Chaired by Jim Trimble

C1 - Dependence Modeling & Copulas
Chaired by John Xu

S. David Promislow
Purchasing Term Life Insurance to Reach a Bequest Goal

Greg Taylor
Claim Dependencies in Economic Capital Modeling: The Australian Experience

Paul Embrechts
Copula Theory and Applications: Quo Vadis?

Hong-Chih Huang
An Optimal Investment Strategy with Multivariate Jump Diffusion Models

Daoping Yu
Model Uncertainty in Operational Risk Modeling

Patrick Brockett
Optimal Capital Budgeting and& Risk Management

Phelim Boyle
Correlation Matrices and the Perron Frobenius theorem

Marie-Claire Koissi
Using Fuzzy Logic to Model Risk -- Case Studies

Marie-Pier Cote
A Copula-based Risk Aggregation Model

James Bridgeman
Structure of the CAPM Covariance Matrix

Mahesh Joshi
Methods of Computing a Large Number of Quantiles from an Aggregate Loss Distribution

Ranadeera Samanthi
Comparing the Riskiness of Dependent Portfolios

Coffee Break 3:10 - 3:30

Breakout Sessions 3:30 -5:05

A2 - Retirement Panel
Chaired by Errol Cramer

B2 - General Insurance
Chaired by Mark Maxwell

C2 - Actuarial Statistics I
Chaired by Vytaras Brazauskas

Emily Kessler (SOA)
Report on the Blue Ribbon Panel on Public Pension plan Funding

Mingjie Hao
Adverse selection and loss coverage in insurance markets

Jose Garrido
Full Credibility with GLMs and GLMMs

Mary Hardy (Waterloo)
Reviewing Target Benefit Pension Plans

Ping Wang
The Effects of Urbanization on Insurance Consumption- The experience of China

Thomas Hartl
 Extrapolating co-linear payment year trends for development triangle GLMs

Craig Turnbull (Edinburgh)
Market-Consistent Valuation of Pension Sponsor Support and its Use in Risk-Based Capital Assessment

Jacques Rioux
Exploring Copulas

Sam Efromovich
Nonparametric Curve Estimation with Incomplete Data


Sharon Yang
Pricing Joint-Life Reverse Mortgages and Non-Recourse Provisions Considering Mortality Dependence: a Copula Approach

Adrian O'Hagan
A Model-Based Clustering Approach to Data Reduction for Actuarial Modeling