Variance Paper Presentations

Volume 9 Issue 1

Advances in Common Shock Modeling
By Z. Ming Li, Paul Gregory Ferrara
Presented at 2016 Spring Meeting
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Risk Classification for Claim Counts and Losses Using Regression Models for Location, Scale and Shape
By George Tzougas, Spyridon D. Vrontos, Nickolaos E Frangos
Presented at 2016 Spring Meeting
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Estimating the Parameter Risk of a Loss Ratio Distribution—Revisited
By Avraham Adler
Presented at 2016 Annual Meeting
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A Note on Parameter Risk
By Gary Venter and Rajesh Sahasrabuddhe
Presented at 2016 Annual Meeting
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Volume 8 Issue 2

Recursive Credibility: Using Credibility to Blend Reserve Assumptions
By Marcus M. Yamashiro
Presented at the 2015 Annual Meeting
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Volume 8 Issue 1

Interpolation Along a Curve
By Joseph A. Boor
Presented at the 2014 Annual Meeting
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Volume 7 Issue 2

A Flexible Framework for Stochastic Reserving Models
By Roger M. Hayne
Presented at the 2014 Annual Meeting
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Case Studies Using Credibility and Corrected Adaptively Truncated Likelihood Methods
By Harald Johann Dornheim, Vytaras Brazauskas
Presented at the 2014 Annual Meeting
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Volume 7 Issue 1

Ruin Probability-Based Initial Capital of the Discreet-Time Surplus Process
By Pairote Sattayatham, Kiat Sangaroon, Watcharin Klongdee
Presented at the 2013 Annual Meeting
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Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness
By Donald F. Mango, John A. Major, Avraham Adler, Claude B. Bunick
Presented at the 2013 Annual Meeting
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Volume 6 Issue 2

A Family of Chain-Ladder Factor Models for Selected Link Ratios
By Emmanuel Theodore Bardis, Ali Majidi, Daniel M. Murphy
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Risk-Adjusted Underwriting Performance Measurement
By Yingjie Zhang
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An Analysis of the Market Price of Cat Bonds
By Neil M. Bodoff, Yunbo Gan
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Volume 6 Issue 1

Optimal Growth for P&C Insurance Companies
By Luyang Fu
Presented at 2012 Annual Meeting
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Empirical Method-Based Aggregate Loss Distributions
Presented at 2012 Annual Meeting
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Volume 5 Issue 2

On the Importance of Dispersion Modeling for Claims Reserving: An Application with the Tweedie Distribution
By Jean-Philippe Boucher and Danaïl Davidov
Presented at the 2012 Spring Meeting
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U.S. Property-Casualty: Underwriting Cycle Modeling and Risk Benchmarks
By Shaun S. Wang, John A. Major, Hucheng (Charles) Pan, Weng Kah Leong
Presented at the 2012 Spring Meeting
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Chain-Ladder Correlations
By Greg Taylor
Presented at the 2012 Spring Meeting
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Volume 5 Issue 1

Credibility for a Tower of Excess Layers
By David R. Clark
Presented at the 2011 Annual Meeting
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Pricing in a Competitive Insurance Market Driven by Fractional Noise
By Alexandros Zimbidis
Presented at the 2011 Annual Meeting
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Correlated Random Effects for Hurdle Models Applied to Claim Counts
By Jean-Philippe Boucher, Michel Denuit, Montserrat Guillen
Presented at the 2011 Annual Meeting
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Volume 4 Issue 2

Prediction Error of the Future Claims Component of Premium Liabilities under the Loss Ratio Approach
By Jackie Li
Presented at the 2010 Annual Meeting
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Robustifying Reserving
By Gary G. Venter, Dumaria Rulina R. Tampubolon
Presented at the 2012 Spring Meeting
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Volume 4 Issue 1

"A Pricing Model for Underinsured Motorist Coverage"
Recorded at the 2010 CAS Spring Meeting
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Volume 3 Issue 2

Claim Reserving: Performance Testing and the Control Cycle
by Yi Jing, Joseph R. Lebens, Stephen P. Lowe
Recorded at the 2009 CAS Annual Meeting
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Volume 3 Issue 1

"Property-Liability Insurance Loss Reserve Ranges Based on Economic Value"
by Stephen P. D'Arcy, Alfred Au, Liang Zhang
Recorded at the 2009 CAS Annual Meeting
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Volume 2 Issue 1

"Management Strategies and Dynamic Financial Analysis"
By Martin Eling, Hato Schmeiser, Thomas Parnitzke
Recorded at the 2010 CAS Spring Meeting
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Volume 1 Issue 1

"Obtaining Predictive Distributions for Reserves Which Incorporate Expert Opinion
by Richard Verrall
Recorded at the 2009 CAS Annual Meeting
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Extended Service Contracts, An Overview
by Roger M. Hayne
Recorded at the 2007 CAS Spring Meeting
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Modeling Mortgage Insurance as a Multistate Process
by Greg Taylor and Peter Mulquiney
Recorded at the 2007 CAS Spring Meeting
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The Common Shock Model for Correlated Insurance Losses
by Glenn G. Meyers
Recorded at the 2007 CAS Spring Meeting
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Multivariate Copulas for Financial Modeling
by Gary Venter, Jack Barnett, Rodney Kreps, and John Major
Recorded at the 2007 CAS Spring Meeting
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Loss Reserve Estimates: A Statistical Approach for Determining ‘Reasonableness
by Mark Shapland
Recorded at the 2007 CAS Spring Meeting
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Mission Statement

Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.