The Actuarial Foundation

2005 Individual Grant Recipients Announced

The AERF Committee of The Actuarial Foundation (TAF) and the Society of Actuaries’ Committee on Knowledge Extension Research (CKER) sponsored the 2005 Individual Grants Competition to support the advancement of knowledge in actuarial science. Grants are funded through the AERF Committee of TAF, CKER and other organizations or sections.

As a result of the 2005 Individual Grants Competition, AERF and CKER awarded five grants.

With a joint grant awarded from the CKER and the Casualty Actuarial Society, Vytaras Brazauskas, University of Wisconsin, will develop an ensemble of improved data-analysis procedures which offer various trade-offs between robustness and efficiency. The impact of such procedures on credibility premium calculations will be thoroughly investigated and quantified.

CKER awarded a grant to Sebastian Jaimungal, University of Toronto, to investigate the pricing and hedging of Equity Linked Insurance (ELI) products, such as Equity Indexed Pure Endowments and Equity Indexed Annuities (EIAs), under a stochastic interest rate environment in which the risky asset is exposed to stochastic volatility, and jumps and mortality are modeled via a stochastic hazard rate process.

Using a grant awarded by CKER, Bruce Jones, University of Western Ontario, will develop and explore a risk model that considers the impact of pricing cycles on insurers’ ruin probabilities and will use the model to study strategies for coping with cyclic business environments.

Kristen Moore, University of Michigan, with a grant awarded by CKER, will examine optimal surrender strategies and product design for equity-indexed annuities. Using stochastic optimal control, they will study policyholder behavior and then examine contract features such as participation rates, death, benefits, minimum guarantees, and fees that yield a product that is desirable for the investor and profitable for the insurer.

A grant awarded by CKER and the AERF Committee of TAF will allow Anthony Webb, Boston College to study the aggregate mortality risk faced by annuity insurers and the risk that the average mortality of the population from which the insurer draws its annuity pool proves to be lower than expected. Insurers anticipate continued reductions in mortality, but they cannot be certain of the pace of such reductions.