Finance Research Activity
Health Benefit Systems Practice Area Research
Life Research Activity
Retirement Systems Practice Area Research
Experience Studies
Committee on Knowledge Extension Research (CKER)

Current Finance Research Activity

Expense Analysis and Strategic Management of Life Insurers (FP117) – This project is a book authored by Sam Gutterman that covers various aspects of expenses, pricing and performance measurements used in life insurance products. (Contact: Cliff Angstman)

Monograph on Stochastic Calculus Stochastic Differential Equations (FP120) – This monograph presents new mathematical topics used by financial engineers to analyze and manage investment and financial risk. (Contact: Mark Abbott)

Interest Rate Models in Actuarial Practice (FP123) –This project will produce a practical guide on the selection and use of interest rate models. (Contact: Dave Becker)

Interest Rates and Economic Scenarios (FP131) – This investigation will attempt to model the relationship between interest rate movements and movements in other financial and economic indices, such as stock market indices. (Contact: Phil Heckman)

Regime Switching Model Application (FP134) – The purpose of this project is to develop an Excel-based workbook which would provide a two regime switching model for equity performance and other functions. The workbook will appear on the SOA website. (Contact: Steve Siegel)

Risk Based Capital Covariance (FP136) – This project is an investigation into the covariance and correlation among various insurance and non-insurance risks generally and particularly in the tail (defined as two standard deviations from the mean). (Contact: Steven Siegel)

A Survey of Cash Flow Testing Software (FP137) – This survey of users of cash flow testing software will result in a report providing comparative information on the software. (Contact: Gang Ma)

Study of Economic Variables Using the Delphi Method (FP140) – This project utilizes the Delphi forecasting technique to identify plausible economic longer-term values of economic variables and the rationale experts use to develop such values. (Contact: Ronora Stryker)

Operational Risk Management (FP142) – The result of this dissertation is the development of a mathematical model for forecasting, simulation and hedging operational risks of banks and insurers. (Contact: Sam Cox)

Legal Research Pilot (FP143) – The goal of this survey is to examine legal barriers and regulations that restrict actuarial employment options.

Completed Finance Research Activity

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Health Benefit Systems Practice Area Research

Medical Large Claims Experience Study (HP123) – This study, which is a follow-up to the last Medical Large Claims study, will examine the pattern of large health claims and determine the incidence of such claims. (Contact: Anthony Houghton)

Alternative Care Experience Study (HP130) – The purpose of this study is to collect and analyze insurance company data on coverage of integrative and alternative treatments. (Contact: Lee Launer)

Intercompany Credibility Study (HP135) – The data collected for the Medical Large Claims Experience Study (HP123) will be analyzed to estimate the parameters of credibility formulas for health insurance (Contact: Chuck Fuhrer)

Neural Network Applications to Disability Claim Management (HP138) – This project investigates the use of neural networks to predict disability claim recovery and to aid in claim management. (Contact: Daniel Skwire)

Evaluating the Results of Medical Management Interventions: Comparative analysis of different outcomes measures (HP139) – This multi-phased project examines various methods to measure and quantify the financial effect of a health plan’s medical management interventions. (Contact: Cindy Miller)

Analysis of Claims by Policy Duration for Individual Insurance Major Medical Insurance (HP140) – This experience study will analyze the effect of underwriting wearoff and cumulative antiselction on individual major medical claim costs. (Contact: Alan Ford or Cindy Miller)

Chronic versus Acute Care (HP141) – This Call for Papers contemplates how the U.S. health care system's acute care focus impacts the delivery of care for chronic conditions. (Contact: Kara Clark)

Linking Quality and Cost: An Analysis of the Hospital Quality Information Initiavtives Measures (HP142) – The purpose of this project is to investigate the measures used in the Hospital Quality Information Initiative and how those process measures may be linked to cost measures. (Contact: Steven Siegel)

Efficacy of Specific Prescription Drugs or Categories of Drugs (HP143) – The objective of this research is the examination and measurement of the impact of specific drugs and/or categories of drugs on total medical costs. (Contact: Steven Siegel)

Completed Health Benefit Systems Practice Area Research

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Current Life Research Activity

Effects of Environmental Tobacco Smoke on Mortality and Morbidity (LP129) – The goal of this project is to produce a report that reviews current published research on this topic and examines the actuarial and statistical relevance of the findings to the insurance company. (Contact: Timothy Harris)

Living to 100 and Beyond Symposium (LP130) – This second international symposium, scheduled for January 12-14, 2005 will bring together actuaries, demographers, gerontologists and others interested in presenting papers on advanced age survival and its implications to social, financial and retirement systems. (Contact: Bob Johansen)

Analysis of Product Guarantees (LP132) – The purpose of the project is to examine individual life and annuity product guarantee features, their associated risks, the methodologies used to analyze, quantitfy and manage these risks, and their impact on policyholder behavior. (Contact: Kevin Howard or Ronora Stryker)

Search for Predictors of Exceptional Human Longevity (LP133) – The main purpose of this project is to identify predictors of exceptional human longevity and examine the interplay between them. (Contact: Tom Edwalds)

Completed Life Research Activities

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Current Retirement/Pension Systems Practice Area Research

Canadian Pensioners Mortality Experience, (1983-92) (RP107) – The purpose of this project is to construct a mortality table suitable for valuations of private Canadian pension plans by using data from the CPP/QPP confined to the experience of annuitants with relatively large annuities. (Contact: Patrick Flanagan)

Mortality Projections (RP113) – The objective of this effort is to investigate the materiality of the mortality improvement assumption in the valuation of private pension plans. (Contact: Marilyn Oliver)

Turnover and Retirement Rates – Phase 3 (RP119) – This project improves and builds upon the previous Pension Plan Turnover Rate Tables. Pension plan participant decrement data is being collected and analyzed. (Contact: Kelley McKeating)

Demography and Rates of Return (RP121) – This research is an investigation into the relationship between population demographics and financial market performance. (Contact: Joseph Applebaum)

Pension Plan Mortality Study (RP126) – The Retirement Plans Experience Committee (RPEC) will collect and analyze data on the mortality of pension plan participants as a follow-up to the RP-2000 Tables. (Contact: Kevin Binder)

Survey on Retirement Plan Preferenes (RP131) – The goal of the survey is to use the information gained to understand what is important to the public, identify the implications of the use of different types of plans, and to inform public policy, plan sponsors and practicing actuaries. (Contact: Kelley McKeating)

Preretirement Influences on Retirement Decisions Literature Search (RP133) – This is a literature review of research on pre-retirement influences in retirement decisions. (Contact: Steve Siegel)

Risks and Reward from Voluntary Annuitization (RP134) – This project will result in a software tool that will comprehensively display the risks and rewards associated with various investment/consumption strategies focusing on if and when to annuitize. (Contact: Tom Lowman)

Current Pension Actuarial Practice in Light of Financial Economics (RP135) – The focus of this call for papers is the relationship between the financial economics model and the pension valuation model in light of how financial economics have altered the way actuaries look at liability measurement and investment strategies. (Contact: Judy Anderson)

Managing Retirement Assets for Longevity and Other Risks (RP139) – This call for papers examines the risks faced in managing assets for and during retirement, and investigates strategies such as annuitization. (Contact: Paul Yakoboski)

Retirement Risk Survey 2003 (RP140) – This survey is a follow-up to the 2001 Retirement Risk Survey that assessed retired and near retired persons attitudes towards post-retirement risks. (Contact: Anna Rappaport)

Completed Retirement/Pension Systems Practice Area Research

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Experience Studies

Completed Finance Experience Studies

Group: This subcommittee is considering the use of Experience Table 95a as the basis for a new standard for Group LTD claim reserves. (Contact: Ray Siwek)

Long Term Care Valuation Task Force (HC108) – This Task Force is considering an update to the 1995 Long-Term Care Insurance Valuation Methods report, including the development of standard tables for the valuation of the many facets of this product. (Contact: Mark Litow)

Credit Insurance Experience Committee (HC110) – This committee is developing an experience study for credit life insurance. (Contact: Steve Ostlund)

Group Life Insurance (HX101) – This Committee is considering a follow up to the 1985-89 Group Life Insurance Experience Study, including the establishment of a regular pattern for this study. (Contact: Susan Sames & Karen Edgerton)

Group Long Term Disability Study (HX105) – The objective of this effort is to continue the work of the 1996 Group LTD Termination Experience Study once issues of support for the Group LTD Valuation subcommittee are resolved. (Contact: Todd Fuhs)

Individual Disability Study (HX107) – This primary focus of this Committee is to revise the specifications for the Individual Disability Income Study to reflect current products and practices and then proceed with a study of experience of both claims incidence and termination under such policies. (Contact: Bob Beal)

DI/LTC Persistency Study with LIMRA (HX113) – The objective of this study is to report upon persistency and lapse experience. (Contact: Marianne Purushotham)

1999-2002 Long-Term Care Study (HX114) – The objective of this study is to compile long-term care data from carriers into an inter-company study. (Contact: Gary Corliss)

Credit Life Mortality Study & Table (HX115) – This committee is developing an experience study for credit life insurance. (Contact: Chris Hause)

Group Long Term Disability Study (HX116) – This study examines the termination experience under group LTD claims. (Contact: Todd Fuhs)

Completed Health Experience Studies

Mortality Guarantee in Variable Products Experience Study (LP124) – This project examines mortality experience during the deferred period under variable annuities and other contracts with similar benefits. (Contact: Bob Johansen)

Mortality & Morbidity Liaison Committee (LC102) – This joint committee of actuaries, medical directors and underwriters investigates experience of various facets of the insurance and disability underwriting process, especially those reflecting extra mortality. (Contact: Rick Bergstrom)

The two major areas of activity:

Build Study (LX147) – The build study examines the mortality experience of recently issued life insurance policies that had an identified build impairment.

Diabetes Study (LX148) – The diabetes study examines the mortality experience of recently issued life insurance policies that had an identified diabetes impairment.

Mortality & Underwriting Survey Committee (LC109) – This Committee is to oversee and conduct surveys on topics related to underwriting practices and mortality experience on life insurance and annuities. (Contact: Al Klein)

The one major area of continuing activity:

Preferred Underwriting (LX140) – This survey will examine, for a third time, underwriting practices with respect to preferred products. (Contact: Mary Bahna-Nolan)

The two major areas of new activity:

Simplified Issue (LX145) – This survey is expected to examine various aspects relating to insurance policies issued with less than full underwriting. (Contact: Lori Morgan)

Risk Management (LX150) – This survey will focus on the mortality and underwriting aspects of the more general questions of enterprise risk management for insurance organizations. (Contact: Jeff Marks)

Individual Life 1995-96/1996-97/1997-98/1990-95 (Contact: Tom Rhodes) Cause of Death (LX126, LX133, LX137, LX139, LX143, LX144) (Contact: Rick Bergstrom) – This study is the ongoing reporting of mortality experience under standard, fully underwritten life insurance policies.

Structured Settlements 1998-99 (LX138) – The broad objective of this study is to study the mortality experience under structured settlement annuity contracts. (Contact: Jan Pollnow)

Mortality Studies Working Group (LC110) – The mission of this Working Group is to re-evalute the scope and context of life insurance experience studies and develop a fresh strategic perspective. (Contact: Narayan Shankar)

International Experience Survey (LC111) – The broad objective of this work is to develop experience studies for various countries of interest to members of the Society. (Contact: Mike Gabon or Bill Horbatt)

Completed Life Experience Studies

Completed Retirement Experience Studies

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Committee on Knowledge Extension Research

Note: Since 1999, CKER projects are no longer managed by Project Oversight Groups. Payment is contingent upon the final report being accepted for publication in a refereed journal. Questions regarding CKER projects may be directed to CKER chair Curtis Huntington or to SOA staff Sheree Baker.

Mathematical Models and Software for Financial Organizations at Risky Markets (KP132): Professors Alexander Vasin and Vladimir Morozov of Moscow State University proposed to develop mathematical methods and software for accumulation of the capital and investment portfolio management problems under specific conditions of the Russian financial markets.

Social Security System as a Part of Capital Markets (KP138): Professor Krzysztof Ostaszewski proposed to make the case for a comprehensive analysis of Social Security within capital markets and to show the significance of this.

Application of Quasi-Monte Carlo Methods to Actuarial Science (KP139): Professors Phelim Boyle and Ken Seng Tan proposed to write a monograph on Quasi-Monte Carlo methods and their applications to actuarial science.

Practical Implementation of the Mixture of Exponentials Model (KP142): Professors Stuart Klugman and Jacques Rioux proposed to extend the results of Clive Keatinge’s paper, “Modeling Losses with the Mixed Exponential Distribution” and develop a Windows-based program to implement the algorithm and the goodness-of-fits test.

Financial Analysis of the Canadian Annuity Market (KP145): Researcher Moshe Arye Milevsky proposed to develop a better understanding of the economic pricing, efficiency and long-term evolution of the Canadian life annuity market, employing the modeling paradigm of continuous-time finance theory.

Predictive Distributions of Multivariate Total Claims Models (KP147): Professor Rohana Ambagaspitiya, University of Calgary, proposed to develop a technique to compute multivariate claims distributions.

Survey of Bayesian Mortality Data Models with related Robust and Nonparametric Extensions (KP150): Professor Manuel Mendoza, University of Iowa, proposes to survey Bayesian models for mortality data and related frequentist models.

Valuation of Variable Annuities (KP152): Lijia Guo, Ph.D., A.S.A., University of Central Florida, Orlando proposed to identify various types of inverse problems in actuarial science and introduce regularization methods to solve these inverse problems and compare them to the existing actuarial treatments.

Inverse Problems and Their Solutions in Actuarial Science (KP153): X. Sheldon Lin of University of Toronto, Toronto and Ken Seng Tan, University of Waterloo, Waterloo proposed to consider stochastic volatility model and carry out extensive numerical studies to assess the impact of the volatility of interest rates on the variable annuities.

Pricing of Guaranteed Annuity Conversion Options (KP154): Steven Haberman, City University, London proposed to present a theoretical model (consistent with financial economics theory) for the pricing of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in the UK.

Multiperiod Risk Measurement in Insurance (KP155): Philippe Artzner, University of Louis Pasteur, France will attempt to examine the possibility and/or necessity of having a component for future acceptability into the current capital requirement dictated by a general risk measure. This project is being jointly funded by AERF and CKER.

Inference Methods for Positive Stable Laws, with Applications in Insurance and Finance (KP156): Louis Doray, University of Montreal and Andrew Luong, Laval University, with a joint grant from AERF, are developing appropriate quadratic distance methods for estimating the parameters of the positive stable laws, based in the empirical Laplace transform or empirical probability generating function, and study the asymptotic properties of this estimator, such as consistency and efficiency, and the numerical implementation of the proposed techniques.

Some Actuarial/Finance Problems Under General Reserve Models (KP157): Dr. Jin Ma, Purdue University will start from the premise that more and more insurance products involve both death benefits and investments, and general risk models should involve two types of uncertainties: one from traditional claims and the other from investment returns, and then will research pricing insurance products and assessing ruin probabilities to determine optimal strategies as part of risk management.

Transferring the Financial Risks of Retirement (KP158): William Leslie, ING will to develop a model that conveys the risks and rewards of various strategies concerning asset performance and longevity. The Committee of Finance Research manages the project and the outcome is to be an Excel-based model that will enable the user to correctly and completely enter data, calibrate the model and analyze the results.

Game Theoretic Analysis of Competitive Rate Setting (KP163): Greg Slone and Steven Craighead, Nationwide, are determining if they can optimally model different rate-setting processes in the presence of competitors, regulators, and various states of the economy.

Credibility Using Copulas (KP165): Edward (Jed) Frees, University of Wisconsin, proposes to develop a direct link between credibility and loss distributions through the notion of a copula, a tool for understanding relationships among multivariate outcomes.

Travel Scholarships (KP 167): CKER will be awarding ten $500 travel scholarships to U.S. or Canadian graduate students who will be presenting a paper at the 40th Actuarial Research Conference in Mexico City, August 2005.

Impact of Co-payments and Deductibles on Long-Run Health Insurance Claims: Empirical Evidences (KP168):  Antonio Westenberger, University of Sao Paulo, Brazil, aims his research at empirically investigating the effectiveness and cost-effectiveness of preventive care services by using panel data analysis.  

Optimal Surrender Strategies and Product Design for Equity-Indexed Annuities (KP169): Kristen Moore, University of Michigan, will attempt to understand optimal equity-indexed annuity policyholder behavior and product design. This project builds on the existing actuarial literature and incorporates some of the ideas and methods from mathematical finance to an important question in actuarial science. 

Pricing Cycles and Ruin Probability (KP170): Bruce Jones, University of Western Ontario, will develop a model for the surplus process that appropriately reflects pricing cycles, will explore the sensitivity of ruin probabilities to changes in characteristics of pricing cycles, and will investigate the impact on the surplus process of two strategies for responding to pricing cycles.  

Robust and Efficient Methods for Credibility (KP171): Vytaras Brazauskas, University of Wisconsin – Milwaukee, will develop an ensemble of improved data-analysis procedures, which offer various trade-offs between robustness and efficiency.  Practical guidelines regarding the choice of appropriate robustness-efficiency trade-off in applications will be established.  

The Optimal Allocation of Aggregate Mortality Risk (KP173): Anthony Webb, Boston College, proposes a study of the aggregate mortality risk faced by annuity insurers, the risk that the average mortality of the population from which the insurer draws its annuity proves to be lower than expected. Insurers anticipate continued reductions in mortality, but they cannot be certain of the pace of such reductions.

Extreme Value Analysis for Partitioned Insurance Losses (KP174): Ping-Hung Hsieh and John B. Henry III, Oregon State University, will specify a theoretically sound and defensible statistical model for analyzing extreme insurance losses in partitioned form, and consequently, to provide useful and reliable summary statistics such as the conditional mean of extreme losses for decision making.    

Markov Mortality Models and Their Applications in Actuarial Science (KP175): Sheldon Lin and Xiaoming Liu, University of Toronto, will describe the relationship between mortality and physiological variables by using finite-state Markov processes with one absorbing state to model an underlying dynamic aging process. As a result, the mortality distribution will be of (generalized) phase-type, which is fundamentally different from the traditional Gompertz-based models. 

Estimating the Actuarial Cost Function of Financial Distress (KP176): Shaun Wang and Andreas Milidonis, Georgia State University, will derive an analytical framework and perform empirical estimations of the actuarial cost function of financial distress, expressed as a function of the distance-to-default.  

Edward A. Lew Award: was the 1973–1974 president of the Society of Actuaries and a longtime supporter of SOA efforts. He was an active member, and chairperson emeritus, of the Committee on Life Insurance Research at the time of his death in 1996. He was a founding member of the Actuarial Research Conference (ARC) and the Actuarial Research Clearing House (ARCH) publication.

He had a longtime interest in modeling research and was instrumental in providing the motivation for the beginning of the Society of Actuaries modeling conferences.

CKER administers this award program to advance knowledge in actuarial modeling. The first awards were presented in 1998.

Analysis of Individual Life Insurance Preferred Risk Discounts by using Futurism Techniques (2004) by Tom Conger
The researcher will utilize futurism techniques to examine the persistence of preferred risk discounts found in the individual life insurance market.  Participants will be asked to provide preferred mortality discount values for periods of time in the future (10, 20, 30 years) for the defined cohorts.  During the study, new factors that impact mortality will be introduced so that they can study the effect of these factors.

The Management of De-Accumulation Risks in a Defined Contribution Environment (2002)
by Russell Gerrard, Ph.D., Steven Haberman, FIA, Ph.D., and Elena Vigna, Ph.D. To provide a tool for finding the optimal investment and/or consumption choices in defined-contribution pension schemes in the de-cumulation phase, when the income drawdown option is taken by the pensioner.

Development of Educational Material Related to Actuarial Modeling (2000)
by Bruce Jones, FSA, Ph.D.
His project will be an extension of An Introduction to Actuarial Models and Modeling: An Interactive Approach (IAMM).

Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation (1999)
by Hans U. Gerber, ASA, Ph.D., and Elias S. Shiu, ASA, Ph.D.
www.soa.org/library/journals/north-american-actuarial-journal/2000/april/naaj0004_4.pdf

A Longitudinal Data Analysis Interpretation of Credibility Models (1998)
by Edward A. Frees, FSA, PhD., Yu Luo, ASA, and Virginia R. Young, FSA, PhD.
Insurance: Mathematics and Economics, Volume 24, Issue 3 (28 May, 1999)

Forecasting Social Security Actuarial Assumptions (1998)
by Edward A. Frees, FSA, Ph.D., Yueh-Chuan Kung, Ph.D., Siu-Wan Lan, ASA, Ph.D.,andVirginia R. Young, FSA, Ph.D.
http://www.soa.org/library/journals/north-american-actuarial-journal/1997/october/naaj9710_3.pdf

Understanding Relationships Using Copulas (1998)
by Edward W. Frees, FSA, Ph.D., Emiliano Andres P. Valdez, Ph.D.
http://www.soa.org/library/journals/north-american-actuarial-journal/1998/january/naaj9801_1.pdf

Completed CKER Projects

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