CAS E-Forum, Summer 2012
2012 Summer Volume including Dynamic Risk Modeling Call Papers on “Solving Problems Using a Dynamic Risk Modeling Process,” the 2012 Reserves Call Papers, and four Additional Papers
The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.
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Table of Contents
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2012 Dynamic Risk Modeling Call Papers
Stochastic GMB Methods for Modeling Market Prices James P. McNichols, ACAS, MAAA, and Joseph L. Rizzo, ACAS, MAAA
Effects of Simulation Volume on Risk Metrics for Dynamo DFA Model William C. Scheel and Gerald Kirschner
2012 Reserves Call Papers
A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy Larry Decker, FCAS, MAAA
- Decker Exhibits [.xls] Decker 2009 Claims [.csv] Decker All Open Claims [.csv] Decker Restated Claims [.csv] Decker Script R [.txt - R File]
Looking Back to See Ahead: A Hindsight Analysis of Actuarial Reserving MethodsSusan J. Forray, FCAS, MAAA
Back-Testing the ODP Bootstrap of the Paid Chain-Ladder Model with Actual Historical Claims DataJessica (Weng Kah) Leong, Shaun Wang, and Han Chen
The Leveled Chain Ladder Model for Stochastic Loss Reserving Glenn Meyers, FCAS, MAAA, CERA, Ph.D
- LCL1 Model.R [.txt - R File] LCL2 Model.R [.txt - R File] LCL1-JAGS [.txt] LCL2-JAGS [.txt]
A Practical Way to Estimate One-Year Reserve Risk Ira Robbin, Ph.D.
- Robbin Exhibits [.xls]
A Total Credibility Approach to Pool Reserving Frank Schmid
Two Symmetric Families of Loss Reserving Methods Andy Staudt, FCAS, MAAA
- Staudt Exhibit [.xls]
Closed-Form Distribution of Prediction Uncertainty in Chain Ladder Reserving by Bayesian Approach Ji Yao, Ph.D., FIA, CERA
Additional Papers
Sustainability of Earnings: A Framework for Quantitative Modeling of Strategy, Risk, and Value Neil M. Bodoff, FCAS, MAAA
A Common Subtle Error: Using Maximum Likelihood Tests to Choose between Different Distributions Gyasi Dapaa
Loyalty Rewards and Gift Card Programs: Basic Actuarial Estimation Techniques Tim A. Gault, ACAS, MAAA, Len Llaguno, FCAS, MAAA, and Martin Ménard, FCAS, MAAA
A Note on Parameter Risk Gary Venter, FCAS, MAAA, and Rajesh Sahasrabuddhe, FCAS, MAAA
Copyright © 2012 Casualty Actuarial Society. All Rights Reserved.
