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Individual Grants Competition


The Actuarial Foundation’s Research Committee, Actuarial Foundation of Canada, Casualty Actuarial Society and Society of Actuaries’ Committee on Knowledge Extension Research together support the Individual Grants Competition to add to the advancement of knowledge in actuarial science.

2015 Individual Grant Recipients

  • Dr. Maciej Augustyniak and Dr. Mathieu Boudreault, Hedging Variable Annuities under Stochastic Volatility and Interest Rates
  • Dr. Enrico Biffis and Mario Ghossoub, Managing Model Risk in Insurance-Linked Securities
  • Runhuan Feng, FSA, Dr. Zhenyu Cui and Anne MacKay, Modeling and Risk Management of Variable Annuities with VIX-Linked Fee Structure
  • Dr. Diao and Weng, Recursive Partitioning Methods for Credibility Theory
  • Dr. Hirbod Assa and Dr. Athanasios Pantelous, Agricultural Insurance and Reinsurance
  • Liang Hong and Ryan Martin, Flexible Bayesian Nonparametric Credibility Models
  • Dr. Fan Yang and Dr. Daniel Linders, Risk Aggregation with Partial Dependence Information
  • Dr. Andrei Badescu, Jacqueline Friedland, and Dameng Tang, Erlang Based Methods for Estimating IBNyR Reserves in General Insurance
  • Dr. Yiqing Chen and Dr. Rahul Parsa, Risk Measurement Based on Available Information

2014 Individual Grant Recipients

  • Michael Baron, Ph.D. and Bhargab Chattopadhyay, Ph.D., Statistical Methods for Gaining Precision in Credibility Estimation
  • Carol Bernard, Ph.D., Zhenyu Cui, Ph.D., and Steven Vanduffel, Ph.D., Impact of Flexible Periodic Premiums on VA Guarantees
  • Vytaras Brazauskas, Ph.D., Modeling Severity and Measuring Tail Risk: Statistical Methods, Tools, Perspectives
  • Corina Constantinescu, Ph.D., Joseph Lo, Ph.D., and David Siska, Ph.D., Reinsurance, Dividends and Capital Optimization in General Insurance Companies
  •  Jan Dhaene, Ph.D., Karel Van Hulle, Ph.D., and Yaniv Zaks, Ph.D., Optimal Asset-Liability Management: An Empirical Comparison under the Solvency II Directive
  •  Robert Erhardt, Ph.D., ACAS, Spatial Dependence and Climate Change Impacts on Weather Risk Pricing
  •  Brian Hartman, Ph.D., ASA, and Nathan Lally, Predictive Modeling in Long Term Care Insurance
  •  Lei Hua, Ph.D., ASA, Sanjib Basu, Ph.D., and Michelle Xia, Ph.D., Factor Copula Approaches For Assessing Spatially Dependent High-Dimensional Risks
  • David Landriault, Ph.D., FSA, FCIA, Tianziang Shi, Ph.D., ASA, and Wei Wei, Ph.D., Economical Capital and its Optimal Allocations in the Joint-Insolvency Risk Model
  •  Kailan Shang, FSA, Opinion Mining for Insurance Companies
  •  Maochao Xu, TMV-based Capital Allocations for Multivariate Risks

2013 Individual Grant Recipients

  • Catherine Donnelly, PhD, FIA, Syahilla Abdul Aziz, Analysis of Risk Transfer Mechanisms in Funded Pension Schemes
  • Runhuan Feng, FSA, CERA, Alternative Computational Methods for Risk Capitals of Variable Annuity Guaranteed Benefit
  • Lei Hua, ASA, PhD, Tail Negative Dependence and Its Applications for Aggregate Loss Modeling
  • Yi Lu, PhD, Spatio-Temporal Credibility Models and Applications
  • Rahul A. Parsa, PhD, and Paul Ferrara, FSA, CERA, PhD, A Transformed Linear Approximation to Copula Regression
  • Aleksey S. Polunchenko, PhD, and Xingye Qiao, PhD, Rapid Anomaly Detection and Classification in Massive Complex Financial Systems
  • Colin Ramsay, PhD, ASA, MAAA, Optimal Disability Insurance with Moral Hazards: Absenteeism and Presenteeism
  •  Peng Shi, PhD, ASA, A Multivariate Analysis of Intercompany Loss Triangles
  •  Ken Seng Tan, PhD, ASA, CERA, Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer's Liability and an Economic Reinsurance Premium Principle
  •  Cary Chi-Liang Tsai, PhD, ASA, Applications of Mortality Durations and Convexities in Hedging Longevity/Mortality Risks

2012 Individual Grant Recipients

  • Alexandru Badescu, Capital Requirements and Optimal Investment for Insurance Companies: A Dynamical Approach
  • Dr. Yvonne Chueh, Dr. Paul Johnson, Developing and Testing AMOOF2
  • Dr. Hélène Cossette, Dr. David Landriault, Dr. Étienne Marceau, Mixed Erlang Moment-Based Approximation: Applications in Actuarial Science and Risk Management
  • Bonnie-Jeanne MacDonald, The Impact of Financial Crisis on the Financial Welfare of Canadian Seniors
  • Dr. Qihe Tang, Bin Li, Fan Yang, Zhongyi Yuan, Conditional Tail Expectation for Portfolio Losses with Applications to Credit Risk Management
  • Dr. Serena Tiong, Inflation-Linked Annuity Products for Retirement Planning
  • Virginia Young, Optimally Purchasing Life Insurance
  • Luis F. Zuluaga, Ph.D., Robert H. Storer, Ph.D., Juan Vera, Ph.D., Robert Howley, Bounds On The Expected Payments Of Insurance Instruments: A Novel Computational Approach

2011 Individual Grant Recipients

  • Jean-Pierre Chateau and Daniel Dufresne, Gram-Charlier Distributions
  • Sam Efromovich, Jerome Tuttle, Pankaj Choudhary, Natalia Humphreys, Nonparametric Regression in the Presence of Missing Data - Theory, Methods, and Application to the Analysis of a Credit Scoring as a Fair Rating Variable
  • Brian Hartman, Chris Groendyke, Model Selection and Averaging in Regime-switching Models of Various Types
  • John B. Henry, III, Edward J. Yorty, A Flexible Predictive Model for Pure Premium Estimation
  • Rob Lieberthal, Validating the PRIDIT Method for Determining Hospital Quality with Outcomes Data
  • Sheldon Lin and Panpan Wu, A Move-Based Hedging Strategy for Put Options with Application to Variable Annuities
  • Liang Peng, Jingping Yang, Interval Estimation for Elliptical Copulas in Risk Management
  • Peng Shi, Wei Zhang, Two-Sided Moral Hazard and Optimal Payment Mechanism in Health Care
  • Qihe Tang, Zhongyi Yuan, Dynamic Risk Management for Insurance in the Presence of Correlated Extreme Risks

To view a list of 2010 Individual Grant Recipients, please click here