The Actuarial Foundation

2007 Individual Grant Competition Recipients

The Committee on Knowledge Extension Research (CKER) of the Society of Actuaries and the AERF Committee of The Actuarial Foundation (TAF) sponsored the 2007 Individual Grants Competition to support the advancement of knowledge in actuarial science.

The AERF Committee awarded a grant to Laura Ballotta, City University (London), for her project "Efficient Numerical Methods for Fair Valuation of Participating Life Insurance Contracts with Variable Bonus Components".

The CKER awarded a grant to Erhan Bayraktar and Michael Ludkovski, University of Michigan, for their project "Relative Hedging of Systematic Mortality Risk".

Stephen D'Arcy, University of Illinois, was awarded a grant from the AERF Committee and the Casualty Actuarial Society for his project "Property–Liability Insurance Loss Reserve Ranges Based on Economic Value".

Sam Efromovich, University of Texas–Dallas, Pankaj Choudhary, University of Texas–Dallas, Jerome Tuttle, Platinum Underwriters Reinsurance, Inc, Wim Vijverberg, University of Texas–Dallas, and Harold Zhang, University of Texas–Dallas, were awarded a grant from the AERF Committee and the Casualty Actuarial Society for their project "Theory, Methodology and Methods of Multivariate Conditional Density Estimation and Its Application to the Analysis of a Credit Scoring as a Fair Rating Variable."

The CKER awarded Edward Furman, University of Haifa, and Ricardas Zitikis, University of Western Ontario, a grant for their project "Weighted Premium Calculation Principles and Risk Capital Allocations."

Patrice Gaillardetz and Youssef Lakhmiri, Concordia University, received a grant from the CKER for their project "Pricing and Hedging Equity–Indexed Annuities Using Iterated Conditional Tail Expectation."

Yijia Lin, Youngstown State University, Sam Cox, Georgia State University, Luis Zuluaga, University of New Brunswick, and Ruilin Tian, Georgia State University, were awarded a grant from the AERF Committee and the Casualty Actuarial Society for their project "Bounds for Ruin Probabilities and Value at Risk."

The CKER awarded a grant to Manuel Morales, University of Montreal, and Enrico Biffis, City University (London), for their project "On a Generalization of the Gerber–Shiu Function."

Liang Peng, Georgia Institute of Technology, Xiaohong Chen, New York University, and Jian Chen, Sage Software SBD, received a grant from the CKER for their project "Tail Copulas and Time–Varying Tail Copulas in Risk Management and Insurance."

Robert Serfling, University of Texas at Dallas, was awarded a grant from the AERF Committee for his project "Multivariate Modeling in Actuarial Science Allowing Heavy Tailed Distributions, via the L–Moments/L–Comoments Approach."

The AERF Committee awarded a grant to Eric Ulm, Georgia State University, for his project "The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits in Annuities."