Program at a Glance

Wednesday, August 3, 2022

Time	Session Details	Location
9:00–11:30	Mini-Workshop	Chancellor Room
13:00–15:00	Outing to Japan House (registered guests only)	See note*
17:00–19:00	Registration and Reception	Chancellor Room

Thursday, August 4, 2022

Time	Session Details	Location
8:30–8:45	Coffee and Morning Snack	Lobby
8:45–9:00	Opening Remarks from Matthew Ando	Illinois Room
9:00–10:00	Keynote Address Qihe Tang “Insurance and Systemic Risk”	Illinois Room
10:00–10:20	Coffee Break	Lobby
10:20 – 11:50	Statistical and Machine Learning I Chair: Liang Hong	Illinois Room
	10:20–Panyi Dong, “Automated Machine Learning in Insurance”
	10:50–Youngsun Kim, “Transfer Learning in Actuarial Science: Primer and Applications”
	11:20–Vajira Manathunga, “Framework for BERT Based NLP Models with Applications to Warranty Policy Loss Prediction”
10:20 – 11:50	Retirement and Pension Mathematics I Chair: Jonathan Ziveyi	Knowledge Room
	10:20–Jonathan Ziveyi, “A Hybrid Variable Annuity Contract Embedded with Living and Death Benefit Riders”
	10:50–Daniel Linders, “The 3-Step Hedge-Based Valuation: Fair Valuation in the Presence of Systematic Risks”
	11:20–Adriana Ocejo, “Portfolio Optimization with a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees”
10:20 – 11:20	Quantitative Finance I Chair: Ruodu Wang	Innovation Room
	10:20–Zhanyi Jiao, “A Reverse Expected Shortfall Optimization Formula”
	10:50–James Ely, “The Laplace Transform as Stochastic Present Value”
10:20 – 11:50	Reinsurance Chair: Tim Boonen	Excellence Room
	10:20–Mingren Yin, “Optimal Reinsurance Design with Model Uncertainty”
	10:50–Gee Lee, “Multivariate Insurance Portfolio Risk Retention”
	11:20–Tim Boonen, “Bowley vs. Pareto Optima in Reinsurance Contracting”
10:20–11:20	Invited Session	Humanities Room
	Brian Fennin, “Beyond Excel”
11:50 – 13:00	Lunch	Lobby
13:00 – 14:30	Risk Modeling and Measurement I Chair: Jean-François Bégin	Illinois Room
	13:00–Xing Wang, “Extreme and Inference for Tail Gini Functionals with Applications in Tail Analysis of Systemic Risk”
	13:30–Phelim Boyle, “Sums of Sums of Lognormals”
	14:00–Qian Zhao, “Robust Credibility Based on Censored Data”
13:00 – 14:30	Cyber Risk I Chair: Maochao Xu	Knowledge Room
	13:00–Hon Keung (Tony) Ng, “Statistical Models and Algorithms for Assessing Robustness and Reliability of Networks with Applications in Cybersecurity Insurance”
	13:30–Maochao Xu, “Statistical Modeling of Data Breach Risks: Time to Identification and Notification”
	14:00–Zhiwei Tong, “An Integrated Study of Cyber Security and Cyber Insurance”
13:00 – 14:00	Health Insurance Chair: Anne MacKay	Innovation Room
	13:00–Ying Chen, “Actuarial Price of Health Insurance Coverage and Dependence in Care Utilization”
	13:30–Nickolas Thiessen, “How Much Surplus Should a Health Insurer Hold to Avoid Insolvency?”
13:00 – 14:30	Insurance Economics Chair: Bin Zou	Excellence Room
	13:00–Shengchao Zhuang, “Variance Insurance Contracts”
	13:30–Yuanying Guan, “Ambiguity Aversion and State-Dependent Insurance”
	14:00–Bin Zou, “Stackelberg Differential Game for Insurance under Model Ambiguity”
13:00 – 14:30	Carpe Invited Session	Humanities Room
	Scot Barton, VP of Product, Carpe Data, “InsurTech”
14:30 – 14:50	Coffee Break	Lobby
14:50 – 16:20	Loss Reserving and Ratemaking I Chair: Peng Shi	Illinois Room
	14:50–Bowen Liu, “The Application of Accumulation Tests in Peaks Over Threshold Modeling with Norwegian Fire Insurance Data”
	15:20–Roxane Turcotte, “Longitudinal Claim Count Models Using Splines for Predictive Ratemaking”
	15:50–Juan-Sebastian Yanez, “Parametric Outstanding Claim Payment Count Modelling through a Dynamic Claim Score”
14:50 – 16:20	Mortality And Longevity Modeling I Chair: Haibo Liu	Knowledge Room
	14:50–Haibo Liu, “Pricing Extreme Mortality Risk amid the COVID-19 Pandemic”
	15:20–Yuan Chen, “Data Driving LSTM Method to predict the Mortality under COVID-19 in the United States Based on Deep Learning”
	15:50–Kenneth Zhou, “Modeling Cause-of-Death Mortality with Jump Effects: Implications on Risk Management to Life Insurers”
14:50 – 16:20	Capital Allocation and Dependence Modeling Chair: Etienne Marceau	Innovation Room
	14:50–Yong Xie, “Option Implied Degree of Nonlinear Dependence: Definition, Properties, and Information Contents”
	15:20–Etienne Marceau, “Collective Risk Models with FGM dependence”
	15:50–Christopher Blier-Wong, “Efficient Computation of Expected Allocations”
14:50 – 15:50	Actuarial Education Chair: Russell Hendel	Excellence Room
	14:50–Diana Skrzydlo, “Designing Authentic Assessments for Learning”
	15:20–Russell Hendel, “A Reading Comprehension Approach Based on Keywords to Prelim Exam Problems”
14:50 – 16:20	Invited Session	Humanities Room
	Nancy Behrens, “Professionalism and You”
16:20–17:00	Poster Session	Lobby
16:30 – 19:00	Happy Hour	Lobby
17:00 – 19:00	Outing to Japan House (registered guests only)	See note*

Friday, August 5, 2022

Time	Session Details	Location
8:30–9:00	Coffee and Morning Snack	Lobby
9:00–10:00	Keynote Marianne Purushotham “The Insurance Industry Evolution and Academic Collaboration”	Illinois Room
10:00–10:20	Coffee Break	Lobby
10:20 – 11:50	Risk Modeling and Measurement II Chair: Yiqing Chen	Illinois Room
	10:20–Daoping Yu, “Comparison of Model Selection Criteria for Distinguishing Operational Risk Models”
	10:50–Ruodu Wang, “Model Aggregation for Risk Evaluation and Robust Optimization”
	11:20–Yiqing Chen, “An Asymptotic Study of Systemic Expected Shortfall and Marginal Expected Shortfall”
10:20 – 11:50	Actuarial Approaches to COVID-19 Chair: Ian Duncan	Knowledge Room
	10:20–Linfeng Zhang, “Pandemic Risk Management: Resources Contingency Planning and Allocation”
	10:50–Hee Seok Nam, “Mathematical and Actuarial Analysis on a Deterministic SEIR Model”
	11:20–AYSE ARIK, “Estimating the Impact of COVID-19 Health Disruptions on Breast Cancer Risk”
10:20 – 11:20	Life Insurance Chair: Xiaochen Jing	Innovation Room
	10:20–Jamaal Ahmad, “Computation of Bonus in Multi-State Life Insurance”
	10:50–Xiaochen Jing, “Is There Principal-Agent Problem in Variable Annuities? Evidence from Investment Restrictions and a Comparison of Fee Incentives”
10:20 – 11:50	Invited Session	Humanities Room
	Jeff Beckley and panelists,”Actuarial Educators Forum”
11:50 – 13:00	Lunch	Lobby
13:00 – 14:30	Mortality and Longevity Modeling II Chair: Brian Hartman	Illinois Room
	13:00–Brian Hartman, “A Multivariate Spatiotemporal Model for County Level Mortality Data in the Contiguous United States”
	13:30–Adrian O Hagan, “Quantifying Impacts for Insurers of Polygenic Risk Scores for Multifactorial Genetic Disorders: a Simulation Study Using Coronary Artery Disease.”
	14:00–Lydia Gabric, “A Generalized Graphical Risk Metric for Natural Hedging”
13:00 – 14:30	Quantitative Finance II Chair: Arnold Shapiro	Knowledge Room
	13:00–Arnold Shapiro, “Conceptualizing Life Annuities as Fuzzy Random Variables”
	13:30–Anne MacKay, “Optimal Stopping with Discontinuous and Time-Dependent Reward with Applications to Variable Annuities”
	14:00–Wenchu Li, “Sustainable Investing in Corporate Bonds: Evidence from the U.S. Life Insurance Companies”
13:00 – 14:30	Blockchain, Telematics, and InsurTech Chair: Elias Shiu	Innovation Room
	13:00–Francis Duval, “Anomaly Detection Techniques for Feature Extraction in Automotive Claim Classification”
	13:30–Patrick Toman, “Freeze Loss Risk Management Using IoT Sensor Networks and Online Time Series Classification”
	14:00–Mao Li, “Distributed Insurance”
13:00 – 14:30	Casualty Actuarial Society Invited Session	Humanities Room
	Roosevelt Mosley and Ken Williams, “Race and Insurance Pricing”
14:30 – 14:50	Coffee Break	Lobby
14:50 – 16:20	Loss Reserving and Ratemaking II Chair: Daniel Bauer	Illinois Room
	14:50–Marie Michaelides, “Individual Claims Reserving Using Activation Patterns”
	15:20–Sebastian Calcetero, “A Credibility Index for Efficient Computation and Interpretation of Bayesian Models for Experience Rating in Non-life Insurance”
	15:50–Carlos Araiza, “A Discrimination-Free Premium Under a Causal Framework”
14:50 – 16:20	Retirement and Pension Mathematics II Chair: Gao Niu	Knowledge Room
	14:50–Jiwon Jung, “Modelling Functional Disability with Hawkes Process”
	15:20–Mengyi Xu, “An Observation-Driven Approach to Multi-State Modeling of Mortality and Disability”
	15:50–Gao Niu, “Retirement Benefit Evaluation Based on Impaired Mortality with Tax Consideration”
14:50 – 16:20	Statistical and Machine Learning II Chair: Jianxi Su	Innovation Room
	14:50–Jianxi Su, “Inference for The Tail Conditional Allocation: Large Sample Properties and Insurance Risk Assessment”
	15:20–Vytaras Brazauskas, “Smoothing and Measuring Discrete Risks”
	15:50–Changyue Hu, “Improving Business Insurance Loss Models by Leveraging InsurTech Innovation”
14:50 – 16:20	Cyber Risk II Chair: Petar Jevtic	Excellence Room
	14:50–Petar Jevtic, “Framework for Cyber Risk Loss Distribution of Hospital Infrastructure: Bond Percolation on Mixed Random Graphs Approach”
	15:20–Meng Sun, “Modeling Cyber Loss Severity Using a Spliced Regression Distribution with Mixture Components”
	15:50–Ahmed Soliman, “Understanding Insured Behavior through Causal Analysis of IoT Streams”
14:50 – 16:20	Society of Actuaries Invited Session	Humanities Room
	John W. Robinson, Stuart Klugman and Steven Siegel
16:20 – 17:00	Lobby Chatting	Lobby
17:00–17:30	Group Photo	Lobby
18:15	Shuttle for Banquet Dinner opens	Conference center parking lot
18:30–22:00	Banquet	Alice Campbell Alumni Center
	18:30—Reception
	19:00—Dinner
	20:00—Address from SOA president-elect
	20:15—Address from CAS president-elect
	20:30— Presentation of MCAP Best Paper Award; Presentation of SOA Early Career Award; Performance

Saturday, August 6, 2022

Time	Session Details	Location
8:30–9:00	Coffee and Morning Snack	Lobby
9:00–10:00	Keynote Address Ken Seng Tan “Sustainable Risk Management Strategy via Index-Based Agricultural Insurance”	Illinois Room
10:00–10:20	Coffee Break	Lobby
10:20 – 11:20	Loss Reserving and Ratemaking III Chair: Cynthia Edwalds	Illinois Room
	10:20–Nii Okine, “Ratemaking in a Changing Environment”
	10:50–Wenyi Lu, “Quantification of Variability of Chain Ladder Reserve Estimates: Comparison of Mack’s Method vs Bayesian Simulation Method Regarding Implementation Difficulties”
10:20 – 11:50	Risk Modeling and Measurement III Chair: Kristina Sendova	Knowledge Room
	10:20–Liyuan Lin, “Diversification Quotients: Quantifying Diversification via Risk Measures”
	10:50–Qiuqi Wang, “E-backtesting risk measures”
	11:20–Kristina Sendova, “Simultaneously arriving claims”
10:20 – 11:50	Statistical and Machine Learning III Chair: Nariankadu Shyamalkumar	Innovation Room
	10:20–Nariankadu Shyamalkumar, “Mortality Forecasting with Neural Tangent Kernel Regression”
	10:50–Liang Hong, “Valid Model-Free Prediction of Future Insurance Claims Based on a Machine Learning Strategy”
	11:20–Jean-François Bégin, “Ensemble Economic Scenario Generators: Unity Makes Strength”
10:20 – 11:50	Invited Session	Humanities Room
	Margie Rosenberg and panelists, “Discussing the “I” of DEI”
11:55–12:10	Departing remarks Presentation for ARC2023	Illinois Room
12:10–13:00	Boxed lunch to go	Lobby