Program at a Glance

Wednesday, August 3, 2022

TimeSession DetailsLocation
9:00–11:30Mini-WorkshopChancellor Room
13:00–15:00Outing to Japan House (registered guests only)See note* 
17:00–19:00Registration and ReceptionChancellor Room
*We recommend taking the shuttle to this event, as there is no sidewalk along St. Mary’s Road. The shuttle will pick up from the conference center parking lot and drop off at Japan House. Pickup from Japan House will be located at Parking Lot F-32.

Thursday, August 4, 2022

TimeSession DetailsLocation
8:30–8:45Coffee and Morning SnackLobby
8:45–9:00Opening Remarks from Matthew AndoIllinois Room
9:00–10:00Keynote Address Qihe Tang “Insurance and Systemic Risk”Illinois Room
10:00–10:20Coffee BreakLobby
10:20 – 11:50Statistical 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 – 11:50Retirement 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 – 11:20Quantitative 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 – 11:50Reinsurance
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” 
10:20–11:20Invited SessionHumanities Room
 Brian Fennin, “Beyond Excel” 
11:50 – 13:00LunchLobby
13:00 – 14:30Risk 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 – 14:30Cyber 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 – 14:00Health 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 – 14:30Insurance 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 – 14:30Carpe Invited SessionHumanities Room
 Scot Barton, VP of Product, Carpe Data, “InsurTech” 
14:30 – 14:50Coffee BreakLobby
14:50 – 16:20Loss 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 – 16:20Mortality 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 – 16:20Capital 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 – 15:50Actuarial 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 – 16:20Invited SessionHumanities Room
 Nancy Behrens, “Professionalism and You” 
16:20–17:00Poster SessionLobby
16:30 – 19:00Happy HourLobby
17:00 – 19:00Outing to Japan House (registered guests only)See note*
*We recommend taking the shuttle to this event, as there is no sidewalk along St. Mary’s Road. The shuttle will pick up from the conference center parking lot and drop off at Japan House. Pickup from Japan House will be located at Parking Lot F-32.

Friday, August 5, 2022

TimeSession DetailsLocation
8:30–9:00Coffee and Morning SnackLobby
9:00–10:00Keynote Marianne Purushotham “The Insurance Industry Evolution and Academic Collaboration”Illinois Room
10:00–10:20Coffee BreakLobby
10:20 – 11:50Risk 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 – 11:50Actuarial 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 – 11:20Life 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 – 11:50Invited SessionHumanities Room
 Jeff Beckley and panelists,”Actuarial Educators Forum” 
11:50 – 13:00LunchLobby
13:00 – 14:30Mortality 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 – 14:30Quantitative 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 – 14:30Blockchain, 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 – 14:30Casualty Actuarial Society Invited SessionHumanities Room  
 Roosevelt Mosley and Ken Williams, “Race and Insurance Pricing” 
14:30 – 14:50Coffee BreakLobby
14:50 – 16:20Loss 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 – 16:20Retirement 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 – 16:20Statistical 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 – 16:20Cyber 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 – 16:20Society of Actuaries Invited SessionHumanities Room
 John W. Robinson, Stuart Klugman and Steven Siegel 
16:20 – 17:00Lobby ChattingLobby
17:00–17:30Group PhotoLobby
18:15Shuttle for Banquet Dinner opensConference center parking lot
18:30–22:00BanquetAlice Campbell Alumni Center
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

TimeSession DetailsLocation
8:30–9:00Coffee and Morning SnackLobby
9:00–10:00Keynote Address Ken Seng Tan “Sustainable Risk Management Strategy via Index-Based Agricultural Insurance”Illinois Room
10:00–10:20Coffee BreakLobby
10:20 – 11:20Loss 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 – 11:50Risk 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 – 11:50Statistical 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 – 11:50Invited SessionHumanities Room
 Margie Rosenberg and panelists, “Discussing the “I” of DEI” 
11:55–12:10Departing remarks Presentation for ARC2023Illinois Room
12:10–13:00Boxed lunch to goLobby