The Actuarial Foundation

2008 Individual Grant Competition Recipients

The AERF Committee of The Actuarial Foundation (TAF), the Casualty Actuarial Society (CAS) and the Committee on Knowledge Extension Research (CKER) of the Society of Actuaries sponsored the 2008 Individual Grants Competition to support the advancement of knowledge in actuarial science.

The AERF Committee, CAS and the CKER awarded a grant to Katrien Antonio, Universiteit van Amsterdam, for her project "Stochastic Claims Reserving: Micro Models for Run-Off, Incorporating Expert Opinion, and the Interaction with Extreme Value Methodology".

Vytaras Brazauskas, University of Wisconsin - Milwaukee, was awarded a grant from the AERF Committee, the CAS and the CKER for his project "Robust and Efficient Methods for Quantitative Risk Management".

Wai-Sum Chan, The Chinese University of Hong Kong, was awarded a grant from the CKER for his project, “On Robust Testing and Modeling of Nonlinear Stochastic Return Processes with Actuarial Applications”.

The AERF Committee and the CAS awarded a grant to Luyang Fu, State Auto Insurance Company, for his project, “Optimal Layers for Excess Catastrophe Loss Reinsurance”.

A grant was awarded from the AERF Committee, CAS and the CKER to Joseph Hyun-Tae Kim, University of Waterloo, for his project, “Estimating Allocated Capital Using the Bootstrap”.

The CKER awarded a grant to Spyridon Vrontos, University of Piraeus, for his project, “Asset-Liability Management for Pension Funds in a Time-Varying Volatility Environment”.

Ping Wang, St. John’s University, was awarded a grant from the AERF Committee and the CKER for his project, “Pricing Multi-Year, Multi-Line Reinsurance Using Copulas”.

Maria Rizzo, Bowling Green State University, was awarded a grant from the CAS for her project, “New Goodness-of-Fit Tests for Pareto Distributions”.

The AERF Committee awarded a grant to Doug Andrews, University of Waterloo, for his project, “Social Insurance Summer Academy and Educational Monograph”.