Research Papers

Research Papers2018-08-26T02:32:09+00:00
AuthorYearTitlePublicationAbout
Venter, G. G.2019Loss Reserving Using Estimation Methods Designed for Error ReductionBayesian shrinkage applied to loss reserving, with detailed discussion of loss distributions
Venter, G. G., Şahin, Ş.2019Modeling Mortality of Related Populations via Parameter ShrinkageSSRNApplying parameter shrinkage for joint models of multiple mortality datasets. Explores relationship of Bayesian and frequentist approaches.
Venter, G. G., Gutkovich, R. and Gao, Q.2019Parameter Reduction in Actuarial Triangle Models (to appear)VarianceUses parameter shrinkage, especially random effects, to estimate reserving and mortality models.
Venter, G. G.2018Regularized Regression for Reserving and Mortality Models

Journal Version

Conference Version
De Gruyter (Journal Version)
SSRN (Conference Version)
Bayesian shrinkage for reserving and mortality models
Venter, G. G.2018Regularized Age-Period-Cohort Modeling of Opioid Mortality Rates

Preprint with animation if opened in Adobe
Applied Economics and FinanceUsing parameter shrinkage to identify cohort effects in opioid mortality rates. Preprint version has animation if read in Adobe.
Venter, G. G., Şahin, Ş.2018Parsimonious parameterization of age-period-cohort models by Bayesian shrinkageASTIN BulletinUses Bayesian shrinkage for Hunt-Blake model applied to US male mortality rates.
Venter, G. G.2017Robust paradigm applied to parameter reduction in actuarial triangle modelsActuarial Sciences and Quantitative Finance: ICASQF2016, Cartagena, ColombiaParameter shrinkage.
Venter, G. G. and Sahasrabuddhe, R.2015A Note on Parameter RiskVariance PrizeThis risk does not diversify with volume. Models of it discussed.
Venter, G.G. and Underwood, A.2012Value of Risk ReductionCAS E-ForumTraditional finance theory (Modigliani-Miller) holds that it is not worthwhile for a publicly held company to pay to transfer risk. More recent modifications of this theory reviewed and methods to quantify the value of risk transfer for insurers outlined.
Venter, G. G.2011Mortality Trend ModelsCAS E-ForumMortality modeling including for workers comp.
Venter, G. G.2010Mortality Trend RiskERM SymposiumFits Lee-Carter model with and without cohort effects to US male and female data. Finds problems with these models. Information matrix shows parameter significance and correlation issues. Negative binomial and Sichel distributions fit best.
Venter, G. G.2010Advances in Modeling of Financial SeriesERM SymposiumApplication of easily simulated derivative pricing models to generating scenarios for risk management.
Venter, G. G. and Tampubolon, D.2010Robustifying ReservingVarianceApplies robust estimation to building loss reserving models, finding that better models can often be found by trying to avoid large impacts of individual cells in a triangle.
Gluck, S. M. and Venter, G.G.2009Stochastic Trend Models in Casualty and Life InsuranceERM SymposiumModeling inflation risk and mortality uncertainty in projections of trends.
Venter, G. G2009Strategic Planning, Risk Pricing and Firm ValueASTIN ColloquiumPricing theories fail to meet the reality of insurance risk. Problems and proposed directions are outlined.
Venter, G. G.2009Next Steps for ERM: Valuation and Risk PricingSOA ERM MonographCapital allocation creates risk pricing and should be evaluated in terms of risk pricing theories, including the impact on value.
Venter, G. G. 2008ERM for Strategic Management—Status ReportSOA ERM MonographProgress in application of ERM to strategic management is reviewed and promising directions outlined.
Venter, G.G.2008Triangles in Life and CasualtyAFIR Colloquium RomeSimilar issues that arise in age-period-cohort modeling in life and casualty insurance.
Venter, G. G.2008Modeling and Managing Liquidity RiskSOA essay series on financial crisisMethods for quantifying and managing liquidity risk.
Venter, G. G.2008Distribution and Value of Reserves Using Paid and Incurred TrianglesCAS Forum, Fall.Illustrates the application of regression model-building to simultaneous estimation of paid and incurred development, as well as carrying the results into estimation of runoff ranges.
Couret, J. R. and Venter, G. G.2008Using Multi-Dimensional Credibility to Estimate Class Frequency Vectors in Workers CompensationASTIN BulletinUses correlation among related losses to estimate a vector of loss frequency by credibility methods.
Venter, G. G.2007Refining Reserve Runoff RangesASTIN Colloquium and CAS Forum, Spring.Reducing ranges of ultimate losses by finding better fitting models, including ways of eliminating insignificant parameters.
Venter, G. G.2007Generalized Linear Models beyond the Exponential Family with Loss Reserve ApplicationsASTIN BulletinExtending the range of distributions available for GLM leads to greater flexibility.
Venter, G. G., Barnett J,, Kreps, R. E. and Major, J. A.2007Multivariate Copulas for Financial ModelingVarianceExplores multivariate copulas besides the normal and t.
Brehm, P. and Venter, G. G.2007Asset-Liability Management for Non-Life InsurersChapter 2.4 of ?Enterprise Risk Analysis for Property & Liability Insurance Companies: A Practical Guide to Standard Models and Emerging SolutionsSimultaneous modeling of assets and liabilities.
Venter, G. G.2007Strategic Planning Modelsin Risk Management 10.(Society of Actuaries)Discusses enterprise risk management applications to strategic planning.
Venter, G. G.2006Adapting Banking Models to Insurer ERMSOA ERM MonographDiscusses ERM models adopted from banking and changes needed to apply to insurance risk management.
Venter, G. G., Major J. A. and Kreps, R. E.2006Marginal Decomposition of Risk MeasuresASTIN Bulletin 36, #2.Conditions under which risk measures have an additive marginal allocation to business unit.
Venter, G. G., Barnett, J. and Owen, M. G.2004Market Value of Risk Transfer: Catastrophe Reinsurance CaseAFIR ColloquiumCompares prices of reinsurance treaties to those from arbitrage-pricing theory.
Venter, G. G.2004Capital Allocation Survey with CommentaryNAAJ 8:2An overview of risk measures and co-measures applied to business unit performance management.
Froot, K. A., Venter, G. G. and Major J. A2004Capital and Value of Risk TransferAFIR ColloquiumLooks at capital of an insurance company in financial theory plus frictions and shows value for reinsurance.
Venter, G. G.2004Allocating Capital by Risk Measures – A Systematic SurveyEncyclopedia of Actuarial ScienceAllocation by risk measures and other methods.
Venter, G. G. and Major, J.2004COTOR Challenge 2 and Internal Review?Casualty Actuary Society Committee on the Theory of RiskContest on using MLE to fit distributions.
Venter, G. G.2004Testing Distributions of Stochastically Generated Yield CurvesASTIN BulletinReviews models and stochastic properties of US treasury yield curves and methods for testing the models. (2005 Bob Alting von Geseau Prize)
Venter, G. G.2003Testing Stochastic Interest Rate Generators for Insurer Risk and Capital ModelsCAS Forum, WinterIntroduces methods for testing models of the yield curve.
Venter, G. G.2003Evaluating Individual Unit Profitability via Value ImpactCAS Forum, FallOutlines a method for measuring the profitability impact of a business unit on the overall insurer, including correlation.
Venter, G. G. and Major, J. A.2003Allocating Capital by Risk Measures – A Systematic SurveyFinancing Risk & Reinsurance, International Risk Management Institute, May.Covers popular risk measures and how they can be used to allocate capital.
Venter, G. G.2003Capital Allocation: An Opinionated SurveyCAS Forum, SummerDiscusses allocation of capital with risk measures and alternatives to direct allocation of capital.
Venter, G. G.2003Discussion of Capital Allocation for Insurance CompaniesCAS Forum, FallDiscusses seminal paper by Myers and Read on this topic.
Venter, G. G.2003Fit to a t – Estimation, Application and Limitations of the t-copulaASTIN Colloquium BerlinMulti-variate t copulas
Venter, G. G.2003Quantifying Correlated Reinsurance Exposures with CopulasCAS Forum, SpringExtends the copula methods from earlier papers to a multi-variate setting, allowing many lines to be correlated in extreme events.
Venter, G. G.2003Credibility Theory for DummiesCAS Forum, WinterCredibility theory is put into the context of statistical regression methods.
Venter, G. G.2003Effects of Parameters of Transformed Beta DistributionsCAS Forum, WinterAn intuitive discussion of the impact of the four parameters of this distribution.
Venter, G. G.2003MLE for Claims with Several RetentionsCAS Forum, WinterCommercial insurance is often sold on an excess basis with a wide variety of retentions. Combining this data for curve-fitting requires specialized techniques.
Venter, G. G.2002Tails of CopulasPCASCopula methods are introduced and measures that indicate tail correlation are implemented for use in selecting the right copula for given applications.
Major, J. A. and Venter, G. G.2002The Certainty PremiumFinancing Risk & Reinsurance, International Risk Management Institute, November.A review of Prospect Theory and the literature on insurance customer risk aversion.
Venter, G. G.2001Measuring Value in Reinsurance

Updated 2007 Version
CAS Forum, SummerShows how reinsurance program design can be informed by modeling of the value of risk transfer.
Venter, G. G. and Wu, L.2001Measuring Value in Reinsurance (Chinese language)Published in TaipeiInterpretation of paper into Chinese, including revising motivation and mood for a Taipei personality.
Major, J. A. and Venter, G. G.2000Why Transfer Risk?Financing Risk & Reinsurance, International Risk Management Institute, February.A review of the literature on the market value of hedging and risk transfer.
Mack, T. and Venter, G. G.2000Comparison of Stochastic Models that Reproduce Chain Ladder Reserve EstimatesInsurance: Mathematics & Economics, 26:1 Also ASTIN Colloquium Tokyo (1999)A number of models give the same answer as the chain-ladder method, but they are distinct models with important differences.
Venter, G. G.1998Testing the Assumption of Age-To-Age FactorsPCAS LXXXVDescribes how to test loss reserving data to see if the chain ladder method is applicable, and shows how to select alternatives. 1999 Dorweiler prize
Venter, G. G., Gradwell J. W., Ashab, M. and Bushel, A1998Implications of Reinsurance and Reserves on Risk of Investment Asset AllocationCAS Forum, SummerIntegrated risk modeling looking at assets, reserves, and reinsurance.
Venter, G.G.1998Asset Modeling – Empirical Tests of Yield Curve GeneratorsGeneral Insurance Convention & ASTIN ColloquiumLooks at empirical properties of some asset time series and uses those to test stochastic generators of such series for ERM models.
Venter, G. G.1998Liability modelling - empirical tests of loss emergence generatorsGeneral Insurance Convention & ASTIN ColloquiumTesting simulation models for reserves
Venter, G. G.1997Modeling the Evolution of Interest Rates: The Key to DFA Assets ModelsCAS Forum, SummerOutlines methods for modeling of interest rates.
Venter, G. G.1994Introduction to Selected Papers from the Variability in Reserves Prize ProgramCAS Forum, SpringSummary of methods used to provide distribution estimates for loss reserves.
Venter, G. G.1991Effects of Variations From Gamma-Poisson Assumption PCASProvides generation methods for alternative frequency distributions.
Venter, G. G.1991A Comparative Analysis of Most European and Japanese Bonus-malus Systems: ExtensionJournal of Risk and Insurance: LVIII;3.Discusses actuarial issues in automobile experience rating.
Venter, G. G., Schill, B. and Barnett, J. 1991Review of Report of Committee on Mortality for Disabled LivesCAS Forum, WinterGets into details of reserving lifetime benefits for seriously injured workers.
Venter, G. G.1991Premium Calculation Implications of Reinsurance without ArbitrageASTIN BulletinAn oft-cited paper which characterizes pricing methods that are consistent with the no-arbitrage principle.
Venter, G. G., B. Schill and J. Barnett1990A Regression Approach to Injured Worker MortalityARCHEstimation method for mortality tables to use in workers compensation loss reserving.
Venter, G. G. 1989Credibility 1Foundations of Casualty Actuarial Science, CAS; Sections 1-6 appearing in CAS Forum, Fall Credibility theory introduction from a high level.
Venter, G. G.1990Credibility 2In Foundations of Casualty Actuarial Science Sections 7 - endCredibility theory introduction from a high level.
Venter, G. G1989Easier Algorithms For Aggregate ExcessCAS Forum, FallDescribes refinements of calculation methods for aggregate losses.
Venter, G. G.1989A three-way credibility approach to loss reservingInsurance: Mathematics & EconomicsLoss reserve estimates can be combined using credibility concepts.
Venter, G. G.1986Classical Partial Credibility with Application to TrendPCAS LXXIIIDevelops a credibility formula for trend factors using the limited fluctuation approach. (1986 Dorweiler Prize)
Venter, G. G, and Gillam W. R.1986Simulating Serious Workers' Compensation ClaimsCAS Discussion Paper ProgramUses simulation to generate severity distributions for large workers compensation claims.
Venter, G. G.1985Structured Credibility in Applications – Hierarchical, Multi dimensional and Multivariate ModelsARCHExtensions of the basic credibility paradigm.
Venter, G. G.1983Utility with Decreasing Risk AversionPCASSets up necessary conditions on a utility function for it to make sense in insurance pricing.
Venter, G. G. 1983Transformed Beta and Gamma Distributions and Aggregate LossesPCASIntroduces family of severity distributions now widely used, such as in Instratfit.
Venter, G. G.1983Scale Adjustments to Excess Expected LossesPCASDiscussion of using scale transforms in combining data for increased limits factors.
Venter, G. G. 1979Profit/Contingency Loadings and Surplus: Ruin and Return ImplicationsCAS Discussion Papers, MaySimultaneous solution of profit load and surplus based on ruin and return constraints, based on a suggestion of Charlie Hachemeister.