| Author | Year | Title | Publication | About |
|---|---|---|---|---|
| Venter, G. G. | 2022 | Quantum Reality and Consciousnesss | Pending Publication | One way to think of quantum mechanics is purely as formulas for calculations and predictions. Quantum reality takes the opposite view: the objects in the formulas are real. For them to do what the formulas say would put them outside of the previous paradigm of physicality. From there, also including consciousness in physical reality would be a small additional step that would support quantum-neurological modeling of conscious experience. |
| Venter, G. G. | 2022 | A Mortality Model for Pandemics and Other Contagion Events | North American Actuarial Journal | The crisis caused by COVID-19 has had various impacts on the mortality of different sexes, age groups, ethnic and socio-economic backgrounds and requires improved mortality models. Here a very simple model extension is proposed: add a proportional jump to mortality rates that is a constant percent increase across the ages and cohorts but which varies by year. |
| Venter, G. G., Şahin, Ş. | 2021 | Regularized Regression for Reserving and Mortality Models | North American Actuarial Journal | Parameter shrinkage applied optimally can always reduce error and projection variances from those of maximum likelihood estimation. Many variables that actuaries use are on numerical scales, like age or year, which require parameters at each point. Rather than shrinking these toward zero, nearby parameters are better shrunk toward each other. |
| Venter, G. G. | 2021 | Loss Reserving Using Estimation Methods Designed for Error Reduction | Variance | Maximum likelihood estimation has been the workhorse of statistics for decades, but alternative methods, going under the name “regularization,” are proving to have lower predictive variance. Regularization shrinks fitted values toward the overall mean, much like credibility does. There is good software available for regularization, and in particular, packages for Bayesian regularization make it easy to fit more complex models. One example given is a combined additive-multiplicative reserve model. |
| Venter, G. G. | 2020 | Bayesian Regularization for Class Rates | CAS | The idea of this project is to combine GLM, credibility, random effects, and regularization for classification ratemaking. The approach here takes off from the paper by Hugh Miller, “A discussion on credibility and penalised regression, with implications for actuarial work.” Miller shows that regularized regression, which includes lasso and ridge regression, is an implementation of the statistical random effects approac |
| Venter, G. G., Kailan, S. | 2019 | Building and Testing Yield Curve Generators for P&C Insurance | SSRN | Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked to market but liabilities are not, so shifts in the yield curve can have a significant impact on capital. Yield-curve scenario generators are one approach to quantifying this risk. |
| Venter, G. G. | 2019 | Loss Reserving Using Estimation Methods Designed for Error Reduction | Bayesian shrinkage applied to loss reserving, with detailed discussion of loss distributions | |
| Venter, G. G., Şahin, Ş. | 2019 | Modeling Mortality of Related Populations via Parameter Shrinkage | SSRN | Applying parameter shrinkage for joint models of multiple mortality datasets. Explores relationship of Bayesian and frequentist approaches. |
| Venter, G. G. | 2018 | Regularized Age-Period-Cohort Modeling of Opioid Mortality Rates | Applied Economics and Finance | Opioid mortality rates have been increasing sharply, but not uniformly by age. Peak ages have recently dropped from the mid-40s to the mid-30s. There are two age peaks that have been moving up diagonally, with years of birth around 1960 and 1980 staying near the tops, and those around 1970 generally lower. We model this history with the Lee-Carter plus cohorts mortality model, which includes variable trends by age, and a generalization of it. |
| Venter, G. G., Gutkovich, R. and Gao, Q. | 2019 | Parameter Reduction in Actuarial Triangle Models | SSRN | Uses parameter shrinkage, especially random effects, to estimate reserving and mortality models. |
| Venter, G. G. | 2018 | Regularized 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. | 2018 | Regularized Age-Period-Cohort Modeling of Opioid Mortality Rates Preprint with animation if opened in Adobe | Applied Economics and Finance | Using parameter shrinkage to identify cohort effects in opioid mortality rates. Preprint version has animation if read in Adobe. |
| Venter, G. G., Şahin, Ş. | 2018 | Parsimonious parameterization of age-period-cohort models by Bayesian shrinkage | ASTIN Bulletin | Uses Bayesian shrinkage for Hunt-Blake model applied to US male mortality rates. |
| Venter, G. G. | 2017 | Robust paradigm applied to parameter reduction in actuarial triangle models | Actuarial Sciences and Quantitative Finance: ICASQF2016, Cartagena, Colombia | Parameter shrinkage. |
| Venter, G. G. and Sahasrabuddhe, R. | 2015 | A Note on Parameter Risk | Variance Prize | This risk does not diversify with volume. Models of it discussed. |
| Venter, G.G. and Underwood, A. | 2012 | Value of Risk Reduction | CAS E-Forum | Traditional 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. | 2011 | Mortality Trend Models | CAS E-Forum | Mortality modeling including for workers comp. |
| Venter, G. G. | 2010 | Mortality Trend Risk | ERM Symposium | Fits 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. | 2010 | Advances in Modeling of Financial Series | ERM Symposium | Application of easily simulated derivative pricing models to generating scenarios for risk management. |
| Venter, G. G. and Tampubolon, D. | 2010 | Robustifying Reserving | Variance | Applies 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. | 2009 | Stochastic Trend Models in Casualty and Life Insurance | ERM Symposium | Modeling inflation risk and mortality uncertainty in projections of trends. |
| Venter, G. G | 2009 | Strategic Planning, Risk Pricing and Firm Value | ASTIN Colloquium | Pricing theories fail to meet the reality of insurance risk. Problems and proposed directions are outlined. |
| Venter, G. G. | 2009 | Next Steps for ERM: Valuation and Risk Pricing | SOA ERM Monograph | Capital allocation creates risk pricing and should be evaluated in terms of risk pricing theories, including the impact on value. |
| Venter, G. G. | 2008 | ERM for Strategic ManagementStatus Report | SOA ERM Monograph | Progress in application of ERM to strategic management is reviewed and promising directions outlined. |
| Venter, G.G. | 2008 | Triangles in Life and Casualty | AFIR Colloquium Rome | Similar issues that arise in age-period-cohort modeling in life and casualty insurance. |
| Venter, G. G. | 2008 | Modeling and Managing Liquidity Risk | SOA essay series on financial crisis | Methods for quantifying and managing liquidity risk. |
| Venter, G. G. | 2008 | Distribution and Value of Reserves Using Paid and Incurred Triangles | CAS 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. | 2008 | Using Multi-Dimensional Credibility to Estimate Class Frequency Vectors in Workers Compensation | ASTIN Bulletin | Uses correlation among related losses to estimate a vector of loss frequency by credibility methods. |
| Venter, G. G. | 2007 | Refining Reserve Runoff Ranges | ASTIN Colloquium and CAS Forum, Spring. | Reducing ranges of ultimate losses by finding better fitting models, including ways of eliminating insignificant parameters. |
| Venter, G. G. | 2007 | Generalized Linear Models beyond the Exponential Family with Loss Reserve Applications | ASTIN Bulletin | Extending the range of distributions available for GLM leads to greater flexibility. |
| Venter, G. G., Barnett J,, Kreps, R. E. and Major, J. A. | 2007 | Multivariate Copulas for Financial Modeling | Variance | Explores multivariate copulas besides the normal and t. |
| Brehm, P. and Venter, G. G. | 2007 | Asset-Liability Management for Non-Life Insurers | Chapter 2.4 of ?Enterprise Risk Analysis for Property & Liability Insurance Companies: A Practical Guide to Standard Models and Emerging Solutions | Simultaneous modeling of assets and liabilities. |
| Venter, G. G. | 2007 | Strategic Planning Models | in Risk Management 10.(Society of Actuaries) | Discusses enterprise risk management applications to strategic planning. |
| Venter, G. G. | 2006 | Adapting Banking Models to Insurer ERM | SOA ERM Monograph | Discusses ERM models adopted from banking and changes needed to apply to insurance risk management. |
| Venter, G. G., Major J. A. and Kreps, R. E. | 2006 | Marginal Decomposition of Risk Measures | ASTIN 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. | 2004 | Market Value of Risk Transfer: Catastrophe Reinsurance Case | AFIR Colloquium | Compares prices of reinsurance treaties to those from arbitrage-pricing theory. |
| Venter, G. G. | 2004 | Capital Allocation Survey with Commentary | NAAJ 8:2 | An overview of risk measures and co-measures applied to business unit performance management. |
| Froot, K. A., Venter, G. G. and Major J. A | 2004 | Capital and Value of Risk Transfer | AFIR Colloquium | Looks at capital of an insurance company in financial theory plus frictions and shows value for reinsurance. |
| Venter, G. G. | 2004 | Allocating Capital by Risk Measures A Systematic Survey | Encyclopedia of Actuarial Science | Allocation by risk measures and other methods. |
| Venter, G. G. and Major, J. | 2004 | COTOR Challenge 2 and Internal Review | ?Casualty Actuary Society Committee on the Theory of Risk | Contest on using MLE to fit distributions. |
| Venter, G. G. | 2004 | Testing Distributions of Stochastically Generated Yield Curves | ASTIN Bulletin | Reviews models and stochastic properties of US treasury yield curves and methods for testing the models. (2005 Bob Alting von Geseau Prize) |
| Venter, G. G. | 2003 | Testing Stochastic Interest Rate Generators for Insurer Risk and Capital Models | CAS Forum, Winter | Introduces methods for testing models of the yield curve. |
| Venter, G. G. | 2003 | Evaluating Individual Unit Profitability via Value Impact | CAS Forum, Fall | Outlines a method for measuring the profitability impact of a business unit on the overall insurer, including correlation. |
| Venter, G. G. and Major, J. A. | 2003 | Allocating Capital by Risk Measures A Systematic Survey | Financing Risk & Reinsurance, International Risk Management Institute, May. | Covers popular risk measures and how they can be used to allocate capital. |
| Venter, G. G. | 2003 | Capital Allocation: An Opinionated Survey | CAS Forum, Summer | Discusses allocation of capital with risk measures and alternatives to direct allocation of capital. |
| Venter, G. G. | 2003 | Discussion of Capital Allocation for Insurance Companies | CAS Forum, Fall | Discusses seminal paper by Myers and Read on this topic. |
| Venter, G. G. | 2003 | Fit to a t Estimation, Application and Limitations of the t-copula | ASTIN Colloquium Berlin | Multi-variate t copulas |
| Venter, G. G. | 2003 | Quantifying Correlated Reinsurance Exposures with Copulas | CAS Forum, Spring | Extends the copula methods from earlier papers to a multi-variate setting, allowing many lines to be correlated in extreme events. |
| Venter, G. G. | 2003 | Credibility Theory for Dummies | CAS Forum, Winter | Credibility theory is put into the context of statistical regression methods. |
| Venter, G. G. | 2003 | Effects of Parameters of Transformed Beta Distributions | CAS Forum, Winter | An intuitive discussion of the impact of the four parameters of this distribution. |
| Venter, G. G. | 2003 | MLE for Claims with Several Retentions | CAS Forum, Winter | Commercial 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. | 2002 | Tails of Copulas | PCAS | Copula 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. | 2002 | The Certainty Premium | Financing Risk & Reinsurance, International Risk Management Institute, November. | A review of Prospect Theory and the literature on insurance customer risk aversion. |
| Venter, G. G. | 2001 | Measuring Value in Reinsurance Updated 2007 Version | CAS Forum, Summer | Shows how reinsurance program design can be informed by modeling of the value of risk transfer. |
| Venter, G. G. and Wu, L. | 2001 | Measuring Value in Reinsurance (Chinese language) | Published in Taipei | Interpretation of paper into Chinese, including revising motivation and mood for a Taipei personality. |
| Major, J. A. and Venter, G. G. | 2000 | Why 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. | 2000 | Comparison of Stochastic Models that Reproduce Chain Ladder Reserve Estimates | Insurance: 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. | 1998 | Testing the Assumption of Age-To-Age Factors | PCAS LXXXV | Describes 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, A | 1998 | Implications of Reinsurance and Reserves on Risk of Investment Asset Allocation | CAS Forum, Summer | Integrated risk modeling looking at assets, reserves, and reinsurance. |
| Venter, G.G. | 1998 | Asset Modeling Empirical Tests of Yield Curve Generators | General Insurance Convention & ASTIN Colloquium | Looks at empirical properties of some asset time series and uses those to test stochastic generators of such series for ERM models. |
| Venter, G. G. | 1998 | Liability modelling - empirical tests of loss emergence generators | General Insurance Convention & ASTIN Colloquium | Testing simulation models for reserves |
| Venter, G. G. | 1997 | Modeling the Evolution of Interest Rates: The Key to DFA Assets Models | CAS Forum, Summer | Outlines methods for modeling of interest rates. |
| Venter, G. G. | 1994 | Introduction to Selected Papers from the Variability in Reserves Prize Program | CAS Forum, Spring | Summary of methods used to provide distribution estimates for loss reserves. |
| Venter, G. G. | 1991 | Effects of Variations From Gamma-Poisson Assumption | PCAS | Provides generation methods for alternative frequency distributions. |
| Venter, G. G. | 1991 | A Comparative Analysis of Most European and Japanese Bonus-malus Systems: Extension | Journal of Risk and Insurance: LVIII;3. | Discusses actuarial issues in automobile experience rating. |
| Venter, G. G., Schill, B. and Barnett, J. | 1991 | Review of Report of Committee on Mortality for Disabled Lives | CAS Forum, Winter | Gets into details of reserving lifetime benefits for seriously injured workers. |
| Venter, G. G. | 1991 | Premium Calculation Implications of Reinsurance without Arbitrage | ASTIN Bulletin | An oft-cited paper which characterizes pricing methods that are consistent with the no-arbitrage principle. |
| Venter, G. G., B. Schill and J. Barnett | 1990 | A Regression Approach to Injured Worker Mortality | ARCH | Estimation method for mortality tables to use in workers compensation loss reserving. |
| Venter, G. G. | 1989 | Credibility 1 | Foundations of Casualty Actuarial Science, CAS; Sections 1-6 appearing in CAS Forum, Fall | Credibility theory introduction from a high level. |
| Venter, G. G. | 1990 | Credibility 2 | In Foundations of Casualty Actuarial Science Sections 7 - end | Credibility theory introduction from a high level. |
| Venter, G. G | 1989 | Easier Algorithms For Aggregate Excess | CAS Forum, Fall | Describes refinements of calculation methods for aggregate losses. |
| Venter, G. G. | 1989 | A three-way credibility approach to loss reserving | Insurance: Mathematics & Economics | Loss reserve estimates can be combined using credibility concepts. |
| Venter, G. G. | 1986 | Classical Partial Credibility with Application to Trend | PCAS LXXIII | Develops a credibility formula for trend factors using the limited fluctuation approach. (1986 Dorweiler Prize) |
| Venter, G. G, and Gillam W. R. | 1986 | Simulating Serious Workers' Compensation Claims | CAS Discussion Paper Program | Uses simulation to generate severity distributions for large workers compensation claims. |
| Venter, G. G. | 1985 | Structured Credibility in Applications Hierarchical, Multi dimensional and Multivariate Models | ARCH | Extensions of the basic credibility paradigm. |
| Venter, G. G. | 1983 | Utility with Decreasing Risk Aversion | PCAS | Sets up necessary conditions on a utility function for it to make sense in insurance pricing. |
| Venter, G. G. | 1983 | Transformed Beta and Gamma Distributions and Aggregate Losses | PCAS | Introduces family of severity distributions now widely used, such as in Instratfit. |
| Venter, G. G. | 1983 | Scale Adjustments to Excess Expected Losses | PCAS | Discussion of using scale transforms in combining data for increased limits factors. |
| Venter, G. G. | 1979 | Profit/Contingency Loadings and Surplus: Ruin and Return Implications | CAS Discussion Papers, May | Simultaneous solution of profit load and surplus based on ruin and return constraints, based on a suggestion of Charlie Hachemeister. |