Papers & Presentations

James G. Bridgeman

 

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A Dual Version of Asset-Liability Risk Modeling

University of St. Thomas, CAM Seminar, St. Paul

April 15, 2016 StThomas.pdf

UConn Math Department, Actuarial Science Seminar, Storrs

Sept 14 & 21, 2015  ALMduality.pdf (4-15-16 is better)

Actuarial Research Conference, Toronto, August 7, 2015

arc2015beamer.pdf (4-15-16 is better)

 

Informal Outline of Continuous-Time Risk-Neutral Pricing

UConn Financial Math Practitioners Forum

October 7, 14 and 21, 2014 stochasticfinance.pdf

 

Structure of the CAPM Covariance Matrix

UConn Math Department, Actuarial Science Seminar, Storrs, Sept. 10, 2014

uconnactuarial2014.pdf (slides)

Actuarial Research Conference, Santa Barbara, July 14, 2014

arc2014beamer.pdf (slides)

 

Interest Rate Modeling With Random Regimes

Actuaries Club of Hartford/Springfield, Hartford, May 21, 2014

HartfordActuariesRev.pdf (slides)

 

Calibration of a Regime-Switching Interest Rate Model

Actuarial Research Conference, Philadelphia, August 2013

arc2013beamer safe copy.pdf (slides)

 

Combinatorics for Moments of a Randomly Stopped Quadratic Variation Process

Actuarial Research Conference, Winnipeg, August 4, 2012

arc2012.pdf (full paper)

arc2012beamershow.pdf (slides)

 

Esscher Approximation for Maximum Likelihood Estimates – Exploratory Ideas  

August 26, 2012 corrections to Actuarial Research Clearing House (ARCH) 2012.1 article

arc46article.pdf (full detail)

UConn Math Department, Actuarial Science Seminar, Storrs, September 9, 2011

esscherlonger.pdf (some detail)

Actuarial Research Conference, Storrs, August 2011

esscher.pdf (brief outline)

 

The Effect of Global Warming on Financial Discounting Methodology

(includes summary actuarial and financial engineering viewpoints)

S.I.G.M.A. Seminar, UConn Math Dept, Storrs, October 2009

sigma10-7-2009slides

Actuarial Research Conference, Madison, July 2009

arc2009slides

 

Illustrations of a Regime-Switching Stochastic Interest Rate Model with Randomized Regimes

Actuarial Research Conference, Regina, August 2008

ARC2008Slides

 

Regime Switching Interest Rate Models

UConn Math Department, Actuarial Science Seminar, Storrs, January 29, 2008

January 29, 2008

 

Moments of a Regime-Switching Stochastic Interest Rate Model with Randomized Regimes

Actuarial Research Conference, Pittsburgh, August 2007

more (more corrections and extensions at July 23, 2012)

added (some corrections and extensions at August 12, 2008)

ARC2007 (December 21, 2007 version submitted to Actuarial Research Clearing House (ARCH)2008.1)

 

Integration of a Regime Switching Model for Interest Rates with Randomized Regime Parameters

UConn Math Department, Analysis and Probability Seminar, Storrs, March 23, 2007

March 23, 2007

 

Random Switching Times Among Randomly Parameterized Regimes Of Random Interest Rate Scenarios

Actuarial Research Conference, Montreal, August 2006

ARC2006(rev)  (with November 3, 2006 revisions)

ARC2006  (October 31, 2006 version submitted to Actuarial Research Clearing House (ARCH)2007.1)

(PDF)

 

Random Switching Times To Randomly Selected Regimes Of Random Interest Rate Processes some illustrations

UConn Math Department, Analysis and Probability Seminar, Storrs, April 7, 2006

April 7, 2006

(EXCEL)

Evolution of a Practitioner’s Regime Switching Stochastic Interest Rate Model 

Society of Actuaries Valuation Actuary Symposium, Lake Buena Vista FL, Nov. 30, 2001

Text     Overheads

(PDF)     (POWERPOINT)

How Can You Make Money At Life Insurance?   How Would You Know?

A presentation for the headquarters staff of Aetna International Inc., circa 1999

Life Insurance  

Value Creation In Traditional Life Insurance Sales

From the Proceedings of the International Conference On Insurance: The Momentous Millenium sponsored by the Conference of Indian Industry, New Delhi, November 1999

Value Creation

Stationary Immunization Theory

Presented at the 26th International Congress of Actuaries, Birmingham, U.K., June 1998

Stationary Immunization 

(PDF)

 

Insurance Pricing Principles

Aetna International Inc. Policy Paper circa 1997

Pricing Process.pdf