Finsurance: Theory, Computation and Applications

Presentations

Investigators and Collaborators Jaimungal Finance Seminar, HEC Montreal, Nov 13, 2009. Risk and Ambiguity Aversion in Credit Models Dept. Mathematics, Financial/Actuarial Mathematics Seminar, U. Michigan, Ann Arbor, Oct. 2009. Randomized Hitting Times in Insurance Dept. Mathematics Finance and Stochastics Seminar, Imperial College, London. June, 2009. Randomized Hitting Times with Finance in View Insurance: Mathematics and Economics, Istanbul, Turkey. May, 2009. A Hybrid Default Model: Risk Aversion and Model Uncertainty Dept. Statistics Risk Seminar Series, Columbia U., New York. Mar, 2009. Randomized Hitting Times American Mathematical Society Annual Meeting. Washington, D.C. Jan, 2009. Risk Aversion and Uncertainty in Models of Default Research in Options. IMPA, Rio De Janeiro, Brazil. Nov, 2008. Utility Indifference Valuation with Model Uncertainty: Default Models. Society of Actuaries 2008 Meeting. June, 2008 Indifference Pricing for Equity- Linked Insurance & Reinsurance Bachelier World Congress, Toronto. June 25, 2010: Ambiguity Aversion In Real Options Kuznetsov Fields Institute Quantitative Finance Seminar, Toronto. Sept 29, 2010: Meromorphic Levy processes and their applications in Finance and Insurance Bachelier World Congress, Toronto. June 25, 2010: Wiener-Hopf Factorization and Distribution of Extrema for a Family of Levy Processes Fields Finance Visitor Seminar. Apr 6, 2010: 12 functionals of Levy processes you always wanted to know how to compute (but were afraid to ask) Morales Invited talk, Actuarial Risk 2010, CIMAT, Guanajuato Mexico. Sept. 2010: On the ruin problem for Levy insurance risk processes: a review 14th Congress on Insurance Mathematics and Economics, Toronto. June 2010: Computing the finite-time expected discounted penalty function for three examples of L¨¦vy risk processes Invited talk, 3rd Workshop on Gerber-Shiu Functions, University of Waterloo. June 2010: On the ruin problem for two new Levy insurance risk processes Salisbury 1st North American meeting on Industrial and Applied Mathematics (NAMIAM), Oaxaca Mexico, Session on Financial Mathematics and Economy. Dec. 10, 2010: Optimal utilization of variable annuity guarantees Insurance: Mathematics and Economics, Toronto. June 18, 2010: Optimal utilization of variable annuity guarantees: To add, subtract, or multiply? Fields Finance Visitor Seminar. March 15, 2010: Insurance, and equity guarantees AFIR Colloquium (International Actuarial Association Financial Risks Section), Munich, Sept. 9-11, 2009. Session on Pensions-managing accumulations and decumulations sl Valuation, hedging and demand for ruin-contingent life annuities (RCLA) MITACS Annual meeting, Plenary speaker, Fredericton, June 3, 2009: Insurance and Modern Finance Mindpath Conference, 3rd Investment Strategies Symposium, Toronto, Oct 20, 2008: The Retirement Income Time-Bomb-Risks & Challenges MITACS Board meeting, York University 2008. Finsurance Students and Postdocs Cara Finsurance MITACS project - student seminar day, Fields Institute, April 14, 2009: Probability of Lifetime Ruin in the Case of Wealth Dynamics with Jumps. Chong Fields Institute Industrial¨CAcademic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Pricing catastrophe options under a regime-switching model Huang Finsurance MITACS project - student seminar day, Fields Institute, April 14, 2009: Credit Contingent Interest Rate Swap Pricing. Marri Fields Finance Visitor Seminar. March 15, 2010: Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure Fields Finance Visitor Seminar. Feb 9, 2010: What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures Men Fields Institute Industrial¨CAcademic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Multivariate stochastic volatility models: A Gibbs approach under the inverse Wishart distributio Ng Fields Institute Industrial-Academic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Kernel-based Copula Processes Fields Finance Visitor Seminar, May 4, 2010:Kernel-based Copula Processe Finsurance European Conference on Machine Learning, Slovania, September 7-11, 2009: Kernel Based Copula Process Peng Fields Finance Visitor Seminar. Apr 20, 2010: Default Clustering and Valuation of Collateralized Debt Obligations Fields Finance Visitor Seminar. Feb 9, 2010: What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures Qiao Finsurance MITACS project - student seminar day, Fields Institute, April 14, 2009: Guaranteed Minimum Withdrawal Benefits from an investor's perspective Sigloch Finsurance MITACS project - student seminar day, Fields Institute, April 14, 2009: Incorporating Risk Aversion and Model Uncertainty into Structural Models of Default SIAM Conference on Financial Mathematics & Engineering, November 21-22, 2008: Ambiguity and Risk Aversion in a Hybrid Credit Model Tsang Kwai Kew Fields Institute Industrial¨CAcademic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Asset Allocation and Efficient Frontiers for Mortality Linked Securities Valov Finsurance MITACS project - student seminar day, Fields Institute, April 14, 2009: First Passage Time Problems with Applications to Finance and Insurance. SIAM Conference on Financial Mathematics & Engineering, November 21-22, 2008: Integral Equations Arising from the FPT problem via Martingale Methods Actuarial Science and Mathematical Finance Seminar Series, The Fields Institute, October 22, 2008: Integral equations arising from the First Passage Time problem via martingale methods Wang Fields Institute Industrial-Academic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Ruin probability under stochastic mortality