Finsurance: Theory, Computation and Applications

Presentations

Presentations by Investigators and Collaborators

Jaimungal

Finance Seminar, Carnegie Mellon University, Pittsburg. November 2011: Self-Affecting Marked Point Processes for Algorithmic Trading

Finance Seminar, U. Carlos III, Madrid. October 2011: Buy Low, Sell High

Finance Seminar, Humboldt University, Berlin, October 2011: Self-Affecting Marked Point Processes for Algorithmic Trading

ICIAM 2011, Vancouver, July 2011: Algorithmic Trading for Self-Affecting Processes

Annual Real Options Conference, Turku, Finland. June, 2011: Real Options with Ambiguity

Plenary Lecture. Workshop on Stochastic Analysis in Finance and Insurance. U. Michigan, Ann Arbor, May 2011: Modeling High Frequency Data for Algorithmic Trading

Seminar, Univ. of Texas, April 2011: How to Invest in Real Options for Ambiguity Averse Agents

Conference on Industrial Problems, KAUST, Saudi Arabia, January 2011: Interacting Particle Model for Optimizing Market Share

Seminar, American University in Cairo. January 2011: Stochastic Control and Algorithmic Trading

SIAM Conference on Financial Mathematics & Engineering, San Francisco, November 2010: Modeling Trade Duration and Price Innovations for High Frequency and Algorithmic Trading, and Commodity Market Models Revisited

Bachelier World Congress, Toronto. June 25, 2010: Ambiguity Aversion In Real Options

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

Kolkiewicz

International Congress on Industrial and Applied Mathematics (ICIAM 2011), Vancouver, July 2011: Minimum-variance hedging for path-dependent options

AMMCS-2011, Wilfrid Laurier University, July 2011: Minimum-variance hedging for path-dependent options

Kuznetsov

Canadian Mathematical Society winter meeting, Toronto. December 10, 2011: Cool Math behind Asian options

Applied Mathematics, Modelling and Computational Science conference, Waterloo. July 28, 2011: A Wiener-Hopf Monte-Carlo simulation technique for Levy processes

Workshop on Finance: Econometrics, Numerical Methods and foundations, CIMAT, Guanajuato, Mexico. June 17, 2011: Meromorphic Levy Processes and their Applications in Finance and Insurance

Canadian Mathematical Society summer meeting, Edmonton. June 3, 2011: A Wiener-Hopf Monte-Carlo simulation technique f r Levy processes

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)

Lin

Fourth International Gerber-Shiu Workshop, Centre for Actuarial Studies, University of Melbourne, July 2012

Joint Actuarial Seminars, ISFA Lyon and ISA-HEC Lausanne, Lausanne, Switzerland, December 2011

Department of Statistics and Actuarial Science, University of Western Ontario, November 2011

School of Mathematical Sciences, Central South University, Changsha, China, November, 2011

Department of Statistics and Actuarial Science, Simon Fraser University, April 2011

International Conference on Actuarial Science and Related Fields, Haikou, China, March 2011

Lecture Series on Insurance Loss Modelling, Xiamen University, Xiamen, China, March 2011

WatRISQ, University of Waterloo, November 2010

Session 27, Society of Actuaries 2010 Annual Meeting, New York City, October 2010

Nanqiang Lecture, Xiamen University, Xiamen, China, July 2010

International Conference on Insurance and Actuarial Science, Chongqing, China, June 2010

China Institute for Actuarial Science, Central University of Finance and Economics, China, June 2010

International Conference on Actuarial and Financial Risks, Shanghai, January 2010

Morales

Actuarial Seminar of the University of Michigan, Ann Arbor, 2012: Computing the finite-time expected discounted penalty function for a family of Levy risk processes

10th International Conference on Operations Research, Invited talk, Havana Cuba, 2012: On general risk Levy processes and the ruin problem

Invited talk, 2nd Actuarial Day of the University of Piraeus, Greece. May 14, 2011: On the ruin problem for Markov additive risk processes

Invited talk, 5th Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil. April 10-15, 2011: Risk measures in the space of infinite sequences

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 Levy 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

IFID conference, Fields Institute, Toronto, Nov. 22, 2012: Optimizing variable annuity income

Ryerson University, Mathematics colloquium. Nov. 17, 2011: Insurance and Modern Finance

3C Risk Forum, Fields Institute, Toronto. Oct 28-30, 2011. Planning for retirement: sustainability vs. legacy

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: Valuation, hedging and demand for ruin-contingent life annuities (RCLA)

MITACS Annual meeting, Plenary speaker, Fredericton, June 3, 2009: Insurance and Modern Finance

Univ. of Auckland, Statistics colloquium; Auckland, New Zealand, March 12, 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

Tan

School of Statistics, South Western University of Finance and Economics, Chengdu, China. February 22, 2012: Economic pricing of mortality-linked securities: a tatonnement approach

Keynote address, 2nd Forum of Risk Management and Actuarial Science of China, Nanjing, China. November 19-20, 2011: Economic pricing of mortality-linked securities

Keynote address, Financial Engineering, Insurance, and Actuarial Science Conference, Soochow University, Taipei, Taiwan. April 1, 2011: Economic pricing of mortality-linked securities in the presence of population basis risk

QMF Workshop, Long Dated Insurance and Pension Contracts, Sydney, Australia. December 14, 2010: Threshold life tables and their applications

Financial Modelling in Actuarial Sciences Session, Statistical Society of Canada Meeting, Quebec, Canada. May 24-26, 2010: Empirical-based approach to optimal reinsurance

Presentations by Students and Postdocs

Augustyniak

2nd Graduate Student Workshop on Actuarial and Financial Mathematics, Montreal, Dec 9, 2011

Ben Salah

Mathematical Finance Days (IFM), Montreal, May 3-4 2012

35th Conference on Stochastic Processes and their Applications, Oaxaca, Mexico, June 19-25, 2011

38th Annual Meeting of the Statistical Society of Canada, May 23- 27th 2010.

Cara

Insurance: Mathematics and Economics, Toronto, June 2010: Will jumps ruin your retirement? Comparing models when moments are matched

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-Academic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Pricing catastrophe options under a regime-switching model

Cong

Graduate Student Research Conference, University of Waterloo. April 25-28, 2011: Quantile hedging based on VaR

45th Actuarial Research Conference, Simon Fraser University. July 25-28, 2010: Optimal multi-period reinsurance

Graduate Student Research Conference, University of Waterloo. April 26-30, 2010: Optimal reinsurance in discrete case

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

Men

Fields Institute Industrial-Academic 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

Momeya

1st Quebec-Ontario workshop on insurance mathematics, Montreal, Jan 28, 2011

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-Academic 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

J. Wang

Fields Institute Industrial-Academic forum on financial engineering and insurance mathematics, Fields Institute, Toronto. June 21, 2010: Ruin probability under stochastic mortality

Zhou

Longevity 7: Seventh International Longevity Risk and Capital Markets Solutions Conference. September 9, 2011: A two-population mortality model with transitory jump effects

Graduate Student Research Conference, University of Waterloo. April 24, 2011: A two-population mortality model with transitory jump effects

Longevity 6: Sixth International Longevity Risk and Capital Markets Solutions, Sydney, Australia. September 9, 2010: Economic pricing of mortality-linked securities: a tatonnement approach

Graduate Student Research Conference, University of Waterloo. April 27, 2010: Economic pricing of mortality-linked securities: a tatonnement approach