CAE 2014-15

An Undergraduate Research Program
in Risk and Actuarial Science

Year 1: Fall 2014-Spring 2015
Investigators: Rick Gorvett, Runhuan Feng, Paul Johnson, David Varodayan

Executive Summary

New Course Being Developed: Description; Outline

Sample of some recent Actuarial Science research seminar presentations

Individual Projects

Project Title

Faculty Mentor

Student Participants

Files

1. Pricing Conditional Asian Options

Runhuan Feng

Ruizhe Chen
Tong Pu

Project Description

Completed Paper

Sample of Hedging Code

Sample of Simulation Code

2. Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits

Runhuan Feng

Xiaochen Jing

Project Description

Completed Paper 1

Completed Paper 2

Sample of Code

3. Computation of Risk Measures for Guaranteed Minimum Withdrawal Benefit

Runhuan Feng

Yao Haoqi
Lingqiao Zhang
Yang Xu
Zhan Zhang
Yufei Hou

Project Description

Completed Paper

Completed Student Paper

Sample of Code

4. An Introductory Note on the Modeling of Guaranteed Living Benefits

Runhuan Feng

Yu Xie
Xueyuan Wu

Project Description

Completed Presentation

 

5. Actuarial Student Users Guide to the R Programming Language

David Varodayan

Arun Madappat
Diyana Najwa Nor Azmi
Jimmy Huang

Project Description

Completed Report

 

6. A Multi-Part, Multi-Level Regression Model for the Demand of U.S. Inpatient Mental Healthcare

Paul Johnson

Xiongfei Ding
Siliang Ni

Project Description

7. Stochastic Efficient Modeling of Financial Outcomes

Paul Johnson

Yitong Huang
JungSeok Lee

Project Description

 

8. Differences in Risk Perceptions

Rick Gorvett

Joseph Feinberg
Xulixiao Tian
Joseph Tjandra

Project Description

9. Predator-Prey Models and Their Applications to Economics and Insurance

Rick Gorvett

Yelei Chen
Yimin Ge
Zhiyi Guo
Zaza Fahmeeda
Binti Mohd Zainee
Xiaochun Wang

Project Description

10. Agent-Based Modeling

Rick Gorvett

Nick Bocovich
Xianghui Hong
Shaoyang Luo
Jack Wagner
Hui Wang
Yunsi Wang

Project Description

Sample Instruction Video